What's NOMURA-BPI and NOMURA-BPI/Extended?

• NOMURA-BPI
  NOMURA-BPI was developed to measure the movement of Japanese bonds in the secondary market. This index is calculated with the return on investment of a portfolio of all fixed income securities that meet certain criteria(Index Portfolio).
• NOMURA-BPI Inclusion Criteria
  The bonds making up the Index Portfolio must satisfy the following conditions. The content of the portfolio is fixed for the month and reviewed at the beginning of every month.
• Public issued fixed income securities in Japan.
• Basically, CBs, WBs, other ABS, CBOs, CLOs, STEP-UP BONDs and Retail Investor Bonds are excluded.
• Among Securitized Bonds, Kikin Bonds^*1, REIT Bonds and FILP^*2Loan Bonds are included
• Minimum remaining life from the end of month : 1 year
• Minimum par amount outstanding at the end of month : 1 billion Yen
• Rating (applying to corporates , yen-denominated foreign bonds and MBS) : ranging from A to AAA/Aaa(rated either by S&P,Moody's,R&I or JCR)
• New issue : Newly issued bonds are included in the Index Portfolio according to the following rule.
  --------------------------------------------------
  [type of bond] : [ point of inclusion ]
  J G B : next month to issue month
  Bank Debenture : 3rd month after issue month
  others : 2nd month after issue month
  --------------------------------------------------
  

• NOMURA-BPI/Extended
  A portfolio of NOMURA-BPI/Extended includes that of NOMURA-BPI, corporates , yen-denominated foreign bonds and MBS rated BBB either by S&P, Moody's, R&I or JCR.
• NOMURA-BPI/Extended Inclusion Criteria
  The bonds making up the Index Portfolio must satisfy the following conditions. The content of the portfolio is fixed for the month and reviewed at the beginning of every month.
• Public issued fixed income securities in Japan.
• Basically, CBs, WBs, other ABS, CBOs, CLOs, STEP-UP BONDs and Retail Investor Bonds are excluded.
• Among Securitized Bonds, Kikin Bonds^*1, REIT Bonds and FILP^*2Loan Bonds are included
• Minimum remaining life from the end of month : 1 year
• Minimum par amount outstanding at the end of month : 1 billion Yen
• Rating (applying to corporates , yen-denominated foreign bonds and MBS) : ranging from BBB/Baa to AAA/Aaa (rated either by S&P,Moody's,R&I or JCR)
• New issue : Newly issued bonds are included in the Index Portfolio according to the following rule.
  --------------------------------------------------
  [type of bond] : [ point of inclusion ]
  J G B : next month to issue month
  Bank Debenture : 3rd month after issue month
  others : 2nd month after issue month
  --------------------------------------------------
  

• Computation of NOMURA-BPI and NOMURA-BPI/Extended
  NOMURA-BPI is calculated according to the following guidelines.
• Returns are computed each business day and weighted by the market values including accrued interest.
• The prices of all bonds are the final mid prices of Nomura Securities.
• All coupon payments and redemptions from the beginning of the current month are treated as if received on the evaluation day. At the end of the month they are reinvested. FORMULAE
  Return from the end of the previous month(R(p,t))
  = ( MKTPt + ACIt + CPNt + RDMt ) / ( MKTPp + ACIp ) - 1
  [ not annualized ]
  Index Value (t) = Index Value (p) * ( 1 + R(p,t) )
  [ using the end of Dec.1983 as base 100.00 ]
  t : evaluation date
  p : end date of previous month
  MKTPt : market price on t-date
  ACIt : accrued interest on t-date
  CPNt : coupon payments from the beginning of the month
  RDMt : redemptions from the beginning of the month
  

1. Kikin Bonds

Securitized Bonds based on Life Insurance Company's Assets. Assets include Foundation Funds, Subordinated loans and so on.

2. FILP

Fiscal Investment and Loan Program(Zaito)

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