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NOMURA J-TIPS Investment Return Index

Published in Fixed Income Indices

First released in 2004, the NOMURA J-TIPS Index is a bond performance index developed to reflect the performance of the entire secondary market for JGBi, which have a different return and risk profile than nominal bonds. The index value calculation method and inclusion criteria of NOMURA J-TIPS Index are based upon the NOMURA-BPI.

  • NOMURA J-TIPS Index is an investment return index developed to reflect the performance of the entire secondary market of J-TIPS, Inflation-Indexed JGBs (JGBi) which have a different return and risk profile than nominal bonds.
  • The index value calculation method and inclusion criteria of NOMURA J-TIPS Index are the based upon the NOMURA-BPI. The Index includes JGBi with principal guaranteed (i.e. deflation floored), the issuance of which started in October 2013.

 

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 8796 bonds and 79 indices. Index coverage includes Nomura-BPI Indices (ABS, Corporate, EXCL, JBG, MBS, Total, Extended, Long, Medium and Short Term).

Portfolio Indicator Calculation Methods include:

  • Face value amount unadjusted for inflation
  • Face value amount adjusted for inflation
  • Clean price adjusted for inflation
  • Coupon rate
  • Clean price unadjusted for inflation
  • Dirty price unadjusted for inflation
  • Real compound yield
  • Break-even inflation rate
  • Duration
  • Modified duration

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