NOMURA-BPI Monthly Data

03/29/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 366.497 -1.39 -2.19 0.80 -2.21 -2.05
1<=YR<3 233.935 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.386 0.73 0.11 0.63 -0.51 -1.71
7<=YR 543.065 -3.29 -4.35 1.06 -3.82 -2.76
7YR-11YR*2 194.467 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 242.237 -5.19 -6.32 1.13 -5.29 -3.53
Government 377.512 -1.76 -2.58 0.82 -2.47 -2.29
1<=YR<3 221.262 0.39 0.02 0.37 -0.36 -0.83
3<=YR<7 336.327 0.53 -0.10 0.64 -0.64 -1.87
7<=YR 554.290 -3.73 -4.82 1.09 -4.13 -3.07
7YR-11YR*2 193.031 -0.22 -1.17 0.95 -1.37 -1.63
11YR-*2 241.486 -5.75 -6.92 1.16 -5.64 -3.88
Municipals 391.595 0.44 -0.16 0.60 -0.74 -1.12
Govt.Grntd 367.776 -0.11 -0.81 0.70 -1.52 -1.12
Bank Dbntr 273.423 0.77 0.54 0.23 -0.22 -0.98
Corporates 390.152 1.19 0.48 0.71 -0.56 -0.18
Yen Dnm Frgn 355.274 2.33 1.22 1.11 1.61 1.37
MBS*3 125.336 -0.44 -1.13 0.69 -1.04 -1.63
ABS*4 113.814 0.82 0.10 0.72 -0.34 -1.06
Overall ex.MBS 366.395 -1.40 -2.20 0.80 -2.22 -2.06
1<=YR<3 233.935 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.386 0.73 0.11 0.63 -0.51 -1.71
7<=YR 545.189 -3.36 -4.43 1.07 -3.89 -2.79
7YR-11YR*2 194.464 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 244.274 -5.37 -6.52 1.15 -5.46 -3.61
Overall ex.ABS 366.525 -1.39 -2.19 0.80 -2.21 -2.06
1<=YR<3 233.900 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.379 0.73 0.11 0.63 -0.51 -1.71
7<=YR 543.066 -3.29 -4.35 1.06 -3.82 -2.76
7YR-11YR*2 194.461 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 242.236 -5.19 -6.32 1.13 -5.29 -3.53
Overall ex.MBS,ABS 366.423 -1.40 -2.20 0.80 -2.22 -2.06
1<=YR<3 233.900 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.379 0.73 0.11 0.63 -0.51 -1.71
7<=YR 545.190 -3.36 -4.43 1.07 -3.89 -2.79
7YR-11YR*2 194.457 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 244.273 -5.37 -6.52 1.15 -5.46 -3.61
Overall ex.JGB* 171.316 0.67 0.00 0.66 -0.71 -0.74
1<=YR<3* 133.358 0.90 0.50 0.40 0.03 -0.44
3<=YR<7* 166.920 1.61 1.03 0.58 0.05 -1.02
7<=YR* 235.126 -0.21 -1.09 0.88 -1.68 -0.68
7YR-11YR*2 199.759 1.28 0.46 0.82 0.14 -0.05
11YR-*2 239.759 -1.14 -2.05 0.92 -2.78 -1.06
SDGs*5 99.650 0.85 0.33 0.52 -0.75 -0.82
Overall SDGs (excl. ABS)*5 99.734 0.85 0.34 0.51 -0.75 -0.81
SDGs/E*5 100.140 1.00 0.52 0.49 -0.64 -0.78
Overall SDGs/E (excl. ABS)*5 100.251 1.01 0.53 0.48 -0.64 -0.77
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 1123852 98.40 98.50 10.21 0.78 0.73 0.72 8.93 8.88 8.90 4
1<=YR<3 230457 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302891 101.30 101.40 4.86 0.63 0.37 0.37 4.78 4.77 4.78 5
7<=YR 590505 96.14 96.27 16.17 1.02 1.14 1.12 14.00 13.91 13.93 4
7YR-11YR 203854 102.67 102.82 8.77 0.95 0.65 0.66 8.42 8.39 8.41 4
11YR- 386651 92.70 92.82 20.07 1.05 1.43 1.38 17.27 17.14 17.15 4
Government 951212 98.49 98.59 10.72 0.80 0.72 0.70 9.33 9.28 9.29 0
1<=YR<3 190180 100.45 100.51 1.99 0.37 0.14 0.14 1.98 1.98 1.98 0
3<=YR<7 245862 101.61 101.71 4.88 0.64 0.33 0.33 4.80 4.79 4.80 0
7<=YR 515170 96.27 96.40 16.72 1.04 1.15 1.11 14.44 14.35 14.36 1
7YR-11YR 176304 103.11 103.27 8.81 0.97 0.62 0.63 8.45 8.42 8.44 0
11YR- 338866 92.72 92.83 20.84 1.08 1.45 1.39 17.91 17.78 17.78 1
Municipals 67365 98.58 98.68 7.43 0.59 0.64 0.65 6.93 6.90 6.91 12
Govt.Grntd 14396 98.11 98.29 9.18 0.69 0.70 0.68 8.05 8.01 8.02 7
Bank Dbntr 3455 99.12 99.17 3.16 0.23 0.48 0.48 3.13 3.12 3.13 26
Corporates 69075 97.32 97.48 7.57 0.69 0.90 0.87 6.61 6.56 6.58 38
Yen Dnm Frgn 3267 99.35 99.64 3.85 1.10 1.23 1.22 3.68 3.65 3.67 95
MBS 14373 96.64 96.67 7.04 0.64 0.75 1.02 6.64 6.61 6.82 22
ABS 710 96.86 97.03 5.76 0.70 1.07 1.05 5.37 5.34 5.37 66
Overall ex.MBS 1109480 98.42 98.53 10.25 0.78 0.73 0.71 8.96 8.91 8.92 4
1<=YR<3 230457 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302891 101.30 101.40 4.86 0.63 0.37 0.37 4.78 4.77 4.78 5
7<=YR 576132 96.13 96.26 16.39 1.02 1.15 1.12 14.19 14.10 14.11 3
7YR-11YR 203650 102.67 102.82 8.77 0.95 0.65 0.66 8.42 8.39 8.42 4
11YR- 372482 92.56 92.68 20.56 1.06 1.45 1.39 17.68 17.56 17.56 3
Overall ex.ABS 1123143 98.40 98.51 10.21 0.78 0.73 0.72 8.94 8.89 8.90 4
1<=YR<3 230253 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302608 101.30 101.40 4.86 0.63 0.37 0.37 4.78 4.77 4.78 5
7<=YR 590282 96.14 96.27 16.17 1.02 1.14 1.12 14.00 13.91 13.93 4
7YR-11YR 203717 102.67 102.83 8.77 0.95 0.65 0.66 8.42 8.39 8.41 4
11YR- 386565 92.71 92.82 20.07 1.05 1.43 1.38 17.27 17.14 17.15 4
Overall ex.MBS,ABS 1108770 98.42 98.53 10.26 0.78 0.73 0.71 8.96 8.92 8.92 4
1<=YR<3 230253 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302608 101.30 101.40 4.86 0.63 0.37 0.37 4.78 4.77 4.78 5
7<=YR 575909 96.13 96.26 16.40 1.02 1.15 1.12 14.19 14.10 14.11 3
7YR-11YR 203513 102.67 102.83 8.77 0.95 0.65 0.66 8.42 8.40 8.42 4
11YR- 372396 92.56 92.68 20.56 1.06 1.45 1.39 17.69 17.56 17.56 3
Overall ex.JGB 172640 97.89 98.02 7.44 0.65 0.76 0.78 6.72 6.69 6.72 25
1<=YR<3 40277 99.93 100.01 2.01 0.40 0.41 0.41 2.00 1.99 2.00 27
3<=YR<7 57029 99.95 100.08 4.76 0.58 0.58 0.57 4.69 4.68 4.69 25
7<=YR 75335 95.25 95.40 12.37 0.83 1.11 1.15 10.99 10.92 10.97 24
7YR-11YR 27550 99.80 99.96 8.52 0.82 0.87 0.86 8.22 8.19 8.22 26
11YR- 47785 92.63 92.77 14.58 0.84 1.26 1.32 12.70 12.61 12.68 22
SDGs 14728 97.50 97.62 7.64 0.50 0.77 0.76 6.96 6.93 6.94 24
Overall SDGs (excl. ABS) 14404 97.54 97.65 7.66 0.50 0.77 0.75 6.98 6.94 6.96 24
SDGs/E 18136 97.68 97.79 7.08 0.47 0.74 0.72 6.47 6.43 6.45 25
Overall SDGs/E (excl. ABS) 17813 97.71 97.82 7.08 0.47 0.73 0.72 6.47 6.44 6.45 24
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