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SOFR Academy Welcomes Publication of Japanese AXI and FXI Feasibility Study in connection with Reference Rate Reform

Japanese FXI can coexist with the Tokyo Overnight Average Rate (TONA) and the Tokyo Term Risk Free Rate (TORF) by complementing JPY benchmark reform with a reliable and robust credit-sensitive spread.

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NEW YORK & TOKYO–(BUSINESS WIRE)–#AXI–Today, SOFR Academy, an economic education and market information provider, welcomed the publication of the paper “Exploring feasibility of JPAXI and JPFXI” by Professor Tatsuyoshi Okimoto of Keio University and Professor Sumiko Takaoka of Seikei University, Tokyo, Japan.

The paper is a feasibility study of a Japanese version of Across-the-Curve Credit Spread Index (JPAXI) and the Financial Condition Credit Spread Index (JPFXI) accounting for specific features of the Japanese corporate bond market. The authors found that JPFXI presents a stable and reliable benchmark credit spread index for Japan.

Tatsuyoshi Okimoto, Professor of Economics and Finance at the Faculty of Economics, Keio University, Tokyo, Japan, and co-author of the Japanese AXI and FXI feasibility commented, “JPFXI would be a highly valuable reference rate for the Japanese corporate bond market, as it reflects the actual funding costs more efficiently and accurately based on the transaction data.”

Sumiko Takaoka, Professor in the Faculty of Business Administration at Seikei University, Tokyo, Japan, and co-author of the Japanese AXI and FXI feasibility study said, “JPFXI appears to be a reliable benchmark index for Japan, thus becoming a major transaction-based credit spread benchmark for pricing various financial instruments such as derivatives and securities.”

Marcus Burnett, CEO of SOFR Academy, added, “I am very pleased about the publication of the Japanese AXI and FXI feasibility study. A Japanese Yen denominated FXI will be helpful for Japanese financial institutions and can complement the development of new markets referencing near risk free rates such as TONA and TORF. I am very grateful to Professors Okimoto and Takaoka.”

The Japanese AXI and FXI feasibility study is available for download here and market participants can learn more about Japanese FXI and view related resources here. Questions, comments, and feedback are welcome and should be directed to:

In 2022 Invesco Indexing LLC, an independent index provider owned by global asset manager Invesco Ltd (NYSE: IVZ), partnered with SOFR Academy to launch the first-of-their-kind US-dollar Across-the-Curve Credit Spread Indices (“AXI”) and US-dollar Financial Conditions Credit Spread Indices (“FXI”). These indices work in conjunction with the Secured Overnight Financing Rate (“SOFR”) and address concerns communicated by a group of American banks. This concern was that under a SOFR-only environment in times of economic stress, the return on banks’ SOFR-linked loans would decline, while banks’ unhedged costs of funds would increase, thus creating a significant mismatch between bank assets (loans) and liabilities (borrowings). The publication of the Japanese feasibility study complements studies for China

and Europe.

About Tatsuyoshi Okimoto

Tatsuyoshi Okimoto is a Professor of Economics and Finance at Faculty of Economics, Keio University, Tokyo, Japan. Professor Okimoto is also a research associate at Research Institute of Economy, Trade and Industry, a principal at Economic Design Inc., and a director for Nippon Finance Association. He received PhD from the University of California, San Diego in 2005. He worked for Australian National University, Hitotsubashi University and Yokohama National University before joining the Keio University in 2022.

About Sumiko Takaoka

Sumiko Takaoka is a Professor at the Faculty of Business Administration, Seikei University, Tokyo, Japan. She received PhD in Economics from Osaka University in 2003. Before joining Seikei University, she held previous academic appointments as a research associate at Tokyo University and as a research fellow in Kyoto University. Professor Takaoka was a Visiting Scholar, Harvard University, Reischauer Institute of Japanese Studies from 2007 to 2009.

About SOFR Academy

SOFR Academy is a member of the Asia Pacific Loan Market Association (APLMA), American Economic Association (AEA), the Loan Syndications and Trading Association (LSTA), the International Swaps and Derivatives Association (ISDA), the Bankers Association for Finance and Trade (BAFT) which is a wholly owned subsidiary of the American Bankers Association (ABA), the U.S. Chamber of Commerce (USCC) and Bretton Woods Committee (BWC). For more information, please visit

SOFR Academy Disclosures

SOFR Academy supports near risk-free rates such as SOFR, €STR, TONA, TORF, and the Chinese Depository-Institutions Repo Rate (DR). Over time, we also support robustly defined across-the-curve credit spread supplements such as AXI and FXI which can be used in conjunction with risk-free rates. SOFR is published by the Federal Reserve Bank of New York (The New York Fed) and is used subject to The New York Fed Terms of Use for Select Rate Data. The New York Fed has no liability for your use of the data. Neither AXI or FXI are associated with, or endorsed or sponsored by, The New York Fed, or the Federal Reserve System.

Darrell Duffie, The Adams Distinguished Professor of Management and Professor of Finance at Stanford Graduate School of Business, is a co-author of the original proposal for AXI and FXI but has no related compensation and has no affiliation with SOFR Academy.


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