Across‐the‐Curve Credit Spread Indices

Antje Berndt, Darrell Duffie and Yichao Zhu

Financial Markets, Institutions & Instruments, 2023, vol. 32, issue 3, 115-130

Abstract: We design a novel across‐the‐curve credit spread index, AXI, a measure of the recent cost of wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. AXI, a benchmark for bank lending and risk management, is 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. We provide illustrative output of the bond‐based component of AXI. By widening coverage to include all corporate debt issuers, we also build a financial conditions index (FXI).

Date: 2023
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https://doi.org/10.1111/fmii.12172

Related works:
Working Paper: Across-the-Curve Credit Spread Indices (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:finmar:v:32:y:2023:i:3:p:115-130

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