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About Daiwa Bond Index (DBI)

The Daiwa Bond Index (DBI) is a daily bond index calculated and released by Daiwa Institute of Research, based on a world-standard calculation method. Using this index, investors can monitor the general movement of the bond market in a timely way.

DBI covers all categories of Japanese publicly-issued coupon bonds.

DBI consists of a total return index, which is the accumulated number of total returns with the base date set at 100, and various auxiliary indices to enable a detailed analysis of the market.
Calculation of DBI
DBI is an index for measuring the performance of the domestic coupon bond market.

DBI was first released in June 1986. In April 1989, due to a change in the market environment, the index was modified.

DBI is designed for the purpose of measuring the comprehensive performance (total return), using the market-value weighting method. Additionally, the index can be used as a benchmark for evaluating a portfolio, because it is calculated on the concept of time-weighted return.
Issues included, and categories of indices
Issues included --- Publicly-issued coupon Yen-denominated bonds with outstanding value of Y5 billion or more and one year or more.

Indices by maturity --- Composite (1 year or more), short-term (1-3 years), medium-term (3-7 years), long-term (7 years or more), 7y-12y , 12y- and every one years.

Indices by issuer --- Composite,Composite-Investable, government bonds, municipal bonds, government-guaranteed bonds, bank debentures, corporate bonds, yen-denominated foreign bonds, Residential Mortgage Backed Securities and Fiscal Loan ABS (As for the corporate bond, 33 classification by industry and with rank) (Composite-Investable adds Residential Mortgage Backed Securities and Fiscal Loan ABS to Composite except for corporate bond below BBB+.)
Calculation method
-Issues selected --- Publicly-issued coupon bonds issued in Japan

-Outstanding value --- Y5 billion or more

-Period of calculation of a bond --- Calculation begins from the day after the issue, and continues through the redemption day

-Prices selected --- Prices represent over-the-counter prices (middle prices) at Daiwa Securities Co. Ltd.

-Weighting method --- Market-value weighting method

-Calculation interval --- Daily (from Monday through Friday, and the last day of each month)

-Base date --- The base date for the cumulative return is set at the end of December 1980. Monthly data is available from November 1980 through June 1986, then continues as daily data thereafter. A new DBI is available from April 1, 1989.

-Contract date and settlement date --- Accrued interest is calculated, assuming that a given day's index reflects that day's price.
Calculation equations
Total return

Total return = (today's price - previous day's price + today's coupon gain) / previous day's price
(Note: Price = Middle price + accrued interest)

After calculating the total return for each issue, the weighted average is calculated on the basis of the previous day's market value.

Total return index

The total return index is the accumulated number of total returns with the base date set at 100. The return between any two given dates can be obtained by calculating the ratio between these two corresponding indices.
Contact us about DBI
Last Revised: Dec 4 2013

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