NOMURA-BPI Daily Data

09/28/2020

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 386.876 -14.35 2.67 1.88 0.78 -0.82 -1.12
1<=YR<3 235.023 -2.78 0.44 -0.07 0.51 -0.06 -0.14
3<=YR<7 340.873 -6.74 2.10 1.51 0.59 0.01 -0.20
7<=YR 597.532 -22.38 3.77 2.79 0.98 -1.50 -1.92
7YR-11YR*2 200.271 -11.96 4.29 3.45 0.84 0.15 -0.17
11YR-*2 276.259 -27.48 3.51 2.47 1.05 -2.30 -2.76
Government 400.475 -15.60 2.71 1.91 0.81 -1.05 -1.23
1<=YR<3 222.677 -3.27 0.47 -0.03 0.51 -0.13 -0.17
3<=YR<7 340.513 -7.90 2.28 1.67 0.60 -0.17 -0.21
7<=YR 612.943 -23.41 3.69 2.68 1.00 -1.76 -2.06
7YR-11YR*2 199.029 -12.42 4.26 3.39 0.87 -0.07 -0.16
11YR-*2 277.093 -28.51 3.42 2.36 1.07 -2.54 -2.93
Municipals 402.957 -7.13 2.79 2.14 0.65 0.40 -0.44
Govt.Grntd 382.403 -7.55 1.46 0.80 0.66 -0.37 -0.83
Bank Dbntr 274.369 0.07 -0.04 -0.15 0.11 0.62 0.00
Corporates 401.327 -10.17 2.52 1.84 0.68 0.54 -0.71
Yen Dnm Frgn 345.445 -2.81 2.71 1.98 0.72 0.87 -0.65
MBS*3 129.248 -8.90 2.70 1.95 0.75 0.51 0.20
ABS*4 114.156 -7.01 2.72 2.07 0.65 -0.05 -0.47
Overall ex.MBS 386.893 -14.43 2.67 1.88 0.78 -0.84 -1.14
1<=YR<3 235.023 -2.78 0.44 -0.07 0.51 -0.06 -0.14
3<=YR<7 340.873 -6.74 2.10 1.51 0.59 0.01 -0.20
7<=YR 600.891 -22.75 3.80 2.81 0.98 -1.55 -1.97
7YR-11YR*2 200.271 -11.96 4.29 3.45 0.84 0.15 -0.17
11YR-*2 279.718 -28.23 3.55 2.49 1.06 -2.41 -2.87
Overall ex.ABS 386.920 -14.36 2.67 1.88 0.78 -0.82 -1.12
1<=YR<3 234.993 -2.78 0.44 -0.07 0.51 -0.06 -0.14
3<=YR<7 340.871 -6.74 2.10 1.51 0.59 0.01 -0.20
7<=YR 597.551 -22.39 3.77 2.79 0.98 -1.50 -1.92
7YR-11YR*2 200.268 -11.96 4.29 3.45 0.84 0.15 -0.17
11YR-*2 276.261 -27.48 3.51 2.47 1.05 -2.30 -2.76
Overall ex.MBS,ABS 386.938 -14.43 2.67 1.88 0.78 -0.84 -1.14
1<=YR<3 234.993 -2.78 0.44 -0.07 0.51 -0.06 -0.14
3<=YR<7 340.871 -6.74 2.10 1.51 0.59 0.01 -0.20
7<=YR 600.912 -22.75 3.80 2.81 0.98 -1.55 -1.97
7YR-11YR*2 200.268 -11.96 4.29 3.45 0.84 0.15 -0.17
11YR-*2 279.720 -28.23 3.55 2.49 1.06 -2.41 -2.87
Overall ex.JGB* 176.172 -8.09 2.43 1.78 0.66 0.36 -0.53
1<=YR<3* 132.971 -0.76 0.29 -0.24 0.53 0.25 -0.02
3<=YR<7* 167.129 -2.00 1.38 0.87 0.51 0.76 -0.17
7<=YR* 250.440 -16.09 4.27 3.45 0.82 0.14 -1.02
7YR-11YR*2 204.185 -9.68 4.45 3.76 0.70 1.25 -0.23
11YR-*2 262.088 -20.30 4.15 3.24 0.90 -0.60 -1.54
SDGs*5 102.607 -10.75 2.63 2.38 0.25 0.06 -0.72
Overall SDGs (excl. ABS)*5 102.734 -10.76 2.59 2.35 0.24 0.09 -0.73
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 990924 107.40 107.53 9.88 0.86 0.10 0.10 9.39 9.38 9.37 4
1<=YR<3 207051 101.28 101.37 2.02 0.53 -0.10 -0.10 2.01 2.01 2.01 5
3<=YR<7 275550 103.37 103.46 4.85 0.62 -0.06 -0.06 4.79 4.79 4.79 6
7<=YR 508324 112.09 112.24 15.80 1.13 0.26 0.26 14.41 14.39 14.37 3
7YR-11YR 172995 108.25 108.40 8.74 0.93 0.02 0.02 8.42 8.42 8.42 4
11YR- 335329 114.07 114.22 19.45 1.24 0.38 0.38 17.34 17.31 17.28 3
Government 819452 108.27 108.39 10.41 0.90 0.07 0.08 9.86 9.84 9.83 0
1<=YR<3 166649 101.38 101.46 2.01 0.53 -0.15 -0.15 2.00 2.00 2.00 0
3<=YR<7 220148 103.78 103.88 4.88 0.65 -0.12 -0.12 4.81 4.81 4.81 0
7<=YR 432655 113.20 113.35 16.45 1.18 0.23 0.25 14.92 14.89 14.88 0
7YR-11YR 142494 109.07 109.22 8.77 0.97 -0.02 -0.03 8.44 8.44 8.44 0
11YR- 290160 115.23 115.37 20.23 1.28 0.35 0.37 17.93 17.89 17.87 1
Municipals 64549 104.12 104.23 7.62 0.68 0.13 0.13 7.39 7.38 7.38 14
Govt.Grntd 23363 104.03 104.21 7.55 0.68 0.10 0.10 7.23 7.22 7.22 11
Bank Dbntr 4321 100.13 100.15 2.93 0.11 0.07 0.07 2.92 2.92 2.92 20
Corporates 59214 102.90 103.06 7.94 0.71 0.35 0.36 7.53 7.52 7.52 36
Yen Dnm Frgn 4765 99.86 100.05 4.24 0.73 0.83 0.83 4.12 4.10 4.12 94
MBS 14522 102.17 102.21 5.92 0.78 0.68 0.25 5.79 5.78 5.55 20
ABS 738 99.83 100.00 5.79 0.66 0.63 0.62 5.52 5.50 5.52 70
Overall ex.MBS 976402 107.48 107.61 9.94 0.87 0.09 0.10 9.44 9.43 9.42 4
1<=YR<3 207051 101.28 101.37 2.02 0.53 -0.10 -0.10 2.01 2.01 2.01 5
3<=YR<7 275550 103.37 103.46 4.85 0.62 -0.06 -0.06 4.79 4.79 4.79 6
7<=YR 493802 112.38 112.53 16.10 1.14 0.25 0.26 14.64 14.62 14.60 3
7YR-11YR 172995 108.25 108.40 8.74 0.93 0.02 0.02 8.42 8.42 8.42 4
11YR- 320807 114.61 114.76 20.06 1.26 0.37 0.39 17.81 17.77 17.75 2
Overall ex.ABS 990186 107.41 107.53 9.88 0.86 0.10 0.10 9.40 9.38 9.37 4
1<=YR<3 206860 101.28 101.37 2.02 0.53 -0.10 -0.10 2.01 2.01 2.01 5
3<=YR<7 275193 103.37 103.47 4.85 0.62 -0.06 -0.07 4.79 4.79 4.79 6
7<=YR 508132 112.09 112.24 15.81 1.13 0.26 0.26 14.41 14.39 14.37 3
7YR-11YR 172862 108.26 108.41 8.74 0.93 0.02 0.02 8.42 8.42 8.42 4
11YR- 335270 114.07 114.22 19.45 1.24 0.38 0.38 17.34 17.31 17.28 3
Overall ex.MBS,ABS 975664 107.49 107.61 9.94 0.87 0.09 0.10 9.45 9.43 9.43 4
1<=YR<3 206860 101.28 101.37 2.02 0.53 -0.10 -0.10 2.01 2.01 2.01 5
3<=YR<7 275193 103.37 103.47 4.85 0.62 -0.06 -0.07 4.79 4.79 4.79 6
7<=YR 493610 112.39 112.54 16.10 1.14 0.25 0.26 14.64 14.62 14.61 3
7YR-11YR 172862 108.26 108.41 8.74 0.93 0.02 0.02 8.42 8.42 8.42 4
11YR- 320748 114.61 114.76 20.06 1.26 0.37 0.39 17.81 17.77 17.75 2
Overall ex.JGB 171473 103.28 103.41 7.36 0.69 0.27 0.23 7.08 7.07 7.05 24
1<=YR<3 40402 100.89 101.00 2.05 0.55 0.09 0.09 2.04 2.04 2.04 24
3<=YR<7 55401 101.71 101.81 4.76 0.53 0.17 0.17 4.70 4.70 4.70 29
7<=YR 75670 105.72 105.88 12.10 0.88 0.43 0.35 11.32 11.30 11.25 22
7YR-11YR 30500 104.40 104.56 8.60 0.73 0.23 0.23 8.35 8.34 8.35 26
11YR- 45169 106.60 106.76 14.45 0.98 0.56 0.43 13.29 13.26 13.18 19
SDGs 2246 99.74 99.79 8.02 0.25 0.30 0.30 7.79 7.78 7.79 31
Overall SDGs (excl. ABS) 2112 99.81 99.86 8.04 0.24 0.28 0.28 7.83 7.82 7.83 28

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