NOMURA-BPI Monthly Data

09/30/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 362.344 3.32 2.50 0.81 -2.24 -2.17
1<=YR<3 233.664 0.24 -0.15 0.39 -0.23 -0.40
3<=YR<7 336.709 0.90 0.26 0.64 -0.40 -0.83
7<=YR 531.914 5.92 4.84 1.09 -4.05 -3.61
7YR-11YR*2 194.109 4.54 3.56 0.98 -0.36 -0.71
11YR-*2 234.596 6.76 5.61 1.16 -6.22 -5.30
Government 372.840 3.50 2.66 0.84 -2.44 -2.38
1<=YR<3 220.946 0.20 -0.18 0.38 -0.28 -0.46
3<=YR<7 335.557 0.92 0.27 0.64 -0.45 -0.92
7<=YR 542.274 6.10 4.99 1.11 -4.28 -3.86
7YR-11YR*2 192.631 4.61 3.62 0.99 -0.41 -0.81
11YR-*2 233.479 7.00 5.81 1.19 -6.54 -5.62
Municipals 389.729 2.35 1.74 0.61 -0.94 -1.00
Govt.Grntd 364.301 2.84 2.09 0.75 -1.86 -1.62
Bank Dbntr 273.331 0.80 0.50 0.30 -0.07 -0.37
Corporates 387.914 2.21 1.44 0.76 -1.13 -0.82
Yen Dnm Frgn 357.782 1.32 0.30 1.02 1.39 1.39
MBS*3 124.344 2.80 2.15 0.65 -1.56 -1.58
ABS*4 113.809 2.60 1.86 0.74 -0.01 -0.36
Overall ex.MBS 362.228 3.32 2.51 0.82 -2.24 -2.18
1<=YR<3 233.664 0.24 -0.15 0.39 -0.23 -0.40
3<=YR<7 336.709 0.90 0.26 0.64 -0.40 -0.83
7<=YR 533.823 6.00 4.90 1.10 -4.11 -3.66
7YR-11YR*2 194.105 4.54 3.56 0.98 -0.36 -0.71
11YR-*2 236.343 6.92 5.74 1.17 -6.41 -5.44
Overall ex.ABS 362.369 3.32 2.50 0.81 -2.24 -2.17
1<=YR<3 233.628 0.24 -0.15 0.39 -0.23 -0.40
3<=YR<7 336.701 0.90 0.26 0.64 -0.40 -0.83
7<=YR 531.912 5.92 4.84 1.09 -4.05 -3.61
7YR-11YR*2 194.103 4.54 3.56 0.98 -0.36 -0.71
11YR-*2 234.593 6.76 5.61 1.16 -6.22 -5.30
Overall ex.MBS,ABS 362.253 3.33 2.51 0.82 -2.25 -2.18
1<=YR<3 233.628 0.24 -0.15 0.39 -0.23 -0.40
3<=YR<7 336.701 0.90 0.26 0.64 -0.40 -0.83
7<=YR 533.821 6.00 4.90 1.10 -4.11 -3.66
7YR-11YR*2 194.098 4.54 3.56 0.98 -0.36 -0.71
11YR-*2 236.341 6.92 5.74 1.17 -6.41 -5.45
Overall ex.JGB* 170.378 2.32 1.63 0.69 -1.08 -0.97
1<=YR<3* 133.374 0.43 0.02 0.41 0.02 -0.13
3<=YR<7* 166.796 0.80 0.20 0.60 -0.15 -0.43
7<=YR* 232.197 4.67 3.74 0.93 -2.46 -1.87
7YR-11YR*2 199.705 4.04 3.12 0.93 -0.05 -0.05
11YR-*2 234.967 5.07 4.15 0.93 -3.94 -2.99
SDGs*5 99.099 2.27 1.69 0.58 -1.09 -1.00
Overall SDGs (excl. ABS)*5 99.173 2.26 1.68 0.58 -1.11 -1.01
SDGs/E*5 99.658 2.14 1.58 0.57 -0.95 -0.89
Overall SDGs/E (excl. ABS)*5 99.762 2.13 1.57 0.56 -0.96 -0.90
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 1137187 96.80 96.91 10.25 0.81 0.92 0.89 8.79 8.73 8.74 4
1<=YR<3 230509 100.01 100.08 1.99 0.39 0.39 0.39 1.98 1.97 1.98 6
3<=YR<7 307217 100.69 100.80 4.85 0.66 0.52 0.52 4.77 4.76 4.77 5
7<=YR 599461 93.57 93.70 16.19 1.05 1.36 1.31 13.79 13.69 13.70 4
7YR-11YR 206810 102.16 102.32 8.75 1.02 0.77 0.78 8.37 8.34 8.37 3
11YR- 392651 89.04 89.16 20.11 1.06 1.71 1.62 17.07 16.92 16.93 4
Government 964488 96.76 96.88 10.76 0.83 0.92 0.89 9.18 9.12 9.13 1
1<=YR<3 189668 100.10 100.16 1.98 0.39 0.34 0.34 1.97 1.97 1.97 1
3<=YR<7 249785 100.99 101.09 4.87 0.67 0.47 0.48 4.79 4.78 4.79 0
7<=YR 525035 93.55 93.69 16.74 1.07 1.37 1.31 14.22 14.11 14.11 1
7YR-11YR 179102 102.54 102.70 8.77 1.03 0.74 0.75 8.39 8.36 8.39 0
11YR- 345933 88.90 89.02 20.86 1.09 1.74 1.64 17.69 17.54 17.53 1
Municipals 66950 97.75 97.85 7.34 0.61 0.78 0.80 6.80 6.76 6.77 11
Govt.Grntd 14221 96.70 96.89 9.28 0.73 0.90 0.86 8.02 7.97 7.99 7
Bank Dbntr 3441 98.92 98.98 3.13 0.30 0.66 0.66 3.09 3.08 3.09 26
Corporates 70303 96.44 96.60 7.44 0.74 1.07 1.04 6.38 6.34 6.35 39
Yen Dnm Frgn 3106 99.40 99.68 3.55 1.02 1.21 1.21 3.40 3.38 3.40 78
MBS 14018 95.44 95.47 7.27 0.63 0.82 1.20 6.80 6.76 7.07 22
ABS 662 96.22 96.39 5.84 0.72 1.26 1.23 5.43 5.39 5.43 67
Overall ex.MBS 1123169 96.82 96.93 10.29 0.81 0.92 0.89 8.81 8.75 8.76 4
1<=YR<3 230509 100.01 100.08 1.99 0.39 0.39 0.39 1.98 1.97 1.98 6
3<=YR<7 307217 100.69 100.80 4.85 0.66 0.52 0.52 4.77 4.76 4.77 5
7<=YR 585443 93.52 93.66 16.40 1.06 1.37 1.31 13.97 13.86 13.87 3
7YR-11YR 206628 102.16 102.33 8.76 1.02 0.77 0.78 8.38 8.35 8.37 3
11YR- 378815 88.81 88.93 20.58 1.08 1.74 1.64 17.47 17.32 17.31 3
Overall ex.ABS 1136525 96.80 96.91 10.25 0.81 0.92 0.89 8.79 8.73 8.74 4
1<=YR<3 230323 100.02 100.08 1.99 0.39 0.39 0.39 1.98 1.97 1.98 5
3<=YR<7 306928 100.69 100.80 4.85 0.66 0.52 0.52 4.77 4.76 4.77 5
7<=YR 599275 93.57 93.70 16.19 1.05 1.36 1.31 13.80 13.69 13.71 4
7YR-11YR 206707 102.16 102.33 8.75 1.02 0.77 0.78 8.37 8.34 8.37 3
11YR- 392567 89.04 89.16 20.11 1.06 1.71 1.62 17.07 16.93 16.93 4
Overall ex.MBS,ABS 1122507 96.82 96.93 10.29 0.81 0.92 0.89 8.81 8.75 8.76 4
1<=YR<3 230323 100.02 100.08 1.99 0.39 0.39 0.39 1.98 1.97 1.98 5
3<=YR<7 306928 100.69 100.80 4.85 0.66 0.52 0.52 4.77 4.76 4.77 5
7<=YR 585256 93.52 93.66 16.41 1.06 1.37 1.31 13.97 13.86 13.87 3
7YR-11YR 206525 102.16 102.33 8.76 1.02 0.77 0.78 8.38 8.35 8.37 3
11YR- 378731 88.81 88.94 20.58 1.08 1.74 1.64 17.47 17.32 17.31 3
Overall ex.JGB 172699 96.99 97.12 7.38 0.68 0.92 0.94 6.59 6.55 6.58 25
1<=YR<3 40841 99.64 99.72 2.01 0.41 0.60 0.60 2.00 1.99 2.00 26
3<=YR<7 57432 99.40 99.53 4.75 0.60 0.72 0.72 4.68 4.66 4.68 25
7<=YR 74426 93.67 93.83 12.35 0.88 1.27 1.32 10.83 10.75 10.82 24
7YR-11YR 27708 99.70 99.88 8.59 0.93 0.99 0.99 8.25 8.21 8.24 25
11YR- 46718 90.10 90.25 14.58 0.85 1.45 1.53 12.52 12.41 12.51 23
SDGs 18378 97.31 97.44 7.25 0.57 0.90 0.88 6.58 6.54 6.56 22
Overall SDGs (excl. ABS) 18052 97.34 97.47 7.27 0.57 0.89 0.87 6.58 6.55 6.56 21
SDGs/E 21725 97.42 97.55 6.87 0.56 0.88 0.86 6.24 6.20 6.22 23
Overall SDGs/E (excl. ABS) 21398 97.45 97.58 6.87 0.55 0.87 0.86 6.24 6.20 6.22 23
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