Forward-looking benchmark credit-sensitive spread indices, developed and administered in alignment with IOSCO’s Principles for Financial Benchmarks, to be used alongside SOFR to form a credit-sensitive interest rate benchmark.
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| – About AXI – How it works – Latest AXI/FXI rates – FAQs – Resources |
Robust
Computed from a sufficiently large pool of market transactions across the yield curve from short term to multiple years.
Representative
Highly correlated with banks’ cost of funds, as determined by recent market credit spreads for wholesale unsecured issues of U.S. banks and bank holding companies.
Sustainable
Maintains its robustness and representativeness in all market conditions even as banks change the maturity and instrument composition of their issuances.
About AXI
AXI is a weighted average of the credit spreads of unsecured US bank funding transactions with maturities ranging from overnight to five years, with weights that reflect both transaction volumes and issuances.
AXI can be added to Term SOFR (or other SOFR variants) to form a credit-sensitive interest rate benchmark for loans, derivatives, or other products.
To explore licensing options for AXI, please contact STOXX Customer Support team.
How it works
ROBUST
AXI captures bank funding across the yield curve
AXI is computed from a sufficiently large pool of market transactions so that it can underlie actively traded derivatives instruments used by banks and their borrowing customers to hedge their floating-rate exposures, without significant risk of statistical corruption or manipulation. Expert judgement is not used nor are executable quotes. Adopting an across-the-curve methodology ensures that the maximum number of transactions are captured within the index. AXI is not limited to the short-term unsecured markets that once underpinned LIBOR.
REPRESENTATIVE
AXI always reflects banks’ true costs of funds
Since the 2008 Financial Crisis, banks no longer fund themselves at LIBOR and have shifted their funding further out the yield curve. AXI is highly correlated with banks funding costs because it captures this deeper pool of funding transactions. The index is a weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to multiple years, with weights that reflect both transactions volumes and issuance volumes. The input data for AXI is obtained only from publicly available sources regulated by the U.S. Securities and Exchange Commission (SEC).
SUSTAINABLE
AXI automatically adapts to changes in bank funding composition
AXI reference rates were designed to maintain their hedge effectiveness and robustness over time and can be reliably computed in all economic conditions, including in times of market stress. The indices automatically adapt to future changes in bank funding composition ensuring the representativeness and robustness of the indices are sustained through time. AXI works in conjunction with the Secured Overnight Financing Rate (SOFR) which was identified by the Alternative Reference Rates Committee (ARRC) and is therefore suitable for usage in a wide variety of products.
Latest AXI rates
Latest FXI rates
Click here for recent values of USD AXI and its available tenors. Please note that the highlighted tenors are the most generic tenors calculated.
The STOXX / SOFR Academy USD Financial Conditions Credit Spread Index (FXI) follows the same methodology as AXI but the underlying transactions are expanded beyond banks to include all financial institutions as well as corporate funding transactions.
Click here for recent values of USD FXI and its available tenors. Please note that the highlighted tenors are the most generic tenors calculated.
Please note: the STOXX / SOFR Academy AXI and FXI reference rate family of benchmarks are published on a today ‘T’ basis with the exception of Overnight SOFRx and Overnight SOFRy which are published on a T+1 basis.
*The SOFR and SOFR AVERAGES data is sourced from newyorkfed.org and is subject to the Terms of Use posted at newyorkfed.org. The New York Fed is not responsible for publication of the SOFR and SOFR AVERAGES data by Invesco Indexing, does not sanction or endorse any particular republication, and has no liability for use.
USD-AXI and USD-FXI enhanced transparency metrics table
Click here to view the key underlying metrics of USD-AXI and USD-FXI
Footnotes:
(*) The Financial Industry Regulatory Authority’s (FINRA) Trade Reporting and Compliance Engine (TRACE) established dissemination protocols that included certain caps. The size disseminated is the total par value of the trade, subject to the limits of the applicable dissemination cap. For investment grade TRACE-eligible securities and agency debt securities, the current dissemination cap is $5 million. For non-investment grade TRACE-eligible securities, the current dissemination cap is $1 million. The uncapped transaction sizes are reported in the Enhanced TRACE dataset which is released to the public with several months of delay.
(**) The uncapped transaction volume multiplier (UTVM) can be multiplied with the Long term component capped transaction data to approximate the actual traded volumes for the long term component. The UTVM is calculated by comparing the most recent quarter of uncapped data available to the equivalent capped data.
Explore AXI/FXI indices
To explore licensing options for AXI and FXI, please contact STOXX Customer Support team.
FAQs
Overview
AXI reflects the recent cost of unsecured bank funding across maturities (overnight to five years) based on large and diverse volumes of transactions across multiple markets. FXI extends this framework by incorporating both financial and non-financial corporate credit markets, providing a broader measure of overall credit conditions.
These benchmarks can be added to SOFR to form credit-sensitive benchmarks for loans, derivatives, and other financial products.
AXI and FXI can be combined with SOFR to form “all-in” benchmark rates.
These combinations are sometimes referred to as:
- SOFR + AXI (“SOFRx”)
- SOFR + FXI (“SOFRy”)
These combined benchmarks can be used across a wide variety of financial products including:
- Loans
- Derivatives
- Structured products
- Other financial products
No. AXI and FXI are credit spread complements to SOFR, not standalone benchmark rates.
Following the transition away from LIBOR, markets adopted SOFR as a nearly risk-free reference rate. However, SOFR does not reflect bank credit conditions.
AXI and FXI provide a transparent, transaction-based measure of credit spreads that can be combined with SOFR to better reflect funding conditions in the real economy.
No. AXI and FXI are designed to be used alongside SOFR, not as substitutes.
Any loans referencing AXI or FXI would also reference SOFR. As a result, their use reinforces—rather than diminishes—the role of SOFR as the core risk-free benchmark in financial markets.
Methodology and Design
AXI and FXI are designed to meet high standards of robustness and representativeness:
- Based on large volumes of observable transactions (overnight to 5 years)
- Cover a broad range of maturities (not limited to short-term markets)
- Adapt dynamically to changes in funding patterns
- Designed to support use in derivatives markets
AXI and FXI are designed with explicit consideration of IOSCO Principles 6 and 7, including the size and liquidity of the underlying market and the relationship between underlying transaction volumes and benchmark usage.
AXI dynamically weights transactions based on where funding activity occurs across the yield curve. If funding shifts toward shorter or longer maturities, the index adjusts accordingly, maintaining representativeness over time.
AXI reflects the cost of recently issued funding instruments across a range of maturities. This approach provides a stable and representative measure of funding costs, avoiding the noise and fragility associated with relying solely on short-term markets.
Yes. AXI and FXI are calculated using transaction data from regulated and transparent sources.
The design avoids reliance on a small number of transactions or thin markets, which IOSCO has identified as a key vulnerability in some benchmark constructions
No. AXI and FXI are based exclusively on observed transactions. No indicative or executable quotes are used.
No. AXI and FXI are calculated exclusively using transaction data from regulated, publicly reported sources subject to regulatory oversight.
The primary inputs are derived from Financial Industry Regulatory Authority’s TRACE system, which provides mandatory post-trade transparency for corporate bond markets, complemented by data from Depository Trust & Clearing Corporation for short-term funding markets.
Because these data sources are subject to regulatory reporting requirements and oversight, they benefit from robust governance, transparency, and data integrity safeguards, supporting the credibility and reliability of the indices.
The Financial Industry Regulatory Authority (FINRA) publishes Trade Reporting and Compliance Engine (TRACE) data sample files which comprise the source of underlying data inputs for the Long Term (LT) component of USD-AXI and USD-FXI. FINRA also publishes TRACE monthly volume reports which illustrate total and average daily trading volumes in Corporate, Agency and Securitized Products reported to TRACE for the prior month. The monthly data is published on the third business day following the end of the month and are accessible here. FINRA TRACE contemporaneous data is subject to mandatory dissemination caps. Sample files of uncapped historical data are accessible here.
The Depository Trust & Clearing Corporation (DTCC) publishes sample data which can be requested here. This is the source of underlying data inputs for the short term (ST) component of USD-AXI and USD-FXI. The DTCC also publishes weekly snapshots which are available here.
Yes. In addition to the core index (with variable maturity), standardized term settings (e.g., 1-month, 3-month, 6-month, 12-month) are available for use in financial products.
No. AXI and FXI are constructed using transactions across the full maturity spectrum (from overnight to five years).
Term settings are derived from the core index and provide standardized reference points for use in financial products.
Market participants have the option to apply their own factor multiple to the unscaled index in commercial loan contracts, for example a lender might reference SOFR + (0.5 x AXI) as the base rate of a loan.
Yes. Neither AXI nor FXI are suitable as a proxy for any interest rate, because they are credit spread indices.
They are constructed using a broad set of transactions across maturities, supporting robustness and proportional use across different financial products. Their design enables use in conjunction with SOFR where a credit-sensitive component is appropriate.
Use in Financial Products
AXI and FXI differ from traditional credit indices in both construction and intended use.
Traditional indices—such as CDS indices (e.g., CDX) or bond spread indices—are often based on derivative markets or selected baskets of securities and may be influenced by liquidity conditions and technical market factors. By contrast, AXI and FXI are fully transaction-based benchmarks, constructed from observed transactions across funding and credit markets.
Key distinctions include:
- Tradable and benchmark-ready: AXI and FXI support both trading and use as standardized benchmark components alongside SOFR in loans and derivatives.
- Not CDS-based: AXI and FXI do not rely on CDS markets. Independent research indicates that CDS markets may not be sufficiently robust or representative for this application.
- Fully transaction-based: The indices are constructed exclusively from observed transactions, without reliance on models or indicative quotes.
- Broad and representative: AXI and FXI incorporate transactions across maturities and sectors, rather than a fixed basket of reference entities. This reflects broader regulatory emphasis on grounding benchmarks in deep, diverse, transaction-based markets with sufficient underlying activity.
Yes. The International Swaps and Derivatives Association (ISDA) has included AXI and FXI settings as Floating Rate Options, enabling their use in OTC derivatives.
ISDA documentation also allows AXI or FXI to be combined with other floating rate options within a single swap structure.
AXI and FXI are based on a broad and deep set of underlying transactions, supporting their use in derivatives markets.
A benchmark intended to support derivatives activity must be grounded in sufficient transaction volume to ensure robustness, representativeness, and resistance to manipulation. AXI and FXI are designed with these principles in mind.
AXI and FXI are based on broad market transactions, primarily reflecting the funding activity of large banks. Historically, smaller and regional banks have used benchmarks derived from large-bank funding markets (e.g., LIBOR), and may similarly find AXI and FXI relevant depending on their funding profiles.
AXI and FXI could rise temporarily during periods of acute financial stress, but this is a feature rather than a flaw. AXI and FXI are designed to reflect banks’ and financial institutions’ marginal unsecured funding costs, which rise when credit risk and liquidity stress increase. In such periods, higher rates help lenders absorb losses and maintain credit availability, reducing the risk of abrupt credit withdrawal or account closures. Importantly, rates would fall automatically as conditions normalize.
Adding a credit spread such as AXI or FXI to SOFR better aligns loan rates with banks’ actual funding costs, which reduces the need for lenders to build in precautionary margins—lowering the average expected cost of borrowing over time. At the same time, this alignment discourages excessive drawdowns during periods of stress, helping banks manage funding risk and supporting a more stable and consistent supply of credit to borrowers (Cooperman, Duffie, Luck, Wang & Yang, 2024).
Regulatory Status
AXI and FXI are expected to become available for use in the United Kingdom and European Union following registration under the applicable benchmark regulatory frameworks.
The transition of benchmark administration to STOXX Ltd., an established benchmark administrator, supports this process. Updates will be provided as registration progresses.
Licensing and Data Access
A license is required for the use of AXI or FXI in financial products, valuation, or other commercial applications. Please contact STOXX Ltd. for licensing information.
No. AXI and FXI are designed to be used as credit spread components alongside reference rates such as SOFR.
Use of AXI or FXI in combination with other benchmarks may be subject to the licensing and usage terms of those benchmarks (for example, CME Term SOFR).
AXI and FXI are available through authorized data vendors and STOXX distribution channels.
Yes. Use of CME Term SOFR requires a separate license from CME Group. Any use of AXI or FXI in combination with CME Term SOFR must comply with CME’s licensing requirements.
Origins and Background
AXI and FXI were developed based on academic research by Antje Berndt, Darrell Duffie, and Yichao Zhu.
AXI and FXI have been subject to independent review against relevant IOSCO Principles for Financial Benchmarks.
An assessment conducted by IBM Promontory concluded that key areas including benchmark design, data sufficiency, and transparency are fully implemented. These findings support the robustness and integrity of the benchmarks’ design.
The concepts underlying AXI were discussed in industry workshops hosted by the Federal Reserve Bank of New York, which focused on developing robust credit-sensitive rate frameworks to complement SOFR.
AXI was discussed as part of the Credit Sensitivity Group Workshops hosted by the Federal Reserve Bank of New York in 2020.
These workshops brought together market participants, academics, and public sector representatives to assess the challenges associated with transitioning loan markets away from LIBOR. A key focus was the potential role of credit-sensitive elements that could be added to SOFR to better reflect bank funding conditions.
Additional Information
For additional information, licensing inquiries, or general questions, please contact STOXX Ltd. Selected questions may be incorporated into future updates of this FAQ.
Resources
This link takes you to a site not affiliated with STOXX. This site is for informational purposes only. STOXX does not guarantee nor take any responsibility for the content.
This link takes you to a site not affiliated with STOXX. This site is for informational purposes only. STOXX does not guarantee nor take any responsibility for the content.
AXI/FXI Limited assurance review
Promontory Financial Group completed a limited assurance review of the degree of implementation by the AXI Index and the FXI Index of Principles 6,7, and 9 of the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks.
U.S. Regional Banks Letter to Regulators on SOFR Credit Supplement
A joint letter from major U.S. Regional banks to the Federal Reserve, OCC, and FDIC highlighting the need for a credit-sensitive spread to complement SOFR in lending markets and support credit availability and financial stability.
NY Fed’s Liberty Street Economics: “How the LIBOR Transition Affects the Supply of Revolving Credit”
Federal Reserve Bank of New York Liberty Street Economics analysis showing that a SOFR-only lending framework can increase borrower drawdowns during periods of stress, raise bank funding costs, and reduce lending capacity— particularly for regional banks—highlighting the financial stability benefits of credit-sensitive supplements to SOFR.
AXI® (“AXI”) and FXI® (“FXI”) are trademarks of SOFR Academy, Inc (“SOFR Academy”). SOFR is published by the Federal Reserve Bank of New York (“The New York Fed”) and its use is subject to The New York Fed Terms of Use for Select Rate Data. The New York Fed has no liability for any use of the data. STOXX is not affiliated with SOFR Academy, Promontory Financial Group, The New York Fed, or CME Group.