According to Nomura, the index incorporates a liquidity enhancement rule, applied quarterly, determining which bonds should be included in the index based on the monthly turnover of all outstanding issues.
The index, which measures the total return performance of Indian government bonds denominated in India rupees, is the first of Nomura’s Asia ex-Japan series aimed at measuring bond market performance of individual countries in the region.
The index’s annual total return for 2010 was 5.76%. Its inception date is 30 December 2005.
India’s government bond market is one of the largest in Asia ex-Japan. It more than doubled in the past six years in terms of amount outstanding to $510bn in 2010.
Nomura head of Local Markets Rates Research for Asia ex-Japan Des Supple said their index is focused on liquid bonds – and hence is highly replicable – while at the same time offers a high degree of coverage.
"For investors looking to purchase a product which generates returns that are truly reflective of the underlying market, our index offers more representative results than current proprietary indices," Supple said.
