Insight Category: Researchs

AXI restores the credit sensitivity lost in the transition to SOFR—enabling banks to reduce loan spreads by up to 65 basis points without sacrificing risk-adjusted returns, while strengthening SOFR with credit sensitivity that mitigates destabilizing drawdowns and enhances financial stability in the post-LIBOR era. In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. We assess the Across-the-Curve Credit Spread Index (“AXI”)—a transparent, transaction-based…