Summary
The iSTOXX USD Across-the-Curve Credit Spread Index (AXI) – 1 Month is a forward-looking 1-month credit spread setting derived from Core AXI. AXI is a fully transaction-based measure of the recent cost of wholesale unsecured debt funding for publicly listed U.S. bank holding companies and commercial banks, based on credit spreads for unsecured debt instruments with maturities ranging from overnight to five years and weights that reflect both transaction and issuance volumes. Each term setting is calculated from the relevant Core index using a transparent scaling ratio based on the 3-year historical average relationship between the unscaled Core index and observed tenor-specific credit spreads. Those tenor-specific credit spreads are calculated by comparing transaction yields with U.S. Treasury rates of the same maturity, interpolated from Daily Treasury Bill Rates published by the U.S. Department of the Treasury. The daily term setting is then obtained by multiplying the unscaled Core index value for that day by the relevant tenor scaling ratio. The primary underlying input data source is obtained from the Financial Industry Regulatory Authority’s (FINRA) Trade Reporting and Compliance Engine (TRACE), which is a mandatory post-trade transparency requirement. This long-term bond component is complemented by a short-term component obtained from the Depository Trust & Clearing Corporation (DTCC). AXI may be referenced in loans, floating-rate notes, over-the-counter (OTC) derivatives, and other financial products, including cost of funds pricing.
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