Across-the-Curve Credit Spread Index (AXI)™
SOFR Academy supports the Secured Overnight Financing Rate (SOFR). In the longer run, we also support a menu that includes dynamic credit spread add-ons to SOFR, such as the AXI. The index is a weighted average of the credit spreads of unsecured bank funding transactions with maturities out to five years, with weights that reflect both transactions volumes and issuance volumes.
AXI is calculated as one number that is then scaled down to standard tenors, e.g. overnight, 1-month, 3-months, 6-months etc. AXI can be added to SOFR, for example, CME Term SOFR, simple daily SOFR, SOFR compounded in arrears, or other SOFR variants, to form a credit-sensitive interest rate benchmark for loans and eventually derivatives, and other products. AXI is not based on the short-term bank funding markets that once underpinned LIBOR. The Financial Conditions Credit Spread Index (FXI)TM is an extension of AXI that incorporates data based on transactions of both financial and non-financial corporate debt instruments and is approximately 500% more robust. SOFR plus a robust across-the-curve credit spread is referred to as SOFRx.
AXI & FXI were discussed at the Credit Sensitivity Workshops convened by the Federal Reserve Bank of New York for LIBOR transition. AXI was created jointly by Professor Antje Berndt of Australian National University (ANU), Professor Darrell Duffie of Stanford University and Dr Yichao Zhu also of ANU.
Have a question about AXI? Email us [email protected]
- Loan Syndications and Trading Association (LSTA) video [requires LSTA membership]
- User friendly Infographic: Across-the-Curve Credit Spread Index (AXI)
- AXI – Frequently Asked Questions
- YouTube Video: Across-the-Curve Credit Spread Index (AXI)
- Op-Ed | The Case For An Across-the-Curve Credit Spread: Transitioning From LIBOR Sustainably
- PRMIA Webinar, August 18, 2021 | Credit Sensitivity & the Across-the-Curve Credit Spread (AXI)
- Stanford Business School: Across-The-Curve Credit Spread Indices by Antje Berndt, Darrell Duffie, Yichao Zhu
- Federal Reserve Bank of New York: Credit Sensitivity Group Workshops
- Press Release: SOFR Academy Welcomes the IOSCO’s Statement on Credit Sensitive Rates
- Press Release: SOFR Academy Completes Series of U.S. Official Sector Meetings Regarding the Across-the-Curve Credit Spread Index (AXI)
- Press Release: SOFR Academy announces its intention to publish the Across-the-Curve Credit Spread Index, also known as ‘AXI’
- Letter to the Alternative Reference Rates Committee (ARRC) regarding the Across-the-Curve Credit Spread Index (AXI)
- Letter to leading Associations representing American Non-Financial Corporations
- Letter to U.S. Regional Bank Signatories
Media and Trade Associations
- Risk.net article | Iosco steps up scrutiny of credit-sensitive rates
- Risk.net article | The Libor replacement stakes: runner and riders
- Risk.net article | Pick a rate: pitfalls and prizes in the post-Libor world
- Bloomberg | ‘Let 1,000 Libor Replacements Bloom’
- Risk.net article | “Stanford’s Duffie Shakes Up SOFR Credit Race With AXI Index”
- LSTA | LIBOR transition: CFA covers “sensitive” subject
- P.R.I.M.E Finance Webinar Replay | Getting Beyond LIBOR – 28 June 2021|
- Mayer Brown | Eeny, Meeny, Miny, Muse; Which LIBOR Alternative Shall I Choose?
- Western Asset Management Company | LIBOR Transition Update – When Does the New Term Begin?
- SECOR Asset Management | Considerations for a Transition to SOFR and other Alternative Rates
- GARP | On the Road to the Libor Transition: New Solutions Sought and Proposed
- ING | IBOR transition Frequently asked questions
- Seeking Alpha | ‘CME Group’s Looming LIBOR Crisis’
- Oliver Wyman webinar replay – LIBOR Transition: Looking Forward