During times of market stress, such as March 2020, LIBOR and LIBOR-like rates tend to rise rapidly, at the same time, the number of interbank bank funding transactions drops in the short-end of the yield curve, to zero in some cases (Schooling Latter, 2021). AXI will move higher during market stress events but only in correlation with changes in bank funding costs, it will not move as high or with the same level of volatility as LIBOR during these period.