NOMURA-BPI Monthly Data

11/30/2023

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 366.877 25.62 24.83 0.79 -3.14 0.08
1<=YR<3 234.294 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 337.869 12.08 11.49 0.59 -0.55 0.63
7<=YR 543.408 42.50 41.44 1.07 -5.60 -0.25
7YR-11YR*2 194.102 28.83 27.93 0.91 -2.03 0.23
11YR-*2 242.740 50.59 49.43 1.16 -7.60 -0.53
Government 378.104 26.74 25.92 0.82 -3.46 0.02
1<=YR<3 221.653 2.38 2.00 0.38 -0.27 0.09
3<=YR<7 336.972 11.96 11.36 0.60 -0.66 0.56
7<=YR 555.024 43.72 42.62 1.09 -5.96 -0.29
7YR-11YR*2 192.800 28.92 28.00 0.92 -2.23 0.15
11YR-*2 242.152 52.42 51.22 1.19 -8.02 -0.56
Municipals 391.217 21.27 20.67 0.59 -1.25 0.59
Govt.Grntd 367.399 22.92 22.23 0.69 -2.42 0.02
Bank Dbntr 273.808 7.20 7.01 0.19 -0.12 0.35
Corporates 388.732 18.05 17.35 0.70 -1.38 0.51
Yen Dnm Frgn 352.982 10.45 9.37 1.08 1.42 2.37
MBS*3 125.500 18.80 18.15 0.64 -1.35 -0.04
ABS*4 113.756 16.80 16.08 0.72 -0.59 0.73
Overall ex.MBS 366.774 25.71 24.92 0.79 -3.16 0.09
1<=YR<3 234.294 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 337.869 12.08 11.49 0.59 -0.55 0.63
7<=YR 545.524 43.11 42.04 1.08 -5.71 -0.25
7YR-11YR*2 194.098 28.86 27.95 0.91 -2.03 0.23
11YR-*2 244.789 51.89 50.71 1.18 -7.84 -0.54
Overall ex.ABS 366.905 25.63 24.84 0.79 -3.14 0.08
1<=YR<3 234.260 2.50 2.12 0.39 -0.20 0.15
3<=YR<7 337.862 12.08 11.49 0.59 -0.55 0.63
7<=YR 543.410 42.51 41.44 1.07 -5.61 -0.25
7YR-11YR*2 194.096 28.83 27.93 0.91 -2.03 0.23
11YR-*2 242.738 50.60 49.44 1.16 -7.60 -0.53
Overall ex.MBS,ABS 366.802 25.72 24.92 0.79 -3.17 0.09
1<=YR<3 234.260 2.50 2.12 0.39 -0.20 0.15
3<=YR<7 337.862 12.08 11.49 0.59 -0.55 0.63
7<=YR 545.526 43.11 42.04 1.08 -5.71 -0.25
7YR-11YR*2 194.092 28.86 27.95 0.91 -2.03 0.23
11YR-*2 244.788 51.89 50.71 1.18 -7.84 -0.54
Overall ex.JGB* 170.991 19.44 18.79 0.65 -1.35 0.48
1<=YR<3* 133.422 3.07 2.68 0.39 0.11 0.40
3<=YR<7* 166.800 12.64 12.07 0.56 -0.04 0.97
7<=YR* 234.156 34.14 33.28 0.86 -3.11 0.13
7YR-11YR*2 198.481 28.24 27.46 0.78 -0.75 0.78
11YR-*2 239.103 37.80 36.89 0.91 -4.54 -0.24
SDGs*5 99.468 19.67 19.21 0.46 -1.39 0.71
Overall SDGs (excl. ABS)*5 99.550 19.63 19.17 0.46 -1.39 0.73
SDGs/E*5 99.979 17.80 17.37 0.43 -1.19 0.66
Overall SDGs/E (excl. ABS)*5 100.088 17.73 17.31 0.43 -1.19 0.66
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 1122123 98.79 99.01 10.11 0.77 0.65 0.64 8.87 8.82 8.83 5
1<=YR<3 224234 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 5
3<=YR<7 305347 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 5
7<=YR 592542 96.69 96.97 16.01 1.00 1.09 1.07 13.91 13.83 13.84 4
7YR-11YR 205392 102.63 102.91 8.64 0.91 0.61 0.62 8.31 8.28 8.30 5
11YR- 387149 93.53 93.82 19.92 1.05 1.36 1.33 17.17 17.05 17.06 4
Government 949624 98.95 99.18 10.59 0.79 0.64 0.63 9.25 9.20 9.21 1
1<=YR<3 184239 100.69 100.81 1.86 0.39 0.02 0.01 1.85 1.85 1.85 0
3<=YR<7 248744 101.86 102.05 4.69 0.60 0.22 0.22 4.62 4.61 4.62 0
7<=YR 516641 96.92 97.21 16.54 1.03 1.08 1.06 14.32 14.24 14.25 1
7YR-11YR 177658 103.16 103.45 8.66 0.94 0.57 0.58 8.32 8.30 8.32 1
11YR- 338984 93.65 93.95 20.67 1.08 1.38 1.33 17.79 17.66 17.67 1
Municipals 67609 98.69 98.83 7.46 0.58 0.58 0.59 6.96 6.93 6.93 14
Govt.Grntd 14651 98.29 98.44 9.08 0.68 0.64 0.62 7.97 7.93 7.94 10
Bank Dbntr 3431 99.31 99.36 3.19 0.19 0.36 0.36 3.16 3.15 3.16 25
Corporates 68673 97.16 97.34 7.67 0.68 0.87 0.85 6.69 6.65 6.66 44
Yen Dnm Frgn 2949 98.94 99.26 3.89 1.07 1.28 1.27 3.70 3.68 3.70 111
MBS 14471 96.99 97.03 7.01 0.63 0.74 0.96 6.63 6.60 6.66 20
ABS 714 97.07 97.23 5.97 0.69 1.00 0.97 5.58 5.54 5.57 65
Overall ex.MBS 1107652 98.81 99.03 10.15 0.77 0.65 0.64 8.90 8.85 8.86 5
1<=YR<3 224234 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 5
3<=YR<7 305347 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 5
7<=YR 578071 96.68 96.97 16.24 1.01 1.10 1.07 14.09 14.01 14.02 4
7YR-11YR 205172 102.63 102.91 8.65 0.91 0.61 0.62 8.31 8.29 8.31 5
11YR- 372898 93.40 93.69 20.41 1.06 1.39 1.34 17.59 17.46 17.47 3
Overall ex.ABS 1121409 98.79 99.01 10.11 0.77 0.65 0.64 8.87 8.83 8.83 5
1<=YR<3 224047 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 5
3<=YR<7 305049 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 5
7<=YR 592312 96.69 96.97 16.02 1.00 1.09 1.07 13.91 13.83 13.84 4
7YR-11YR 205248 102.63 102.91 8.64 0.91 0.61 0.62 8.31 8.28 8.30 5
11YR- 387064 93.54 93.82 19.92 1.05 1.36 1.33 17.17 17.05 17.06 4
Overall ex.MBS,ABS 1106937 98.81 99.04 10.16 0.77 0.65 0.64 8.90 8.86 8.86 5
1<=YR<3 224047 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 5
3<=YR<7 305049 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 5
7<=YR 577840 96.68 96.97 16.24 1.01 1.10 1.07 14.10 14.01 14.02 4
7YR-11YR 205028 102.64 102.92 8.65 0.91 0.61 0.62 8.31 8.29 8.31 5
11YR- 372812 93.40 93.70 20.41 1.06 1.39 1.34 17.59 17.46 17.47 3
Overall ex.JGB 172499 97.91 98.06 7.49 0.63 0.72 0.73 6.77 6.74 6.75 28
1<=YR<3 39995 100.14 100.24 2.00 0.39 0.31 0.31 1.99 1.99 1.99 29
3<=YR<7 56603 100.11 100.26 4.78 0.56 0.53 0.53 4.71 4.70 4.71 30
7<=YR 75901 95.10 95.28 12.41 0.81 1.11 1.14 11.04 10.97 11.00 26
7YR-11YR 27735 99.22 99.42 8.51 0.76 0.88 0.87 8.23 8.19 8.22 31
11YR- 48166 92.73 92.90 14.65 0.83 1.25 1.30 12.78 12.68 12.70 24
SDGs 12387 96.99 97.09 7.73 0.45 0.75 0.73 7.00 6.96 6.98 30
Overall SDGs (excl. ABS) 12075 97.02 97.12 7.74 0.44 0.74 0.72 7.01 6.97 6.98 29
SDGs/E 15698 97.29 97.39 7.09 0.42 0.70 0.68 6.45 6.41 6.43 29
Overall SDGs/E (excl. ABS) 15386 97.32 97.42 7.09 0.41 0.69 0.67 6.44 6.41 6.42 29
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