Introducing
the India Government Bond Index • India
has been added to J.P. Mor gan’s government bond
index product line
• The index had a total
marke t capitalization of INR592
billion (USD12.97 billion) on September
1, 2000 • J.P.
Morgan offers three sector indices: 1-5 years, 5-10 years
and 10+ years in addition to the all sector index J.P.
Morgan is pleased to announce the addition of India to its line
of government bond indices. The J.P. Morgan India Government
Bond Index (JPM IGBI) comprises three sector indices:
1-5 years, 5-10 years and 10+ years in addition to the all
sector (composite) index. As of September 1, 2000 the JPM IGBI
comprised 8 issues with a total par amount outstanding of
INR581 billion and having a total market value of INR592 billion.
The JPM IGBI contains local currency bonds issued by
the central government that are regularly
traded and available for investment. Calculations
of index returns adhere to local market
trading and settlement conventions. J.P.
Morgan, which is an active market-maker of Indian government
bonds, provides daily bond pricing for the index. Updates
to the bond-level composition of the index are made on
the first business day of each month to ensure that the index
accurately reflects the available market supply of investable
bonds. J.P. Morgan analysts covering the Indian government
bond market will provide updates on current outstanding
amounts of bonds arising from re-openings, buybacks,
or any new issuance activity. The table
below summarizes the defining characteristics of the JPM
IGBI as of September 1, 2000. Profile
for the Indian Government Bond Index As
of September 1, 2000 Issuer
Government of India
Number of issues
8 Par
amount outstanding (INR billion) 581
Market value (INR billion)
592 Average
coupon 11.75%
Average maturity (years)
6.74 Yield
(%) 11.24%
Duration (years)
3.97 Convexity
(years squared) 27.48
Overview of the Indian government bond
market The Reserve Bank of India
(RBI) issues bonds known as Government
of India Securities (G-Secs) on behalf of the Government
of India. The issuance maturity of G-Secs is between
two to twenty years and the typical issue size varies between
INR25-50 billion. As on September 1, 2000 the par outstanding
value of the Indian government bond market was INR4,228
billion. G-Secs are issued to the
market through an auction or on-tap. The
details a G-Sec issuance are announced about 3/4 days in advance.
Typically, the RBI holds a G-Sec issuance every 2/3 weeks
and the frequency is usually higher in the first half of the
financial year (April-March). The bonds offered are either new
securities or reopenings of earlier issuances. Indian
government bond characteristics •
Most G-Secs are fixed semi-annual
coupon bearing bullet redemption
bonds and are non-callable/non-puttable. •
Interest on these bonds is paid semi-annually.
If coupon business day. Ex-dividend
rule is three business days. •
If redemption date falls on a holiday,
payment is made on the previous
business day. •
G-Secs trade on a clean price basis
usually upto 2 decimal places.
The bid-ask price spread is typically 2-3bps. •
The day count convention is 30E/360.
• G-Sec
trades are generally settled on the same or next business
day but can go upto T+5 in some cases. •
Indian bonds trade (and settle) on Saturdays, but not
on Sundays.
0 400
800 1200
1600 2000
< 5 years
5-10 years >
10 years Matu
rity profile of central government bonds
INR billion, as on September 1
