Summary
The iSTOXX USD Across-the-Curve Credit Spread Index (AXI) – Core 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. It is a variable-maturity index calculated as the weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transaction and issuance volumes. 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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