Across-the-Curve Credit Spread Index (AXI)

SOFR Academy supports the Secured Overnight Financing Rate (SOFR). In the long run, we also support a menu that includes dynamic credit spread add-ons to SOFR, such as the Across-the-Curve Credit Spread Index (AXI). AXI is a measure of the recent cost of debt funding for U.S. bank holding companies and their commercial banking subsidiaries. Unlike SOFR, which is based on risk-free repo rates, AXI retains a credit risk component. As such, AXI can be added to SOFR to form a credit-sensitive interest rate benchmark for loans, derivatives, and other products. AXI is not based on the short-term bank funding markets that once underpinned LIBOR.

AXI was one of the few indices 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, Professor Darrell Duffie and Dr Yichao Zhu.

Have a question about AXI? Email us [email protected]