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Ref Index and Indexation Coefficient applicable to Inflation-Indexed Bonds

  • How the “Ref Index” and “Indexation Coefficient” applicable to Inflation-Indexed Bonds are calculated.
    (n: calendar day corresponding to the date of calculation, m: month to which the nth day belongs)

< Ref Index >

Ref Index corresponds to the following (rounded to the third decimal place) :

(1) If n=10,

CPI[1] for the (m-3)th month

(2) If n>10,

Ref Index for the 10th day of the mth month + ( Ref Index for the 10th day of the (m+1)th month Ref Index for the 10th day of the mth month ) × (n−10)
the number of days from the 11th day of the mth month to the 10th day of the (m+1)th month

(3) If n<10,

Ref Index for the 10th day of the (m−1)th month + ( Ref Index for the 10th day of the mth month Ref Index for the 10th day of the (m−1)th month ) × the number of days from the 11th day of the (m−1)th month to the nth day of the mth month
the number of days from the 11th day of the (m−1)th month to the 10th day of the mth month

< Indexation Coefficient >

Indexation Coefficient corresponds to the following (rounded to the fifth decimal place [2]) :

Ref Index for the nth day of the mth month
Ref Index for the 10th day of the issue month (interest payment month) [3]

[1]   CPI means the Japan Consumer Price Index, which represents the general consumer price index excluding fresh food.

[2]   Indexation Coefficient for Inflation-Indexed Bonds issued before 31st March 2016 should be rounded to third decimal place. 

[3]   When the period from the issuance to the first interest payment is less than 6 months, “the issue month” should be replaced by the month 6 months before the first interest payment month, in calculating the inflation-adjusted principal amount.

In case of the re-opened issue, Ref Index for the 10th day of the issue month of the outstanding issue should be applied.

* The 2020-base revision of CPI

2015-base CPI was revised to 2020-base CPI in August 2021.

Calculation method of Indexation Coefficient after 11th September 2021 is as follows:

Note that Ref Index and Indexation Coefficient before 10th September 2021 which was already calculated based on old base CPI will not be modified by the 2020-base revision of CPI.

Issue number 17 to 21

Before 10th Sep 2021 After 11th Sep 2021
Ref Index for the nth day of the mth month (2015-base)
Ref Index for the 10th day of the issue month (interest payment month) (2010-base)
×
Ref Index for the 10th Sep 2016 (2010-base)
Ref Index for the 10th Sep 2016 (2015-base)
Ref Index for the nth day of the mth month (2020-base)
Ref Index for the 10th day of the issue month (interest payment month) (2010-base)
×
Ref Index for the 10th Sep 2016 (2010-base)
Ref Index for the 10th Sep 2016 (2015-base)
×
Ref Index for the 10th Sep 2021 (2015-base)
Ref Index for the 10th Sep 2021 (2020-base)

(note 1) To calculate Ref Index for the 11th Sep 2021 to the 9th Oct 2021, Ref Index for the 10th Sep 2021 (2020-base) should be used.

(note 2) A fraction is to be rounded off finally in calculation.

Issue number 22 to 26

Before 10th Sep 2021 After 11th Sep 2021
Ref Index for the nth day of the mth month (2015-base)
Ref Index for the 10th day of the issue month (interest payment month) (2015-base)
Ref Index for the nth day of the mth month (2020-base)
Ref Index for the 10th day of the issue month (interest payment month) (2015-base)
×
Ref Index for the 10th Sep 2021 (2015-base)
Ref Index for the 10th Sep 2021 (2020-base)

(note 1) To calculate Ref Index for the 11th Sep 2021 to the 9th Oct 2021, Ref Index for the 10th Sep 2021 (2020-base) should be used.

(note 2) A fraction is to be rounded off finally in calculation.

Provisional calculations of Ref Indices and Indexation Coefficients by the MOF. *

* These figures are offered for your information only. Their authenticity should be scrutinized if they are used for the sake of transactions.

 
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