NOMURA-BPI Daily Data

02/27/2024

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 367.847 -23.39 7.76 6.97 0.79 -2.02 -0.89
1<=YR<3 233.897 -8.86 -2.22 -2.60 0.38 -0.33 -1.25
3<=YR<7 337.514 -10.70 -1.79 -2.39 0.60 -0.52 -2.37
7<=YR 546.871 -35.90 16.93 15.88 1.05 -3.43 0.04
7YR-11YR*2 194.800 -17.51 4.35 3.44 0.91 -1.10 -1.13
11YR-*2 244.686 -46.60 24.37 23.23 1.13 -4.73 0.74
Government 379.087 -24.72 8.39 7.58 0.81 -2.26 -0.95
1<=YR<3 221.243 -8.83 -2.28 -2.66 0.38 -0.40 -1.30
3<=YR<7 336.518 -10.81 -1.91 -2.52 0.61 -0.63 -2.49
7<=YR 558.500 -37.55 17.63 16.56 1.08 -3.71 -0.06
7YR-11YR*2 193.401 -17.56 4.21 3.29 0.92 -1.29 -1.31
11YR-*2 244.115 -49.09 25.50 24.34 1.17 -5.04 0.67
Municipals 391.953 -16.17 3.62 3.03 0.59 -0.71 -1.14
Govt.Grntd 368.647 -18.92 7.06 6.36 0.70 -1.41 -0.26
Bank Dbntr 273.413 -10.74 -1.85 -2.07 0.22 -0.25 -1.50
Corporates 390.443 -16.42 4.60 3.89 0.71 -0.53 0.19
Yen Dnm Frgn 354.730 -7.19 3.61 2.49 1.12 1.59 1.14
MBS*3 125.556 -13.16 4.11 3.47 0.64 -0.94 -1.41
ABS*4 113.872 -12.56 1.45 0.74 0.71 -0.32 -1.30
Overall ex.MBS 367.754 -23.52 7.80 7.01 0.79 -2.03 -0.88
1<=YR<3 233.897 -8.86 -2.22 -2.60 0.38 -0.33 -1.25
3<=YR<7 337.514 -10.70 -1.79 -2.39 0.60 -0.52 -2.37
7<=YR 549.080 -36.46 17.25 16.19 1.06 -3.50 0.08
7YR-11YR*2 194.796 -17.52 4.35 3.44 0.91 -1.10 -1.13
11YR-*2 246.824 -47.90 25.17 24.01 1.15 -4.88 0.82
Overall ex.ABS 367.876 -23.40 7.76 6.97 0.79 -2.02 -0.89
1<=YR<3 233.862 -8.86 -2.22 -2.60 0.38 -0.33 -1.25
3<=YR<7 337.506 -10.70 -1.79 -2.39 0.60 -0.52 -2.37
7<=YR 546.873 -35.90 16.93 15.88 1.05 -3.44 0.04
7YR-11YR*2 194.794 -17.51 4.35 3.44 0.91 -1.10 -1.13
11YR-*2 244.685 -46.60 24.37 23.23 1.13 -4.73 0.74
Overall ex.MBS,ABS 367.783 -23.53 7.81 7.02 0.79 -2.03 -0.88
1<=YR<3 233.862 -8.86 -2.22 -2.60 0.38 -0.33 -1.25
3<=YR<7 337.506 -10.70 -1.79 -2.39 0.60 -0.52 -2.37
7<=YR 549.083 -36.47 17.25 16.19 1.06 -3.50 0.08
7YR-11YR*2 194.790 -17.52 4.35 3.44 0.91 -1.10 -1.13
11YR-*2 246.823 -47.91 25.17 24.02 1.15 -4.88 0.82
Overall ex.JGB* 171.482 -15.96 4.22 3.56 0.65 -0.68 -0.53
1<=YR<3* 133.289 -9.03 -1.94 -2.33 0.39 -0.03 -0.99
3<=YR<7* 166.843 -10.22 -1.25 -1.82 0.57 0.00 -1.83
7<=YR* 235.815 -24.32 12.01 11.15 0.86 -1.52 0.75
7YR-11YR*2 199.820 -17.24 5.23 4.43 0.80 0.19 0.11
11YR-*2 240.853 -28.71 16.25 15.35 0.90 -2.55 1.16
SDGs*5 99.749 -17.19 3.92 3.42 0.50 -0.71 -0.65
Overall SDGs (excl. ABS)*5 99.833 -17.27 3.96 3.47 0.49 -0.71 -0.62
SDGs/E*5 100.213 -16.40 3.19 2.72 0.47 -0.62 -0.74
Overall SDGs/E (excl. ABS)*5 100.324 -16.44 3.21 2.74 0.46 -0.62 -0.72
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 1132665 98.86 99.11 10.12 0.78 0.69 0.68 8.89 8.84 8.86 5
1<=YR<3 227649 100.36 100.48 1.88 0.38 0.18 0.18 1.88 1.87 1.88 6
3<=YR<7 307467 101.32 101.51 4.71 0.61 0.34 0.35 4.64 4.63 4.64 5
7<=YR 597549 97.02 97.36 16.04 1.01 1.08 1.06 13.93 13.85 13.86 4
7YR-11YR 207699 102.84 103.13 8.65 0.93 0.61 0.62 8.30 8.28 8.30 4
11YR- 389850 93.92 94.28 19.98 1.05 1.35 1.31 17.21 17.09 17.10 4
Government 959220 99.00 99.27 10.60 0.80 0.68 0.66 9.27 9.23 9.23 1
1<=YR<3 187226 100.45 100.58 1.86 0.38 0.13 0.13 1.85 1.85 1.85 1
3<=YR<7 250323 101.63 101.82 4.70 0.62 0.29 0.30 4.63 4.62 4.63 0
7<=YR 521671 97.23 97.59 16.58 1.04 1.07 1.05 14.35 14.26 14.27 1
7YR-11YR 179853 103.31 103.61 8.67 0.95 0.57 0.58 8.32 8.29 8.31 0
11YR- 341818 94.02 94.42 20.74 1.08 1.37 1.32 17.83 17.70 17.71 1
Municipals 67858 98.74 98.89 7.43 0.59 0.62 0.63 6.94 6.91 6.92 13
Govt.Grntd 14476 98.42 98.56 9.15 0.69 0.67 0.66 8.07 8.02 8.04 8
Bank Dbntr 3445 99.14 99.19 3.16 0.22 0.47 0.47 3.12 3.11 3.12 26
Corporates 69394 97.47 97.65 7.59 0.69 0.89 0.87 6.65 6.61 6.63 40
Yen Dnm Frgn 3157 99.27 99.56 3.92 1.11 1.24 1.24 3.74 3.71 3.74 98
MBS 14402 96.88 96.91 7.00 0.63 0.76 0.98 6.62 6.58 6.76 22
ABS 712 96.98 97.17 5.82 0.69 1.05 1.03 5.44 5.40 5.43 66
Overall ex.MBS 1118262 98.89 99.14 10.16 0.78 0.69 0.68 8.92 8.87 8.88 4
1<=YR<3 227649 100.36 100.48 1.88 0.38 0.18 0.18 1.88 1.87 1.88 6
3<=YR<7 307467 101.32 101.51 4.71 0.61 0.34 0.35 4.64 4.63 4.64 5
7<=YR 583146 97.03 97.37 16.27 1.02 1.08 1.06 14.11 14.02 14.04 3
7YR-11YR 207490 102.85 103.13 8.66 0.94 0.61 0.62 8.31 8.28 8.31 4
11YR- 375656 93.81 94.19 20.47 1.07 1.37 1.33 17.62 17.49 17.50 3
Overall ex.ABS 1131953 98.86 99.11 10.12 0.78 0.69 0.68 8.89 8.85 8.86 5
1<=YR<3 227441 100.36 100.48 1.88 0.38 0.18 0.18 1.88 1.87 1.88 6
3<=YR<7 307186 101.33 101.51 4.71 0.61 0.34 0.35 4.64 4.63 4.64 5
7<=YR 597326 97.02 97.36 16.04 1.01 1.08 1.06 13.93 13.85 13.86 4
7YR-11YR 207562 102.85 103.13 8.65 0.93 0.61 0.62 8.31 8.28 8.30 4
11YR- 389764 93.92 94.29 19.98 1.05 1.35 1.31 17.21 17.09 17.10 4
Overall ex.MBS,ABS 1117550 98.89 99.14 10.16 0.78 0.69 0.68 8.92 8.88 8.88 4
1<=YR<3 227441 100.36 100.48 1.88 0.38 0.18 0.18 1.88 1.87 1.88 6
3<=YR<7 307186 101.33 101.51 4.71 0.61 0.34 0.35 4.64 4.63 4.64 5
7<=YR 582923 97.03 97.37 16.27 1.02 1.08 1.06 14.11 14.03 14.04 3
7YR-11YR 207353 102.85 103.14 8.66 0.94 0.61 0.62 8.31 8.28 8.31 4
11YR- 375570 93.81 94.19 20.47 1.07 1.37 1.33 17.62 17.50 17.50 3
Overall ex.JGB 173445 98.06 98.21 7.44 0.65 0.75 0.77 6.75 6.72 6.74 26
1<=YR<3 40423 99.91 100.01 2.00 0.40 0.41 0.41 1.99 1.99 1.99 28
3<=YR<7 57145 99.99 100.14 4.76 0.58 0.57 0.57 4.69 4.68 4.69 27
7<=YR 75878 95.62 95.80 12.36 0.83 1.08 1.12 11.02 10.95 10.99 25
7YR-11YR 27846 99.84 100.03 8.52 0.81 0.84 0.84 8.22 8.19 8.22 27
11YR- 48032 93.18 93.35 14.59 0.84 1.23 1.29 12.75 12.66 12.72 23
SDGs 13792 97.48 97.61 7.55 0.49 0.77 0.76 6.87 6.84 6.85 28
Overall SDGs (excl. ABS) 13470 97.52 97.65 7.57 0.48 0.76 0.75 6.89 6.85 6.86 27
SDGs/E 17170 97.67 97.80 6.98 0.46 0.73 0.72 6.37 6.34 6.36 28
Overall SDGs/E (excl. ABS) 16848 97.70 97.83 6.99 0.46 0.73 0.71 6.37 6.34 6.36 27

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