NOMURA-BPI Monthly Data

01/31/2023

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 365.595 -3.11 -3.88 0.77 -4.83 -3.11
1<=YR<3 234.236 1.26 0.81 0.45 -0.08 1.26
3<=YR<7 336.863 3.20 2.66 0.55 -0.71 3.20
7<=YR 540.734 -8.17 -9.18 1.01 -8.66 -8.17
7YR-11YR*2 193.291 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 241.459 -11.49 -12.60 1.10 -11.62 -11.49
Government 376.912 -3.43 -4.23 0.80 -5.07 -3.43
1<=YR<3 221.701 1.22 0.76 0.45 -0.09 1.22
3<=YR<7 336.181 3.16 2.60 0.56 -0.66 3.16
7<=YR 552.400 -8.43 -9.47 1.04 -8.89 -8.43
7YR-11YR*2 192.135 -2.34 -3.22 0.88 -2.90 -2.34
11YR-*2 240.876 -11.83 -12.97 1.14 -11.96 -11.83
Municipals 388.427 -1.97 -2.54 0.57 -3.49 -1.97
Govt.Grntd 366.456 -2.69 -3.33 0.64 -3.90 -2.69
Bank Dbntr 273.435 2.06 1.93 0.13 -0.34 2.06
Corporates 386.595 -0.92 -1.58 0.66 -4.09 -0.92
Yen Dnm Frgn 347.333 6.15 5.14 1.01 -0.88 6.15
MBS*3 125.310 -2.12 -2.76 0.64 -2.93 -2.12
ABS*4 113.040 0.39 -0.27 0.66 -2.17 0.39
Overall ex.MBS 365.481 -3.13 -3.90 0.77 -4.86 -3.13
1<=YR<3 234.236 1.26 0.81 0.45 -0.08 1.26
3<=YR<7 336.863 3.20 2.66 0.55 -0.71 3.20
7<=YR 542.786 -8.33 -9.35 1.02 -8.81 -8.33
7YR-11YR*2 193.287 -2.33 -3.17 0.85 -3.05 -2.33
11YR-*2 243.452 -11.88 -13.01 1.12 -11.96 -11.88
Overall ex.ABS 365.624 -3.11 -3.88 0.77 -4.84 -3.11
1<=YR<3 234.202 1.26 0.81 0.45 -0.08 1.26
3<=YR<7 336.857 3.20 2.66 0.55 -0.71 3.20
7<=YR 540.736 -8.17 -9.18 1.01 -8.66 -8.17
7YR-11YR*2 193.285 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 241.458 -11.49 -12.60 1.10 -11.62 -11.49
Overall ex.MBS,ABS 365.511 -3.13 -3.90 0.77 -4.86 -3.13
1<=YR<3 234.202 1.26 0.81 0.45 -0.08 1.26
3<=YR<7 336.857 3.20 2.66 0.55 -0.71 3.20
7<=YR 542.789 -8.33 -9.35 1.02 -8.81 -8.33
7YR-11YR*2 193.281 -2.33 -3.17 0.85 -3.05 -2.33
11YR-*2 243.451 -11.88 -13.01 1.12 -11.96 -11.88
Overall ex.JGB* 170.030 -1.42 -2.03 0.62 -3.59 -1.42
1<=YR<3* 133.103 1.49 1.05 0.44 -0.05 1.49
3<=YR<7* 165.831 3.42 2.92 0.50 -0.97 3.42
7<=YR* 232.552 -6.46 -7.26 0.79 -7.20 -6.46
7YR-11YR*2 196.681 -2.21 -2.87 0.66 -3.89 -2.21
11YR-*2 237.710 -9.18 -10.06 0.88 -9.27 -9.18
SDGs*5 98.816 -0.04 -0.37 0.34 -3.77 -0.04
Overall SDGs (excl. ABS)*5 98.889 -0.02 -0.34 0.33 -3.76 -0.02
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 1085916 99.16 99.36 10.09 0.77 0.61 0.60 8.91 8.86 8.87 5
1<=YR<3 218420 100.82 100.93 1.93 0.45 0.03 0.03 1.92 1.92 1.92 5
3<=YR<7 294053 101.58 101.72 4.73 0.56 0.23 0.23 4.67 4.66 4.67 5
7<=YR 573443 97.29 97.55 15.95 0.99 1.04 1.02 13.92 13.84 13.86 5
7YR-11YR 198225 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.33 8.35 5
11YR- 375219 94.41 94.70 19.80 1.06 1.31 1.28 17.12 17.00 17.02 4
Government 913166 99.39 99.60 10.58 0.80 0.59 0.58 9.29 9.25 9.25 1
1<=YR<3 178370 100.92 101.03 1.91 0.46 -0.02 -0.02 1.90 1.90 1.90 1
3<=YR<7 239609 101.92 102.05 4.73 0.57 0.17 0.17 4.66 4.66 4.66 0
7<=YR 495187 97.61 97.89 16.53 1.03 1.03 1.01 14.37 14.29 14.30 1
7YR-11YR 168646 103.45 103.67 8.71 0.91 0.51 0.52 8.38 8.36 8.38 0
11YR- 326541 94.60 94.91 20.57 1.09 1.33 1.28 17.75 17.64 17.65 2
Municipals 67732 98.56 98.72 7.58 0.57 0.57 0.58 7.06 7.03 7.04 16
Govt.Grntd 16391 98.80 98.88 8.46 0.65 0.53 0.52 7.46 7.42 7.43 9
Bank Dbntr 3551 99.39 99.42 3.23 0.13 0.27 0.27 3.20 3.20 3.20 20
Corporates 66410 97.18 97.32 7.86 0.65 0.83 0.80 6.88 6.83 6.85 43
Yen Dnm Frgn 3028 98.26 98.45 3.93 1.00 1.41 1.39 3.73 3.70 3.73 127
MBS 14831 97.41 97.44 6.77 0.64 0.74 0.88 6.42 6.39 6.43 19
ABS 808 97.40 97.56 5.80 0.65 0.89 0.87 5.40 5.37 5.40 60
Overall ex.MBS 1071086 99.19 99.39 10.14 0.77 0.60 0.59 8.94 8.89 8.90 5
1<=YR<3 218420 100.82 100.93 1.93 0.45 0.03 0.03 1.92 1.92 1.92 5
3<=YR<7 294053 101.58 101.72 4.73 0.56 0.23 0.23 4.67 4.66 4.67 5
7<=YR 558613 97.28 97.56 16.20 1.00 1.05 1.02 14.12 14.04 14.05 4
7YR-11YR 198096 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.34 8.36 5
11YR- 360517 94.29 94.59 20.33 1.08 1.34 1.30 17.57 17.45 17.46 4
Overall ex.ABS 1085108 99.16 99.36 10.10 0.77 0.61 0.60 8.91 8.86 8.87 5
1<=YR<3 218136 100.82 100.93 1.93 0.45 0.03 0.03 1.92 1.92 1.92 5
3<=YR<7 293792 101.58 101.72 4.73 0.56 0.23 0.23 4.67 4.66 4.67 5
7<=YR 573181 97.29 97.55 15.96 0.99 1.04 1.02 13.93 13.84 13.86 5
7YR-11YR 198052 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.33 8.35 5
11YR- 375128 94.41 94.70 19.80 1.06 1.31 1.28 17.12 17.01 17.02 4
Overall ex.MBS,ABS 1070278 99.19 99.39 10.14 0.77 0.60 0.59 8.94 8.90 8.91 5
1<=YR<3 218136 100.82 100.93 1.93 0.45 0.03 0.03 1.92 1.92 1.92 5
3<=YR<7 293792 101.58 101.72 4.73 0.56 0.23 0.23 4.67 4.66 4.67 5
7<=YR 558350 97.29 97.56 16.20 1.00 1.05 1.02 14.12 14.04 14.05 4
7YR-11YR 197923 102.75 102.96 8.68 0.87 0.56 0.57 8.36 8.34 8.36 5
11YR- 360427 94.29 94.59 20.33 1.08 1.34 1.29 17.57 17.45 17.46 4
Overall ex.JGB 172751 97.96 98.09 7.54 0.61 0.69 0.69 6.83 6.79 6.81 28
1<=YR<3 40051 100.36 100.47 1.99 0.44 0.25 0.25 1.98 1.98 1.98 27
3<=YR<7 54444 100.11 100.22 4.76 0.50 0.48 0.48 4.69 4.68 4.69 31
7<=YR 78256 95.23 95.39 12.32 0.77 1.07 1.08 11.00 10.94 10.96 27
7YR-11YR 29578 98.65 98.81 8.47 0.66 0.84 0.83 8.23 8.19 8.22 33
11YR- 48678 93.15 93.31 14.65 0.84 1.22 1.24 12.79 12.70 12.71 23
SDGs 8558 95.97 96.06 7.87 0.32 0.73 0.70 7.09 7.05 7.07 33
Overall SDGs (excl. ABS) 8241 95.98 96.06 7.90 0.32 0.72 0.69 7.10 7.06 7.08 32

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