SOFR Academy CEO’s letter to New York Fed regarding forthcoming launch of Across-the-curve credit spread indices (AXI)

SOFR Academy CEO’s letter to New York Fed regarding forthcoming launch of Across-the-curve credit spread indices (AXI)

SOFR Academy, Inc., today published a letter from its Chief Executive Officer, Marcus Burnett, to the Federal Reserve Bank of New York ahead of the forthcoming official launch of USD Across-the-Curve Credit Spread Indices (“AXI”) and USD Financial Conditions Credit Spread Indices (“FXI”).

The letter notes the shift in activity away from LIBOR to the Secured Overnight Financing Rate (“SOFR”) has become well established as demonstrated by the development of sustained deep and liquid SOFR markets. The letter states recognized benchmark administrator Invesco Indexing LLC, which is owned by American investment management firm Invesco Ltd (NYSE: IVZ), will publish and administer AXI and FXI. The letter comments that the indices are developed, maintained and overseen through a governance framework established in alignment with International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks. The letter also provides information about ‘all-in’ benchmark rates ‘SOFRx’ and ‘SOFRy’.

The Indices will be calculated daily and published at 9 AM ET, using the prior day’s transaction data, on a T+1 basis. To review licensing information, please email [email protected].

About AXI

AXI is a robustly defined forward looking credit spread index that may be used in conjunction with SOFR, Term SOFR, simple daily SOFR, SOFR compounded in arrears, or other SOFR variants to form a credit sensitive interest rate. AXI is simply 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 was conceived in an academic paper by Finance Professor Antje Berndt of Australian National University (ANU), Professor Darrell Duffie who is the Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business, and Dr Yichao Zhu, also of ANU, to assist with US-dollar LIBOR transition. Additional information about AXI, as well as prototype spreads, can be found at:

About SOFR Academy

SOFR Academy, Inc. provides financial education and market data to empower corporations, financial institutions, governments, and individuals to make better decisions. The Firm’s panel of advisors includes academics from Harvard University, the University of California Berkeley, New York University, Oxford University, Tsinghua University and London Business School, as well as experienced financial services professionals. SOFR Academy is also driving the operationalizing of AXI and FXI as credit spread add-ons for SOFR for use in lending and derivative markets. SOFR Academy is a member of the American Economic Association (AEA), the Loan Syndications and Trading Association (LSTA), the International Swaps and Derivatives Association (ISDA), the Asia Pacific Loan Market Association (APLMA), the Bankers Association for Finance and Trade (BAFT) which is a wholly owned subsidiary of the American Bankers Association (ABA) and the U.S. Chamber of Commerce (USCC). The Firm’s work is separate from but supportive of the Alternative Reference Rates Committee (ARRC). For more information, please visit

About the Secured Overnight Financing Rate (SOFR)

SOFR is published by the Federal Reserve Bank of New York and is used subject to The New York Fed Terms of Use. The New York Fed has no liability for your use of the data. AXI is not associated with, endorsed or sponsored by The New York Fed.

Letter to the NY Fed available as PDF

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