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Analysis and Commentary

Across-The-Curve Credit Spread Indices

by Antje Berndt, Darrell Duffie, Yichao Zhuvia Darrell Duffie
Thursday, July 23, 2020

This note presents a preliminary approach to the design of an across-the-curve credit spread index (AXI). The index is a measure of the recent average cost of wholesale unsecured debt fund- ing for publicly listed U.S. bank holding companies and their commercial banking subsidiaries.