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The NOMURA Swap Index is an index that shows the performance of yen interest rate swaps (fixed rate receiving side). Investment return indices and risk indicators are calculated for yen interest rate swaps of various maturities.
The NOMURA Swap Index investment return index and risk indicators are calculated from the daily market value of the yen interest rate swaps in question, which is in turn based on the yen interest rate swap rates and yen LIBOR rates provided by Nomura. The yen interest rate swap rates and yen LIBOR rates used to calculate the market value of the yen interest rate swaps are set out below.
| Yen LIBOR | Maturity（4 categories） | 1,2,3 and 6 months | |
|---|---|---|---|
| Trade date | Calculation date | ||
| Yen interest rate swaps | Maturity（17 categories） | One-year intervals from 1-10 years, 12, 15, 20, 25, 30, 35 and 40 years | |
| Fixed rate | Swap rate (mid rate at close of trading) provided by Nomura | ||
| Floating rate | 6-month LIBOR | ||
| Trade date | Calcuration date | ||
There are 80 categories of NOMURA Swap Index in total, based on 40 maturity categories -one-year intervals from 1-40 years- and two rebalancing frequencies-monthly and six-monthly. The details of these 80 categories of swap indices are as follows.
| Maturity (40 categories) |
One-year intervals from 1-40 years | ||
|---|---|---|---|
| Notional Amount | ¥1.0bn | ||
| Rate | Fixed rate | One-year intervals from 1-10 years, 12, 15, 20, 25, 30, 35 and 40 years | Swap rate (mid rate at close of trading) provided by Nomura |
| Other maturity ranges | Estimated rate | ||
| Floating rate | 6-month LIBOR | ||
| Trade date (2 categories) |
Monthly rebalancing | Monthly rebalancing | |
| Six-monthly rebalancing | Last trading day of March or September | ||
Rebalancing, with reference to the NOMURA Swap Index, means that the yen interest rate swap in question is cancelled and a new contract is put in place for a yen interest rate swap with the same maturity.
The NOMURA Swap Index is calculated for each trading day using the following methodology:
(index on day in question) = (index at end of previous month)
× (market value + notional amount of yen interest rate swap on day in question)
÷ (market value + notional amount of yen interest rate swap on last trading day of previous month)
The index is based to 100 on the following dates:
| Index | Date on which index is based to 100 |
|---|---|
| NOMURA Swap Index ( ~20 years) | End-March 2002 |
| NOMURA Swap Index (21 ~ 30 years) | End-September 2005 |
| NOMURA Swap Index (31 ~ years) | End-March 2009 |
Back to NOMURA Swap Index web page
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