NOMURA-BPI Monthly Data

08/31/2020

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 386.087 -5.54 -6.35 0.80 -1.45 -1.55
1<=YR<3 234.944 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.324 -2.70 -3.30 0.60 -0.37 -0.46
7<=YR 595.809 -8.68 -9.68 1.00 -2.45 -2.56
7YR-11YR*2 199.614 -5.21 -6.05 0.84 -0.61 -0.68
11YR-*2 275.517 -10.39 -11.47 1.08 -3.36 -3.46
Government 399.644 -6.01 -6.84 0.83 -1.73 -1.68
1<=YR<3 222.596 -0.90 -1.42 0.52 -0.24 -0.24
3<=YR<7 339.919 -3.14 -3.76 0.62 -0.62 -0.49
7<=YR 611.214 -9.07 -10.10 1.03 -2.75 -2.71
7YR-11YR*2 198.381 -5.46 -6.33 0.87 -0.86 -0.66
11YR-*2 276.367 -10.76 -11.87 1.11 -3.62 -3.64
Municipals 402.097 -3.40 -4.07 0.66 -0.04 -0.80
Govt.Grntd 381.976 -3.13 -3.79 0.66 -0.70 -1.09
Bank Dbntr 274.378 -0.06 -0.17 0.11 0.75 0.01
Corporates 400.552 -3.34 -4.03 0.69 0.18 -1.08
Yen Dnm Frgn 344.729 -1.25 -1.97 0.72 0.54 -1.03
MBS*3 128.982 -2.82 -3.57 0.75 0.11 -0.09
ABS*4 113.919 -2.43 -3.09 0.65 -0.55 -0.83
Overall ex.MBS 386.104 -5.58 -6.38 0.80 -1.47 -1.57
1<=YR<3 234.944 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.324 -2.70 -3.30 0.60 -0.37 -0.46
7<=YR 599.145 -8.83 -9.84 1.01 -2.52 -2.63
7YR-11YR*2 199.614 -5.21 -6.05 0.84 -0.61 -0.68
11YR-*2 278.959 -10.69 -11.79 1.10 -3.49 -3.60
Overall ex.ABS 386.131 -5.54 -6.35 0.80 -1.45 -1.55
1<=YR<3 234.914 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.323 -2.70 -3.30 0.60 -0.37 -0.46
7<=YR 595.828 -8.68 -9.68 1.00 -2.45 -2.56
7YR-11YR*2 199.612 -5.21 -6.05 0.84 -0.60 -0.68
11YR-*2 275.518 -10.39 -11.47 1.08 -3.36 -3.46
Overall ex.MBS,ABS 386.149 -5.58 -6.39 0.80 -1.47 -1.57
1<=YR<3 234.914 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.323 -2.70 -3.30 0.60 -0.37 -0.46
7<=YR 599.166 -8.83 -9.84 1.01 -2.52 -2.63
7YR-11YR*2 199.612 -5.21 -6.05 0.84 -0.60 -0.68
11YR-*2 278.961 -10.69 -11.79 1.10 -3.49 -3.60
Overall ex.JGB* 175.844 -3.15 -3.82 0.67 -0.02 -0.86
1<=YR<3* 132.941 -0.15 -0.70 0.55 0.25 -0.05
3<=YR<7* 166.953 -0.87 -1.39 0.52 0.64 -0.34
7<=YR* 249.623 -6.26 -7.09 0.83 -0.61 -1.62
7YR-11YR*2 203.490 -3.96 -4.66 0.71 0.66 -0.77
11YR-*2 261.258 -7.78 -8.69 0.91 -1.46 -2.19
SDGs*5 102.400 -3.50 -3.75 0.25 -0.41 -1.11
Overall SDGs (excl. ABS)*5 102.531 -3.48 -3.72 0.24 -0.36 -1.11
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 996371 107.21 107.50 9.76 0.87 0.12 0.12 9.28 9.26 9.25 4
1<=YR<3 204170 101.15 101.31 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 4
3<=YR<7 280009 103.12 103.32 4.71 0.63 -0.03 -0.04 4.64 4.64 4.64 5
7<=YR 512193 111.87 112.25 15.66 1.13 0.28 0.28 14.27 14.24 14.23 3
7YR-11YR 176432 107.70 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 335760 114.06 114.49 19.35 1.25 0.39 0.40 17.22 17.18 17.16 3
Government 825383 108.05 108.36 10.26 0.90 0.09 0.10 9.72 9.70 9.70 0
1<=YR<3 164028 101.23 101.39 1.87 0.53 -0.13 -0.13 1.86 1.86 1.86 0
3<=YR<7 224688 103.50 103.71 4.71 0.65 -0.09 -0.09 4.64 4.64 4.64 0
7<=YR 436666 112.96 113.38 16.28 1.18 0.25 0.27 14.75 14.72 14.71 0
7YR-11YR 145863 108.44 108.74 8.64 0.95 0.01 0.01 8.31 8.31 8.31 0
11YR- 290804 115.24 115.70 20.11 1.29 0.36 0.39 17.78 17.74 17.73 0
Municipals 64516 103.96 104.13 7.60 0.69 0.15 0.15 7.37 7.36 7.35 13
Govt.Grntd 23563 103.95 104.09 7.54 0.69 0.11 0.11 7.23 7.22 7.22 9
Bank Dbntr 4385 100.14 100.16 2.91 0.11 0.06 0.06 2.90 2.90 2.90 17
Corporates 58417 102.80 102.99 7.86 0.72 0.37 0.37 7.46 7.44 7.45 35
Yen Dnm Frgn 4899 99.72 99.89 4.22 0.72 0.85 0.85 4.09 4.07 4.09 93
MBS 14477 102.02 102.06 5.93 0.79 0.70 0.28 5.79 5.79 5.57 20
ABS 732 99.67 99.84 5.81 0.66 0.65 0.65 5.53 5.51 5.53 70
Overall ex.MBS 981894 107.29 107.58 9.82 0.87 0.12 0.12 9.32 9.31 9.31 4
1<=YR<3 204170 101.15 101.31 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 4
3<=YR<7 280009 103.12 103.32 4.71 0.63 -0.03 -0.04 4.64 4.64 4.64 5
7<=YR 497715 112.15 112.54 15.94 1.14 0.27 0.28 14.49 14.46 14.46 3
7YR-11YR 176432 107.70 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 321283 114.60 115.05 19.96 1.27 0.38 0.40 17.68 17.64 17.62 2
Overall ex.ABS 995639 107.22 107.50 9.76 0.87 0.12 0.12 9.28 9.26 9.26 4
1<=YR<3 204027 101.15 101.31 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 4
3<=YR<7 279613 103.13 103.32 4.71 0.62 -0.04 -0.04 4.64 4.64 4.64 5
7<=YR 511999 111.87 112.25 15.66 1.13 0.28 0.28 14.27 14.24 14.23 3
7YR-11YR 176297 107.71 107.99 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 335702 114.06 114.49 19.35 1.25 0.39 0.40 17.22 17.18 17.16 3
Overall ex.MBS,ABS 981162 107.30 107.58 9.82 0.87 0.11 0.12 9.33 9.31 9.31 4
1<=YR<3 204027 101.15 101.31 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 4
3<=YR<7 279613 103.13 103.32 4.71 0.62 -0.04 -0.04 4.64 4.64 4.64 5
7<=YR 497522 112.16 112.55 15.94 1.14 0.27 0.28 14.49 14.47 14.46 3
7YR-11YR 176297 107.71 107.99 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 321224 114.60 115.05 19.96 1.27 0.38 0.40 17.68 17.64 17.62 2
Overall ex.JGB 170989 103.16 103.32 7.32 0.69 0.28 0.25 7.04 7.02 7.01 23
1<=YR<3 40142 100.86 100.98 1.99 0.55 0.10 0.10 1.98 1.97 1.98 22
3<=YR<7 55321 101.62 101.74 4.70 0.53 0.18 0.18 4.64 4.64 4.64 27
7<=YR 75526 105.52 105.71 12.07 0.89 0.45 0.38 11.30 11.27 11.23 21
7YR-11YR 30570 104.18 104.37 8.56 0.74 0.25 0.26 8.30 8.29 8.30 25
11YR- 44957 106.42 106.63 14.46 0.99 0.58 0.46 13.29 13.25 13.18 19
SDGs 1988 99.53 99.59 8.04 0.25 0.33 0.33 7.79 7.78 7.79 30
Overall SDGs (excl. ABS) 1862 99.61 99.67 8.07 0.24 0.30 0.30 7.84 7.82 7.83 28

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