Strengthening the integrity and resilience of U.S. financial markets requires fit-for-purpose tools that reflect underlying credit conditions. AXI and FXI are designed as credit-sensitive benchmarks that complement SOFR, support prudent risk management, and align with key public policy objectives. This consultation offers a timely opportunity for market participants to help shape the development of credit-spread benchmarks that promote financial stability, enhance price transparency, and restore essential risk management capabilities to the post-LIBOR landscape.
SOFR Academy is pleased to announce the launch of a public consultation on conventions for standardized OTC swaps referencing the Across-the-Curve Credit Spread Index (USD-AXI) and the Financial Conditions Credit Spread Index (USD-FXI). This marks a key milestone in the development of credit-spread reference benchmarks designed to complement SOFR and to serve the evolving needs of U.S. financial markets.
The introduction of standardized swap conventions for AXI and FXI represents a significant step toward providing market participants with transparent, robust, and tradeable tools to manage credit spread risk. These IOSCO-compliant benchmarks (IBM Promontory, 2024) are intended to restore key functionalities lost in the transition from LIBOR, supporting more precise pricing, improved basis risk management, and enhanced systemic resilience—particularly during periods of financial stress. As independently governed supplements to SOFR, AXI and FXI are designed to work seamlessly with existing market infrastructure and regulatory frameworks.
This consultation invites feedback on proposed market conventions for Overnight Index Swaps (OIS) referencing the core indices USD-AXI (Bloomberg ticker: AXIIUNS; LSEG RIC: .IIAXI) and USD-FXI (Bloomberg ticker: FXIXUNS; LSEG RIC: .IIFXI), both individually and in combination with SOFR (Bloomberg ticker: SOFRRATE; LSEG RIC: USDSOFR=).
- Standalone credit spread swaps referencing AXI or FXI, and
- Packaged instruments, including ‘SOFRx’ (SOFR + AXI) and ‘SOFRy’ (SOFR + FXI), which are designed to align with existing SOFR OIS swap conventions and can be deployed in a wide range of hedging, trading, and funding applications
We strongly encourage a wide range of stakeholders—including banks, dealers, asset managers, clearinghouses, corporate issuers, trade associations, academics, public policy institutions—to engage with this consultation and contribute to shaping the future of credit-spread reference rates in the United States.
- Click here to download the consultation document
- Draft Term Sheet: USD-AXI and USD-FXI Swaps
- Draft Term Sheet: SOFRx and SOFRy Swaps
Please submit comments, suggestions, and questions to [email protected] by July 31, 2025. A summary of feedback will be published thereafter. Please note that all submissions will be treated in strict confidence, and names of respondents will not be disclosed.
[We thank Bruce Tuckman of NYU for helpful comments and suggestions regarding AXI and FXI Swaps].
This note is provided for informational purposes by SOFR Academy, Inc. (Sofr.org), a financial engineering firm that develops tools to support global financial market participants and public institutions. The firm’s products are designed to complement (near) risk-free rates and promote well-functioning credit markets. Headquartered in New York, SOFR Academy works with market participants, academics, and regulators to strengthen financial system resilience and transparency. SOFR Academy’s backers include 8VC, and former Goldman Sachs partner Robert Litterman who developed the Black–Litterman model together with Fischer Black in 1990. For more information, please visit www.SOFR.org.
This note is not designed to be taken as advice or a recommendation for any investment decision or strategy. Readers should make an independent assessment of relevant economic, legal, regulatory, tax, credit, and accounting considerations and determine, together with their own professionals and advisers, if the use of any index is appropriate to their goals. Neither the USD Across-the-Curve Credit Spread Index (AXI), nor the USD Financial Conditions Credit Spread Index (FXI) are associated with or sponsored by the Federal Reserve Bank of New York or any regulatory authority.
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