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Across‐the‐Curve Credit Spread Indices

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  • Antje Berndt
  • Darrell Duffie
  • Yichao Zhu

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).

Suggested Citation

  • Antje Berndt & Darrell Duffie & Yichao Zhu, 2023. "Across‐the‐Curve Credit Spread Indices," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 115-130, August.
    • Handle: RePEc:wly:finmar:v:32:y:2023:i:3:p:115-130
    DOI: 10.1111/fmii.12172
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