OCREUS Group

Academics propose new credit index that ditches Libor tenors for a single funding spread

US lenders in search of a credit-sensitive interest rate benchmark may soon be spoilt for choice.  A trio of academics led by Stanford University’s Darrell Duffie have developed a new credit spread index that can be layered on top of the secured overnight financing rate, the US Federal Reserve’s preferred US dollar Libor replacement. The ‘across the curve credit spread index’ – known as AXI – is competing with the Ice Bank Yield Index (BYI) and Ameribor for the backing of the Credit

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Categories: Financial

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