AXI & FXI

In 2020, Darrell Duffie (Stanford), Yichao Zhu (ANU) and I conceived the Across-the-Curve Credit Spread Index (AXI) and the Financial Conditions Credit Spread Index (FXI). The AXI is a measure of the recent average cost of wholesale unsecured debt funding for publicly listed U.S. bank holding companies and their commercial banking subsidiaries. The index is a weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transactions volumes and issuance volumes. The FXI is constructed using the same methodology, and widens the coverage so as to include all corporate bonds.

Since 2022, indices based on these concepts are administered by Invesco Indexing LLC, which provides the Invesco/SOFR Academy Across-the-Curve Credit Spread Index (AXI) and publishes the latest rates.