NOMURA-BPI/LadderGlobal Markets Research
13 February 2024

Cross-asset - Japan

Index rulebook
Key features of NOMURA-BPI/LadderResearch Analysts
Index Services Department
Index Services Department - NFRC
idx_mgr@nfrc.co.jp● The NOMURA-BPI/Ladder is an investment return index that reflects the performanceof laddered JGBs, Japanese government bonds, which allocate equal amounts toeach maturity. The NOMURA-BPI/Ladder index portfolios only cover JGBs.
● The NOMURA-BPI/Ladder is designed as a benchmark of stable durations.
● The index value calculation method and inclusion criteria of the NOMURA-BPI/Ladder
are based on those of the NOMURA-BPI.
● Bonds included in the NOMURA-BPI/Ladder are reviewed monthly.

Production Complete: 2024-02-13 07:05 UTC

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Table of contents
1 Introduction
2 Sub-indices
3 Scheduled portfolio reconstitution
3.1 Scheduled reconstitution date
3.2 Portfolio determination date
3.3 Scheduled reconstitution base date
3.4 Portfolio reconstitution announcement
4 Portfolio inclusion/exclusion method
4.1 Portfolio inclusion criteria for next month
4.2 Face value amount for inclusion
4.3 Inclusion timing
5 Unscheduled portfolio reconstitution
5.1 Announcement of unscheduled portfolio reconstitution
6 Calculating index value and return
6.1 Method for calculating index
6.2 Return
6.3 Reference for obtaining market data
6.4 Data released and base date of each index
7 Definition of NOMURA-BPI/Ladder indicators
7.1 Definition of issue-specific return-risk indicators
7.2 Definition of portfolio indicators
Data services
For further information on the indicesDisclaimer
Policies with regard to the indices

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1 Introduction
First released in November 2005, the NOMURA-BPI/Ladder was developed to reflect the performance of nominal-JGB
ladder investments, with the aim to provide a benchmark with a stable duration. The index value calculation method andinclusion criteria of the index are based on those of the NOMURA-BPI®[1] .
Nomura Fiduciary Research & Consulting Co., Ltd. (NFRC)[2] is the Administrator of the index, and Nomura ResearchInstitute, Ltd. (NRI) serves as the Calculation Agent. NFRC assumes the primary responsibility for the daily calculationof the bond performance indices, as well as their production and operation. Specifically, NFRC, in its role as operations
manager:• Maintains and records the index weightings of all constituents;• Reviews the index portfolios according to the inclusion/exclusion criteria, and replaces securities in these portfolios
as necessary, reflecting these changes in the performance and other indicators; reviews the index portfolio inclusion
criteria;• Announces changes in the securities included in the index portfolios, which are determined as a result of daily
operations management and scheduled reviews; and• Distributes the index portfolio performances, through either NRI’s data delivery service or its own.

The index is meant to be used as:• A tool for determining investment policies (asset allocation strategies);• A tool for determining investment manager structure;• An investment management benchmark;• A tool for portfolio management;• An investment performance indicator; and• A risk management tool.

1.
2.

NOMURA-BPI® is a registered trademark of NFRC (Registered Number: 4991073)
NFRC took over the index business of Nomura Securities Co., Ltd., effective 1 February 2023.

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2 Sub-indices
The index was initially launched in November 2005 with two indices, 10 years and 20 years, which were classified bymaturity of JGBs. Subsequently, the 5 year index was added in February 2006 and the 30 year index in February 2009.
Currently, it has the following four portfolio categories in terms of maturity:• NOMURA-BPI/Ladder 5 years• NOMURA-BPI/Ladder 10 years• NOMURA-BPI/Ladder 20 years• NOMURA-BPI/Ladder 30 years

2.1 Sub-Index portfolios by term to maturity
The index has sub-index portfolios categorized by term to maturity as of the end of each month and calculates theirperformance indices and portfolio indicators (Figure 1).
The sub-index portfolios are determined based on term to maturity as of the last day of the month. Once determined,
the classification remains unchanged throughout the month.
Fig. 1: Sub-index portfolio classification by term to maturity

Classification
Short-term (0-3years)
Medium-term (3-7years)
Long-term (7years-)Long-term (7-11years)
Super long-term (11years-)
Super long-term (11-15years)
Super long-term (15years-)

Term to maturity
0 year or more and less than 3 years
3 years or more and less than 7 years
7 years or more
7 years or more and less than 11years
11 years or more
11 years or more and less than 15 years
15 years or more

Source: NFRC

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3 Scheduled portfolio reconstitution
NFRC reviews and reconstitutes the index portfolios every month. Next month’s portfolios are determined on theportfolio determination day of each month.

3.1 Scheduled reconstitution dateIndex portfolios are reconstituted on the first business day of the month (scheduled reconstitution date), with theinclusion/exclusion implemented after the bond market closes on the business day before the scheduled reconstitutiondate.

3.2 Portfolio determination date
In principle, next month’s portfolio determination date is one of the following dates, whichever is the earlier:• The business day after the 25th day of the month• The three business days before the last business day of the month
However, the portfolio determination date may be changed if a JGB auction that may have a non-negligible impact isheld between the day after the determination date and the last day of the month. Any such changes will be announced
in advance.

3.3 Scheduled reconstitution base date
Next month’s portfolio is determined on the day before the portfolio determination date based on disclosed information
available as of the scheduled reconstitution base date.

3.4 Portfolio reconstitution announcement
Information about scheduled portfolio reconstitution is announced through NRI’s data delivery service and other media,
except in cases where definite information on new portfolios is unavailable due to unexpected circumstances.

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4 Portfolio inclusion/exclusion method
4.1 Portfolio inclusion criteria for next month
The index incorporates all securities that meet the inclusion criteria as of the scheduled portfolio reconstitution basedate into the following month’s index portfolios.

Fig. 2: Index inclusion criteria for all

CouponFixed

Issue dateIssues until the portfolio determination date[3]Term to maturity

None (all bonds are held until maturity)

Source: NFRC

Fig. 3: Index inclusion criteria as for each index

NOMURA-BPI/Ladder 5yrs

NOMURA-BPI/Ladder 10yrs

NOMURA-BPI/Ladder 20yrs

NOMURA-BPI/Ladder 30yrs

Within the set of all 5-year coupon-bearing JGBs maturing in March, June,
September, and December, the index includes the issues with the earliest monthof issue from among the issues maturing in each month (with a preference for theissue with the largest issued face value when there were multiple issuances in thatmonth).
Within the set of all 10-year coupon-bearing JGBs maturing in March, June,
September, and December, the index includes the issues with the earliest monthof issue from among the issues maturing in each month (same as above).
Within the set of all 20-year coupon-bearing JGBs[4] maturing in September, theindex includes the issues with the earliest month of issue from among the issues
maturing in each month (same as above).
Within the set of all 30-year coupon-bearing JGBs[5] maturing in each termclassified into H1(Apr.-Sep.) and H2(Oct.-Mar.), the index includes the issues withthe earliest month of issue from among the issues maturing in each month (sameas above).

Source: NFRC

4.2 Face value amount for inclusion
Each index portfolio includes constant amount for each issue (JPY10bn).

4.3 Inclusion timing
The index portfolio includes the first-issued JGB of all eligible bonds in each of the designated periods.
If there is no eligible issue suitable to be included for the month following any constituent reaching maturity, no issue will
be added to the index portfolio until there is a new issue eligible for inclusion. This means the number of issues includedin the index portfolios is not necessarily consistent. Figure 4 shows how the number of NOMURA-BPI/Ladder 30yr
constituents can vary due to a lack of eligible JGBs.

3.

4.

5.

This rule was introduced at the May 2018 portfolio determination (implemented on 24 April 2018). Previously, JGB
issues until the last day of the month of the portfolio determination date were eligible for the following month’s
index portfolio inclusion.
Although the portfolio was designed to consist of only 20yr coupon-bearing JGBs, portfolios prior to September
2006 have substituted 10yr coupon-bearing JGBs for bonds whose life was shorter than 20yr coupon-bearing JGB
number 2.
Although the portfolio was designed to consist of only 30yr coupon-bearing JGBs, portfolios prior to March 2010
have substituted 10yr and 20yr coupon-bearing JGBs for bonds whose life was shorter than 30yrs coupon-bearing
JGB number 1, and those after the April 2010 portfolio likewise substitute 20yr coupon-bearing JGBs.

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Fig. 4: Example of number change of the NOMURA-BPI/Ladder 30yr constituents

Source: NFRC

5 Unscheduled portfolio reconstitution
In principle, index portfolios for the next month, as determined on the portfolio determination date, will remainunchanged through the last business day of the next month. However, these planned portfolios may be subject to anunscheduled reconstitution to be implemented between the portfolio determination date and the last business day of thesame month if a material event occurs that affects any of the JGBs included. In such cases, NFRC will carry out thereconstitution promptly after issuing an announcement.
A material event may lead to an unscheduled portfolio reconstitution. Any such change would be announced inadvance.

5.1 Announcement of unscheduled portfolio reconstitution
Information about unscheduled portfolio reconstitution is announced through NRI’s data delivery service, except incases where definite information on such a change is unavailable until it actually takes place due to unexpectedcircumstances.

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6 Calculating index value and return
6.1 Method for calculating index
6.1.1 Total investment return index (Total index)
This is an index of investment return including capital and income gains. Assuming the index portfolio was purchased on
the last business day of the previous month at a value including accrued interest, coupon payments and redemptions
are added to the market value amount (including accrued interest), and this is announced as the index value for the day.
All coupon payments and redemptions are assumed to be received in cash without interest on the day they are made,and reinvested at the following portfolio reconstitution. Coupon payments made on weekends and holidays are
assumed to be made on the following business days.

Where

BPIL (today)：

Total index value, today

BPIL (e.l.m.)：

Total index value, the last business day of the previous month

MVLt (today)：

Market value amount (including accrued interest) of index portfolio, today

MVLt (e.l.m.)：Market value amount (including accrued interest) of index portfolio, the lastbusiness day of the previous month

CF (e.l.m., today)：

Total income gains and redemptions paid from the last business day of the previous
month through today

P (i)

：

“Dirty price” at point i

Amount (i)：Outstanding face value at point i

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6.1.2 Capital investment return index (Capital index)
This is an index of investment return in terms of capital gains. Assuming the index portfolio was purchased on the lastbusiness day of the previous month at the “dirty price”, redemptions that have occurred through the valuation date areadded to the market value amount (excluding accrued interest), and this is announced as the index value for the day. All
redemptions are assumed to be received in cash without interest on the day they are made, and reinvested at thefollowing portfolio reconstitution.

Where

BPILc (today)：

Capital index value, today

BPILc (e.l.m.)：

Capital index value, the last business day of the previous month

MVLc (today)：

Market value amount (excluding accrued interest) of index portfolio, today

MVLc (e.l.m.)：Market value amount (excluding accrued interest) of index portfolio, the lastbusiness day of the previous month

MVLt (e.l.m.)：Market value amount (including accrued interest) of index portfolio, the lastbusiness day of the previous month

RD (e.l.m., today)：

Total income gains and redemptions paid from the last business day of the previous
month through today

SP (i)：“Clean price” at point i

Amount (i)：Outstanding face value at point i

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6.2 Return
6.2.1 Total return (annualized)

Point m i s assumed to precede point n in a given timeline.
Rt(m,n)：Total return from point m through point n

BPIL (i)：Total index value at point i∆t D (>0)：

Days between point m and point n (excluding the settlement date)

6.2.2 Capital return (annualized)

Point m is assumed to precede point n in a given timeline.

Rc (m,n)：Capital return from point m through point n

BPILc (i)：Capital index value at point i∆t D (>0)：

Days between point m and point n (excluding the settlement date)

6.2.3 Income return (annualized)

Point m is assumed to precede point n in a given timeline.

Ri (m,n)：Income return from point m through point n

Rt (m,n)：Total return from point m through point n

Rc (m,n)：Capital return from point m through point n

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6.3 Reference for obtaining market data
The index references bond market pricing data for the marked-to-market valuation of the index portfolios (listed indescending order of priority):• JS Price• Nomura price
These values are provided on a settlement-day basis, and should be converted to trade-day basis for use as referencein calculating portfolio and performance indicators.
JS Price is evaluated and calculated by Nomura Securities Co., Ltd. and later examined by Nikkei Inc., Nikkei Financial
Technology Research Institute, Inc. and Nomura Research Institute, Ltd. JS Prices are reliable for a variety of purposes,
including mark-to-market accounting. JS Prices are calculated by the reasonable and consistent methodology with
passing through the process which examines validations to detect relative/absolute outlier by the methodology designed
by Nikkei Inc., Nikkei Financial Technology Research Institute, Inc., Nomura Research Institute, Ltd., and Nomura
Securities Co., Ltd.
Besides, JS Price lists more than 12,000 bonds in total (mainly publicly offered and private placement domestic bonds)
and covers almost 100% of index portfolios. In addition, JS Price offers daily prices with good continuity.
NSC dealers value Nomura prices for its own daily valuation process, and the NSC is one of the key financial
instruments firms in the yen bond market, and is actively engaged in transactions with other financial instruments firms
and its clients. For this reason, NSC is on a good position to obtain traded prices and/or quotations in the secondary
market.

6.4 Data released and base date of each index
Base dates and publication start dates of the indices belonging to the index are as follows:
Fig. 5: Base date of each index

Index

Base date (=Base index value)

Publication start date

NOMURA-BPI/Ladder 10yrs

End of December 1986(=100)

November 2005

NOMURA-BPI/Ladder 20yrs

End of December 1996(=100)

November 2005

NOMURA-BPI/Ladder 5yrs

End of December 2004(=100)

February 2006

NOMURA-BPI/Ladder 30yrs

End of December 2008(=100)

February 2009

Source: NFRC

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7 Definition of NOMURA-BPI/Ladderindicators
7.1 Definition of issue-specific return-risk indicators
In the index, the issue-specific risk-return indicators are defined as described below. Note that redeemed issues are notconsidered in calculating risk-return indicators.
• Current yield CY (%)

SP：

Clean price (JPY)

Cpn：

Coupon rate (%)

FV：Face value (JPY100)

SP：

Clean price (JPY)

Cpn：

Coupon rate (%)

FV：Face value (JPY100)

Yr：

Term to maturity (scheduled redemption)• Simple yield SY (%)• Compound yield r (%)
r satisfies the given equation:

•

P

：

Dirty price

CF i

：

i th future cash flow (JPY)ti：

Number of years until CFi occurs

Future cash flow CF i includes principal and interest payments (unless otherwise specified)

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• T-spread Tspd (%)

Assume P g is the dirty price of a JGB issue that has the same cash flow as the one for which Tspd is calculated:

Calculate r g (compound yield) for P g asr：Compound yield (%)

CF i

：

i th the future cash flow (JPY)DF (ti)：Discount coefficient at point ti [6]ti：Number of years until CF i occursr：Compound yield (%)

CF i

：

i th the future cash flow (JPY)ti：

Number of years until CF i occurs

P：

Dirty priceD：

Duration (years)r：

Compound yield (%)

P：

Dirty price• Duration D (years)• Modified duration mD

6.

The JGB discount factor is calculated using the NOMURA Par Yield Model.

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• Convexity CV

CF i

：

i th the future cash flow (JPY)ti：

Number of years until CF i occursr：Compound yield (%)

P：

Dirty price• Effective duration EffD , effective convexity EffCV

Where α (yield curve spread) satisfies the following formula

7.

CF i

：

i th the future cash flow (JPY)DF (ti)：Discount coefficient at point t i [7]ti：Number of years until CF i occurs

P：

Dirty price

The JGB discount factor is calculated using the NOMURA Par Yield Model.

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• Calculating indicators for issues less than half a year to maturity
The method for calculating simple and compound yields in the NOMURA-BPI may lead to a discrepancy between
the two for issues with less than half a year to maturity[8] . This becomes particularly apparent as it approaches
maturity. As the market convention, JGBs are traded on a simple yield basis. Hence, compound yields for bonds
nearing maturity may differ significantly from their simple yield and may not match actual market levels.
The NOMURA-BPI, which does not contain issues with less than half a year to maturity, does not suffer from the
problem described above. However, the index which holds all issues until maturity, will face such a discrepancy. To
address this, simple yields are used for issues with a term to maturity of less than a half year. Duration and otherrisk measures are calculated by the formulas below, where SY represents simple yield and Yr is term to maturity.
Duration○○

Modified duration○

Convexity○

Effective duration○

Effective convexity

Please also note that T-spreads are not calculated for issues that are so close to maturity since the spread is calculated
based on compound yields.

8.

More precisely, issues with only one future cash flow, a payment at maturity. In case of semi-annual payment
bonds, this means its term to maturity becomes shorter than half a year.

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7.2 Definition of portfolio indicators
Portfolio indicators are calculated using the issue-specific indicators of all issues in the index portfolio. The weighted
average is used in the calculation, as shown in Figure 5.
Fig. 6: Portfolio indicator calculation method

Indicator

Calculation Method

Coupon rate
Term to maturity (scheduled redemption)
Dirty price

Outstanding face value amount weighted average

Clean price
Current yield
Simple yield
Compound yield

Market value amount (excluding accrued interest) weighted average

T-spread[9]Duration
Modified duration
Convexity

Market value amount (including accrued interest) weighted average

Effective duration
Effective convexity
Source: NFRC

9.

As noted in “Calculating indicators for JGB issues with six months or less remaining maturity,” T-spreads are notcalculated for issues with six months or less to maturity. This means T-spreads are calculated by weighted
averaging index portfolios excluding these short-dated issues.

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Data services
Data for the indices can be obtained via the following channels.[10]Index values are published in the following media:

10.

QUICK

：

NRIJ120 - NRIJ123

Website：http://qr.nomuraholdings.com/jp/bpil/index.html (Japanese only)

Published data are all for reference only.

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For further information on the indices
Nomura Fiduciary Research & Consulting Co., Ltd.
Index Services Departmente-mail：bpi@nfrc.co.jp

Website：http://qr.nomuraholdings.com/jp/bpil/index_contacts.html (Japanese only)

Detailed data on portfolio indices and issue-specific indicators are available on IDS, NRI’s data delivery services.
Nomura Research Institute, Ltd.
Investment Data Service Departmente-mail

：ids-sales@nri.co.jp

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Disclaimer
The intellectual property rights and any other rights in NOMURA-BPI/Ladder belong to Nomura Fiduciary Research &Consulting Co., Ltd. ("NFRC").
NFRC do not guarantee accuracy, completeness, reliability, usefulness, marketability, merchantability and fitness of theIndex, and do not account for business activities or services that any index user and/or its affiliates undertakes with theuse of the Index.
Publication of the index could be delayed or canceled if a computer malfunction, natural disaster, or other unavoidable
event affects the index calculation process.
Should contingencies arise that were unforeseen at the time of the creation of this rulebook, NFRC may prioritize items
not spelled out in this rulebook in its management of the index. In such cases, NFRC will issue an announcement inadvance that details those items.
Please read “About The Index License” before using the indexes, regardless of the channel through which indexes/data
is acquired (NFRC website, services via information vendors, etc).
"About The Index License" http://qr.nomuraholdings.com/en/indexlicense.html• This material has been prepared by Nomura Fiduciary Research & Consulting Co., Ltd. (NFRC)for information
purposes only.
• All opinions and/or predictions contained in this material are based on the determination of NFRC at the time thismaterial was prepared and are subject to change without notice. We do not provide any guarantee or assurance
that opinions contained in this material relating to future predictions will actually take place. Some part of thecontent of this material is based on various information available to NFRC which NFRC determined to be reliable.
However, NFRC does not guarantee the accuracy of such information, and there is a possibility that suchinformation was summarized and imperfect. The past investment performance is not indicative of the future results.
• This material is not intended as an investment solicitation or an investment advice in connection with any particular
security transaction.
• If a customer invests in an investment product that uses a market benchmark developed and provided by NFRC, aportion of the fees for the use of such benchmark may be directly or indirectly attributed to NFRC. For details,
please visit the following website.
Securities Market Benchmarks http://qr.nomuraholdings.com/en/• This material may only be used by the customer to whom it was distributed. This material is the copyrighted work of
NFRC and you may not copy, transmit or redistribute this material, in whole or in part, without the prior writtenconsent of NFRC.

Nomura Fiduciary Research & Consulting Co., Ltd.
Registration Number: Director-General of the Kanto Local Financial Bureau(Finance & Commerce) Registration No.451
Membership: Japan Investment Advisers Association No. 011-00961

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Policies with regard to the indices
The below index-related policies are published on our website. See the following link for details:
http://qr.nomuraholdings.com/en/guides/index.html• Index Governance Framework• Conflicts of Interest Policy• Index Calculation Policy• Complaints Handling Policy

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