Across‐the‐Curve Credit Spread Indices

We design a novel across-the-curve credit spread index, AXI, measure of the recent cost wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. benchmark lending risk management, is weighted average spreads instruments with maturities ranging from overnight to five years, weights that reflect both transaction issuance volumes. provide illustrative output bond-based component AXI. By widening coverage include all corporate issuers, we also build financial conditions index (FXI).