NOMURA-BPI Monthly Data

06/28/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 357.511 3.58 2.76 0.82 -9.83 -5.92
1<=YR<3 233.539 2.19 1.81 0.38 -0.68 -0.72
3<=YR<7 334.586 4.10 3.46 0.64 -3.33 -2.51
7<=YR 519.995 3.89 2.78 1.11 -17.04 -9.84
7YR-11YR*2 190.497 4.46 3.49 0.97 -8.19 -4.79
11YR-*2 228.799 3.54 2.34 1.20 -22.25 -12.79
Government 367.658 3.54 2.69 0.85 -10.47 -6.35
1<=YR<3 220.855 2.12 1.75 0.37 -0.74 -0.78
3<=YR<7 333.447 4.04 3.39 0.65 -3.43 -2.64
7<=YR 529.824 3.84 2.70 1.14 -17.70 -10.32
7YR-11YR*2 189.023 4.39 3.41 0.98 -8.33 -4.96
11YR-*2 227.526 3.52 2.28 1.23 -23.19 -13.42
Municipals 385.446 4.17 3.56 0.62 -6.30 -3.70
Govt.Grntd 359.874 3.60 2.88 0.73 -8.62 -4.86
Bank Dbntr 272.337 3.12 2.87 0.25 -1.59 -1.28
Corporates 384.383 3.88 3.14 0.74 -5.93 -3.05
Yen Dnm Frgn 355.328 3.55 2.51 1.04 0.06 0.71
MBS*3 122.865 2.51 1.86 0.65 -7.91 -4.75
ABS*4 112.641 3.99 3.25 0.73 -4.13 -2.59
Overall ex.MBS 357.390 3.60 2.77 0.82 -9.86 -5.93
1<=YR<3 233.539 2.19 1.81 0.38 -0.68 -0.72
3<=YR<7 334.586 4.10 3.46 0.64 -3.33 -2.51
7<=YR 521.725 3.92 2.80 1.12 -17.26 -9.97
7YR-11YR*2 190.490 4.46 3.49 0.97 -8.20 -4.80
11YR-*2 230.386 3.58 2.36 1.22 -22.81 -13.10
Overall ex.ABS 357.535 3.58 2.76 0.82 -9.84 -5.92
1<=YR<3 233.504 2.19 1.81 0.38 -0.68 -0.72
3<=YR<7 334.578 4.10 3.46 0.64 -3.33 -2.51
7<=YR 519.993 3.89 2.78 1.11 -17.04 -9.84
7YR-11YR*2 190.491 4.46 3.49 0.97 -8.19 -4.79
11YR-*2 228.797 3.54 2.34 1.20 -22.25 -12.79
Overall ex.MBS,ABS 357.414 3.60 2.77 0.82 -9.86 -5.94
1<=YR<3 233.504 2.19 1.81 0.38 -0.68 -0.72
3<=YR<7 334.578 4.10 3.46 0.64 -3.33 -2.51
7<=YR 521.723 3.92 2.80 1.12 -17.26 -9.97
7YR-11YR*2 190.484 4.46 3.49 0.97 -8.20 -4.80
11YR-*2 230.383 3.58 2.36 1.22 -22.81 -13.10
Overall ex.JGB* 168.645 3.84 3.16 0.68 -6.25 -3.49
1<=YR<3* 133.228 2.52 2.12 0.40 -0.39 -0.42
3<=YR<7* 165.731 4.38 3.78 0.59 -2.86 -1.94
7<=YR* 227.905 4.19 3.27 0.92 -12.32 -6.49
7YR-11YR*2 196.153 4.93 4.05 0.88 -7.24 -3.65
11YR-*2 230.517 3.71 2.77 0.94 -15.46 -8.24
SDGs*5 98.099 4.21 3.68 0.53 -6.24 -3.53
Overall SDGs (excl. ABS)*5 98.176 4.20 3.68 0.53 -6.27 -3.53
SDGs/E*5 98.720 4.05 3.55 0.51 -5.69 -3.23
Overall SDGs/E (excl. ABS)*5 98.827 4.05 3.54 0.50 -5.70 -3.23
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 1130158 95.70 95.84 10.25 0.79 1.00 0.97 8.73 8.67 8.68 4
1<=YR<3 231504 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304067 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 594588 91.68 91.87 16.21 1.03 1.51 1.45 13.79 13.68 13.70 4
7YR-11YR 204754 100.34 100.50 8.76 0.98 0.95 0.96 8.40 8.36 8.39 3
11YR- 389834 87.13 87.34 20.12 1.05 1.85 1.74 17.05 16.89 16.91 4
Government 958319 95.62 95.76 10.75 0.82 1.01 0.97 9.11 9.05 9.06 1
1<=YR<3 190678 100.14 100.20 2.00 0.38 0.30 0.30 1.99 1.98 1.99 1
3<=YR<7 247505 100.54 100.63 4.89 0.66 0.55 0.56 4.80 4.79 4.80 0
7<=YR 520137 91.63 91.82 16.76 1.05 1.53 1.45 14.21 14.10 14.12 1
7YR-11YR 177373 100.72 100.86 8.80 1.00 0.92 0.93 8.42 8.38 8.42 0
11YR- 342763 86.92 87.13 20.87 1.08 1.89 1.76 17.68 17.52 17.53 1
Municipals 66869 96.83 96.96 7.39 0.60 0.86 0.87 6.80 6.76 6.77 10
Govt.Grntd 14390 95.78 95.98 9.13 0.70 0.95 0.91 7.82 7.76 7.79 7
Bank Dbntr 3439 98.62 98.67 3.12 0.25 0.67 0.66 3.07 3.06 3.07 26
Corporates 69215 95.67 95.84 7.50 0.71 1.13 1.09 6.40 6.35 6.37 38
Yen Dnm Frgn 3090 98.98 99.21 3.75 1.03 1.27 1.26 3.57 3.55 3.57 81
MBS 14137 94.50 94.53 7.35 0.63 0.86 1.33 6.83 6.79 7.06 22
ABS 699 95.63 95.79 5.64 0.70 1.30 1.26 5.21 5.17 5.20 66
Overall ex.MBS 1116021 95.72 95.86 10.28 0.79 1.00 0.97 8.75 8.69 8.70 4
1<=YR<3 231504 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304067 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 580451 91.61 91.81 16.43 1.04 1.53 1.45 13.96 13.85 13.87 3
7YR-11YR 204561 100.34 100.50 8.77 0.98 0.95 0.96 8.40 8.36 8.40 3
11YR- 375890 86.86 87.08 20.59 1.07 1.89 1.76 17.46 17.30 17.31 3
Overall ex.ABS 1129459 95.70 95.84 10.25 0.79 1.00 0.97 8.73 8.67 8.69 4
1<=YR<3 231294 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 303768 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 4
7<=YR 594397 91.68 91.87 16.21 1.03 1.51 1.45 13.79 13.68 13.70 4
7YR-11YR 204649 100.34 100.50 8.76 0.98 0.95 0.96 8.40 8.36 8.39 3
11YR- 389748 87.13 87.34 20.12 1.05 1.85 1.74 17.05 16.89 16.92 4
Overall ex.MBS,ABS 1115322 95.72 95.86 10.29 0.79 1.00 0.97 8.75 8.69 8.71 4
1<=YR<3 231294 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 303768 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 4
7<=YR 580260 91.61 91.81 16.43 1.04 1.53 1.45 13.96 13.85 13.87 3
7YR-11YR 204456 100.34 100.50 8.77 0.98 0.95 0.96 8.40 8.36 8.40 3
11YR- 375804 86.86 87.08 20.59 1.07 1.89 1.76 17.46 17.30 17.31 3
Overall ex.JGB 171839 96.15 96.30 7.42 0.66 0.98 1.00 6.58 6.54 6.58 24
1<=YR<3 40826 99.67 99.75 2.01 0.40 0.55 0.55 2.00 2.00 2.00 26
3<=YR<7 56562 99.00 99.14 4.77 0.59 0.79 0.78 4.69 4.67 4.69 24
7<=YR 74451 92.07 92.25 12.40 0.85 1.40 1.45 10.85 10.76 10.83 23
7YR-11YR 27381 97.89 98.11 8.55 0.86 1.15 1.14 8.22 8.17 8.21 24
11YR- 47070 88.68 88.84 14.64 0.84 1.55 1.66 12.54 12.42 12.52 22
SDGs 16290 96.07 96.17 7.33 0.51 0.98 0.96 6.60 6.56 6.58 22
Overall SDGs (excl. ABS) 15966 96.10 96.20 7.35 0.51 0.98 0.95 6.61 6.57 6.59 22
SDGs/E 19663 96.32 96.42 6.86 0.49 0.95 0.92 6.18 6.14 6.16 23
Overall SDGs/E (excl. ABS) 19339 96.35 96.45 6.86 0.49 0.94 0.92 6.18 6.14 6.16 22
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