NOMURA-BPI Daily Data

09/26/2023

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 365.969 -22.57 -6.84 -7.58 0.75 -4.77 -0.23
1<=YR<3 234.202 -0.99 -0.24 -0.61 0.37 -0.35 0.13
3<=YR<7 336.744 -8.15 -4.04 -4.61 0.57 -1.43 0.33
7<=YR 541.895 -38.92 -10.95 -11.94 0.99 -8.19 -0.68
7YR-11YR*2 192.650 -45.07 -10.44 -11.31 0.87 -4.27 -0.72
11YR-*2 242.722 -35.40 -11.24 -12.29 1.06 -10.37 -0.66
Government 377.180 -23.47 -7.10 -7.87 0.77 -5.20 -0.31
1<=YR<3 221.593 -0.93 -0.29 -0.66 0.37 -0.42 0.08
3<=YR<7 335.884 -8.27 -4.14 -4.71 0.57 -1.56 0.25
7<=YR 553.473 -39.59 -11.14 -12.15 1.01 -8.68 -0.74
7YR-11YR*2 191.341 -45.12 -10.61 -11.50 0.89 -4.55 -0.84
11YR-*2 242.137 -36.46 -11.43 -12.52 1.08 -10.95 -0.70
Municipals 389.541 -21.20 -6.04 -6.61 0.57 -2.57 0.15
Govt.Grntd 366.319 -13.28 -5.11 -5.78 0.67 -3.90 -0.37
Bank Dbntr 273.223 -3.86 -1.56 -1.74 0.18 -0.60 0.14
Corporates 388.329 -16.18 -4.80 -5.47 0.68 -2.09 0.50
Yen Dnm Frgn 351.401 -11.05 -2.40 -3.44 1.04 1.02 2.32
MBS*3 125.307 -16.59 -6.81 -7.45 0.64 -2.16 -0.25
ABS*4 113.184 -19.56 -4.62 -5.33 0.71 -1.82 0.22
Overall ex.MBS 365.862 -22.65 -6.84 -7.59 0.75 -4.81 -0.23
1<=YR<3 234.202 -0.99 -0.24 -0.61 0.37 -0.35 0.13
3<=YR<7 336.744 -8.15 -4.04 -4.61 0.57 -1.43 0.33
7<=YR 543.992 -39.50 -11.06 -12.05 1.00 -8.34 -0.69
7YR-11YR*2 192.645 -45.12 -10.45 -11.33 0.87 -4.27 -0.72
11YR-*2 244.789 -36.15 -11.41 -12.49 1.07 -10.69 -0.67
Overall ex.ABS 365.998 -22.57 -6.84 -7.59 0.75 -4.78 -0.23
1<=YR<3 234.168 -0.99 -0.24 -0.62 0.37 -0.35 0.13
3<=YR<7 336.737 -8.14 -4.04 -4.61 0.57 -1.43 0.33
7<=YR 541.898 -38.91 -10.95 -11.94 0.99 -8.19 -0.68
7YR-11YR*2 192.645 -45.06 -10.44 -11.32 0.87 -4.27 -0.72
11YR-*2 242.721 -35.40 -11.24 -12.29 1.06 -10.37 -0.66
Overall ex.MBS,ABS 365.892 -22.65 -6.84 -7.59 0.75 -4.81 -0.23
1<=YR<3 234.168 -0.99 -0.24 -0.62 0.37 -0.35 0.13
3<=YR<7 336.737 -8.14 -4.04 -4.61 0.57 -1.43 0.33
7<=YR 543.995 -39.49 -11.06 -12.05 1.00 -8.34 -0.69
7YR-11YR*2 192.639 -45.11 -10.45 -11.33 0.87 -4.27 -0.72
11YR-*2 244.788 -36.15 -11.41 -12.49 1.07 -10.69 -0.67
Overall ex.JGB* 170.545 -17.63 -5.38 -6.01 0.63 -2.36 0.24
1<=YR<3* 133.292 -1.28 0.00 -0.39 0.39 -0.05 0.37
3<=YR<7* 166.168 -7.59 -3.62 -4.16 0.54 -0.82 0.68
7<=YR* 233.533 -34.33 -9.67 -10.49 0.82 -4.78 -0.20
7YR-11YR*2 197.110 -44.74 -9.36 -10.10 0.74 -2.42 0.03
11YR-*2 239.092 -27.92 -9.86 -10.73 0.87 -6.20 -0.31
SDGs*5 99.203 -17.48 -5.62 -6.04 0.42 -2.43 0.53
Overall SDGs (excl. ABS)*5 99.294 -17.07 -5.59 -6.00 0.41 -2.41 0.55
SDGs/E*5 99.729 -15.39 -5.03 -5.41 0.39 -2.13 0.47
Overall SDGs/E (excl. ABS)*5 99.845 -15.03 -4.99 -5.37 0.38 -2.11 0.49
Index Value Base: the end of Dec.1983 = 100.
* Base: the end of Dec.1993 = 100.
*2 Base: the end of Dec.1995 = 100.
*3 Base: the end of Mar.2003 = 100.
*4 Base: the end of Mar.2008 = 100.
*5 Base: the end of Dec.2017 = 100.

FaceVL Price Prc+Ac Life Cpn S.Yld C.Yld Dur M-Dur E-Dur Tspd
(BILL.YEN) (YEN) (YEN) (YR) (%) (%) (%) (YR) (bp)
Overall 1103073 98.69 98.79 10.22 0.77 0.68 0.67 9.01 8.96 8.97 5
1<=YR<3 224024 100.64 100.70 2.01 0.39 0.07 0.07 2.01 2.00 2.01 5
3<=YR<7 297645 101.29 101.39 4.85 0.59 0.33 0.33 4.78 4.77 4.78 5
7<=YR 581403 96.60 96.73 16.13 1.00 1.11 1.09 14.08 14.00 14.01 4
7YR-11YR 200164 102.16 102.31 8.76 0.92 0.68 0.69 8.42 8.39 8.42 5
11YR- 381239 93.68 93.79 20.00 1.04 1.36 1.32 17.32 17.20 17.22 4
Government 931436 98.85 98.95 10.71 0.79 0.67 0.65 9.40 9.35 9.36 1
1<=YR<3 184186 100.74 100.79 2.01 0.39 0.02 0.02 2.00 2.00 2.00 0
3<=YR<7 241879 101.62 101.71 4.86 0.60 0.27 0.28 4.78 4.78 4.78 0
7<=YR 505372 96.84 96.96 16.69 1.03 1.11 1.08 14.53 14.44 14.45 1
7YR-11YR 172236 102.73 102.88 8.80 0.95 0.65 0.65 8.45 8.42 8.44 1
11YR- 333135 93.79 93.90 20.77 1.07 1.37 1.33 17.97 17.84 17.86 1
Municipals 67605 98.40 98.53 7.50 0.57 0.62 0.63 6.99 6.96 6.97 14
Govt.Grntd 14961 98.22 98.40 8.94 0.66 0.64 0.63 7.86 7.82 7.84 10
Bank Dbntr 3441 99.16 99.21 3.24 0.18 0.38 0.38 3.21 3.20 3.21 25
Corporates 67343 97.15 97.31 7.79 0.67 0.88 0.85 6.83 6.79 6.80 42
Yen Dnm Frgn 2932 98.70 98.97 3.82 1.03 1.30 1.29 3.62 3.60 3.62 112
MBS 14626 97.00 97.03 6.99 0.64 0.74 0.95 6.62 6.58 6.63 18
ABS 728 96.80 96.99 6.01 0.69 1.03 1.00 5.60 5.56 5.59 65
Overall ex.MBS 1088447 98.71 98.81 10.26 0.77 0.68 0.66 9.04 8.99 9.00 5
1<=YR<3 224024 100.64 100.70 2.01 0.39 0.07 0.07 2.01 2.00 2.01 5
3<=YR<7 297645 101.29 101.39 4.85 0.59 0.33 0.33 4.78 4.77 4.78 5
7<=YR 566777 96.59 96.72 16.37 1.01 1.12 1.09 14.28 14.19 14.21 4
7YR-11YR 199936 102.17 102.32 8.77 0.93 0.68 0.69 8.43 8.40 8.42 5
11YR- 366842 93.55 93.67 20.51 1.06 1.38 1.34 17.76 17.63 17.65 3
Overall ex.ABS 1102345 98.69 98.79 10.22 0.77 0.68 0.67 9.01 8.96 8.97 5
1<=YR<3 223826 100.64 100.70 2.01 0.39 0.07 0.07 2.01 2.00 2.01 5
3<=YR<7 297362 101.30 101.39 4.85 0.59 0.33 0.33 4.78 4.77 4.78 5
7<=YR 581157 96.60 96.73 16.14 1.00 1.11 1.09 14.08 14.00 14.02 4
7YR-11YR 200007 102.17 102.32 8.76 0.92 0.68 0.69 8.42 8.39 8.42 4
11YR- 381150 93.68 93.79 20.00 1.04 1.36 1.32 17.32 17.20 17.22 4
Overall ex.MBS,ABS 1087719 98.71 98.82 10.27 0.77 0.68 0.66 9.04 8.99 9.00 4
1<=YR<3 223826 100.64 100.70 2.01 0.39 0.07 0.07 2.01 2.00 2.01 5
3<=YR<7 297362 101.30 101.39 4.85 0.59 0.33 0.33 4.78 4.77 4.78 5
7<=YR 566531 96.59 96.72 16.37 1.01 1.12 1.09 14.28 14.19 14.21 4
7YR-11YR 199778 102.17 102.32 8.77 0.93 0.68 0.69 8.43 8.40 8.43 4
11YR- 366753 93.55 93.67 20.51 1.06 1.38 1.34 17.76 17.63 17.65 3
Overall ex.JGB 171637 97.79 97.93 7.54 0.62 0.74 0.75 6.83 6.80 6.81 27
1<=YR<3 39839 100.16 100.24 2.04 0.39 0.30 0.30 2.03 2.03 2.03 28
3<=YR<7 55767 99.87 100.00 4.82 0.55 0.57 0.56 4.75 4.73 4.75 29
7<=YR 76032 95.03 95.19 12.42 0.80 1.12 1.15 11.09 11.01 11.04 24
7YR-11YR 27928 98.67 98.85 8.54 0.74 0.93 0.92 8.26 8.22 8.25 29
11YR- 48104 92.91 93.07 14.67 0.83 1.24 1.29 12.83 12.74 12.76 22
SDGs 11670 96.74 96.83 7.62 0.41 0.75 0.73 6.91 6.88 6.90 29
Overall SDGs (excl. ABS) 11360 96.78 96.86 7.63 0.41 0.74 0.72 6.92 6.88 6.90 28
SDGs/E 14656 97.03 97.11 7.04 0.38 0.70 0.69 6.40 6.37 6.39 28
Overall SDGs/E (excl. ABS) 14347 97.06 97.15 7.03 0.38 0.69 0.68 6.39 6.36 6.38 27

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