NOMURA-BPI Monthly Data

11/29/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 357.991 -8.80 -9.65 0.85 -3.46 -3.06
1<=YR<3 232.905 -3.37 -3.77 0.40 -0.66 -0.68
3<=YR<7 333.788 -7.93 -8.58 0.65 -1.59 -1.62
7<=YR 522.652 -11.49 -12.62 1.13 -5.60 -4.80
7YR-11YR*2 191.783 -10.81 -11.81 1.00 -2.06 -1.88
11YR-*2 229.738 -11.91 -13.12 1.21 -7.69 -6.51
Government 368.199 -8.96 -9.83 0.87 -3.68 -3.29
1<=YR<3 220.225 -3.35 -3.76 0.40 -0.70 -0.73
3<=YR<7 332.626 -7.96 -8.62 0.66 -1.64 -1.70
7<=YR 532.596 -11.62 -12.78 1.16 -5.83 -5.05
7YR-11YR*2 190.309 -10.88 -11.88 1.00 -2.10 -1.97
11YR-*2 228.499 -12.07 -13.32 1.25 -8.01 -6.84
Municipals 385.771 -8.66 -9.29 0.63 -2.22 -1.91
Govt.Grntd 360.281 -8.37 -9.13 0.76 -3.04 -2.51
Bank Dbntr 271.924 -5.14 -5.46 0.32 -0.82 -0.86
Corporates 384.437 -7.22 -8.00 0.78 -2.18 -1.64
Yen Dnm Frgn 356.337 -3.44 -4.49 1.06 0.45 0.70
MBS*3 122.988 -8.75 -9.40 0.65 -2.79 -2.47
ABS*4 112.940 -7.00 -7.76 0.76 -1.14 -1.12
Overall ex.MBS 357.871 -8.80 -9.65 0.85 -3.47 -3.07
1<=YR<3 232.905 -3.37 -3.77 0.40 -0.66 -0.68
3<=YR<7 333.788 -7.93 -8.58 0.65 -1.59 -1.62
7<=YR 524.444 -11.56 -12.70 1.14 -5.67 -4.86
7YR-11YR*2 191.777 -10.81 -11.81 1.00 -2.06 -1.88
11YR-*2 231.360 -12.03 -13.27 1.24 -7.88 -6.67
Overall ex.ABS 358.015 -8.80 -9.65 0.85 -3.46 -3.07
1<=YR<3 232.870 -3.37 -3.77 0.40 -0.66 -0.68
3<=YR<7 333.779 -7.93 -8.58 0.65 -1.59 -1.62
7<=YR 522.649 -11.49 -12.62 1.13 -5.60 -4.80
7YR-11YR*2 191.776 -10.81 -11.81 1.00 -2.06 -1.88
11YR-*2 229.735 -11.91 -13.12 1.21 -7.69 -6.51
Overall ex.MBS,ABS 357.895 -8.80 -9.65 0.85 -3.47 -3.07
1<=YR<3 232.870 -3.37 -3.77 0.40 -0.66 -0.68
3<=YR<7 333.779 -7.93 -8.58 0.65 -1.59 -1.62
7<=YR 524.441 -11.56 -12.70 1.14 -5.67 -4.86
7YR-11YR*2 191.771 -10.82 -11.81 1.00 -2.06 -1.88
11YR-*2 231.357 -12.03 -13.27 1.24 -7.88 -6.67
Overall ex.JGB* 168.747 -7.88 -8.58 0.71 -2.23 -1.83
1<=YR<3* 132.950 -3.42 -3.84 0.42 -0.46 -0.45
3<=YR<7* 165.393 -7.81 -8.42 0.61 -1.36 -1.27
7<=YR* 228.878 -10.57 -11.52 0.95 -3.96 -3.07
7YR-11YR*2 197.407 -10.31 -11.28 0.97 -1.75 -1.29
11YR-*2 231.185 -10.73 -11.67 0.94 -5.33 -4.16
SDGs*5 98.121 -8.24 -8.86 0.62 -2.29 -1.89
Overall SDGs (excl. ABS)*5 98.193 -8.25 -8.87 0.62 -2.30 -1.89
SDGs/E*5 98.721 -7.92 -8.53 0.60 -2.11 -1.75
Overall SDGs/E (excl. ABS)*5 98.823 -7.93 -8.53 0.60 -2.12 -1.75
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 1155167 95.54 95.78 10.16 0.82 1.11 1.07 8.61 8.55 8.57 4
1<=YR<3 230155 99.62 99.75 1.87 0.41 0.61 0.61 1.86 1.86 1.86 6
3<=YR<7 315181 99.71 99.90 4.72 0.66 0.73 0.73 4.64 4.62 4.64 5
7<=YR 609831 91.85 92.14 16.10 1.05 1.52 1.46 13.60 13.49 13.52 4
7YR-11YR 211511 100.72 101.03 8.64 1.02 0.95 0.95 8.26 8.22 8.26 3
11YR- 398320 87.14 87.42 20.05 1.07 1.87 1.77 16.88 16.73 16.74 4
Government 981997 95.47 95.72 10.65 0.84 1.10 1.06 8.99 8.92 8.94 1
1<=YR<3 189298 99.71 99.84 1.85 0.40 0.56 0.56 1.84 1.83 1.84 1
3<=YR<7 256590 100.01 100.21 4.71 0.67 0.69 0.69 4.63 4.62 4.63 0
7<=YR 536109 91.80 92.11 16.61 1.08 1.53 1.45 13.99 13.88 13.89 1
7YR-11YR 184416 101.04 101.36 8.65 1.03 0.91 0.92 8.26 8.22 8.26 0
11YR- 351693 86.96 87.26 20.78 1.10 1.91 1.78 17.48 17.32 17.32 1
Municipals 66945 96.65 96.80 7.30 0.62 0.98 0.99 6.73 6.68 6.70 12
Govt.Grntd 14230 95.52 95.68 9.31 0.75 1.10 1.06 8.00 7.94 7.97 7
Bank Dbntr 3391 98.36 98.43 3.10 0.32 0.89 0.88 3.06 3.04 3.06 27
Corporates 70661 95.47 95.67 7.36 0.75 1.28 1.24 6.26 6.21 6.23 39
Yen Dnm Frgn 3377 98.87 99.16 3.51 1.06 1.42 1.41 3.36 3.33 3.36 77
MBS 13914 94.25 94.28 7.39 0.63 0.88 1.38 6.86 6.81 7.20 22
ABS 652 95.31 95.50 5.88 0.74 1.48 1.44 5.46 5.41 5.45 68
Overall ex.MBS 1141252 95.56 95.79 10.19 0.82 1.11 1.07 8.64 8.57 8.59 4
1<=YR<3 230155 99.62 99.75 1.87 0.41 0.61 0.61 1.86 1.86 1.86 6
3<=YR<7 315181 99.71 99.90 4.72 0.66 0.73 0.73 4.64 4.62 4.64 5
7<=YR 595916 91.79 92.09 16.30 1.06 1.54 1.46 13.76 13.65 13.67 3
7YR-11YR 211336 100.72 101.03 8.65 1.02 0.95 0.95 8.26 8.22 8.26 3
11YR- 384580 86.89 87.18 20.50 1.09 1.91 1.78 17.27 17.11 17.11 3
Overall ex.ABS 1154515 95.54 95.78 10.16 0.82 1.11 1.07 8.62 8.55 8.57 4
1<=YR<3 229985 99.63 99.75 1.87 0.41 0.61 0.61 1.86 1.85 1.86 6
3<=YR<7 314864 99.71 99.91 4.72 0.66 0.73 0.73 4.64 4.62 4.64 5
7<=YR 609666 91.85 92.14 16.10 1.05 1.52 1.46 13.60 13.49 13.52 4
7YR-11YR 211425 100.72 101.03 8.64 1.02 0.95 0.95 8.26 8.22 8.26 3
11YR- 398241 87.14 87.42 20.06 1.07 1.87 1.77 16.88 16.73 16.74 4
Overall ex.MBS,ABS 1140600 95.56 95.79 10.19 0.82 1.11 1.07 8.64 8.57 8.59 4
1<=YR<3 229985 99.63 99.75 1.87 0.41 0.61 0.61 1.86 1.85 1.86 6
3<=YR<7 314864 99.71 99.91 4.72 0.66 0.73 0.73 4.64 4.62 4.64 5
7<=YR 595752 91.79 92.09 16.30 1.06 1.54 1.46 13.77 13.65 13.67 3
7YR-11YR 211250 100.72 101.04 8.65 1.02 0.95 0.95 8.26 8.22 8.26 3
11YR- 384501 86.89 87.18 20.51 1.09 1.91 1.78 17.27 17.11 17.11 3
Overall ex.JGB 173170 95.95 96.12 7.34 0.69 1.11 1.14 6.51 6.46 6.51 25
1<=YR<3 40857 99.23 99.35 1.97 0.42 0.83 0.83 1.96 1.96 1.96 27
3<=YR<7 58591 98.40 98.56 4.73 0.61 0.95 0.94 4.65 4.63 4.65 25
7<=YR 73722 92.19 92.39 12.37 0.90 1.42 1.48 10.78 10.69 10.79 24
7YR-11YR 27096 98.55 98.80 8.60 0.97 1.17 1.16 8.23 8.19 8.23 25
11YR- 46626 88.50 88.66 14.57 0.85 1.58 1.69 12.43 12.32 12.44 23
SDGs 19402 96.41 96.57 7.24 0.61 1.11 1.08 6.53 6.49 6.52 23
Overall SDGs (excl. ABS) 19077 96.44 96.60 7.25 0.61 1.10 1.08 6.54 6.50 6.52 22
SDGs/E 22807 96.55 96.70 6.86 0.59 1.09 1.07 6.20 6.16 6.19 24
Overall SDGs/E (excl. ABS) 22482 96.58 96.73 6.86 0.59 1.09 1.06 6.21 6.17 6.19 23
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