Euro Axi rate proposed as Euribor fallback

New study lays groundwork for euro version of across-the-curve credit spread index

A pair of UK academics have published a new methodology for building a euro-denominated credit-sensitive interest rate benchmark that could be used as a fallback for Euribor in cash and derivatives contracts.

Oxford University mathematics professor Rama Cont and senior research fellow Susanna Saroyan conducted a feasibility study for a euro version of the ‘across-the-curve credit spread index’, or Axi, which was initially developed by a trio of academics led by Stanford University’s Darrell