NOMURA-BPI Monthly Data

04/27/2012

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 339.940 6.77 5.40 1.37 6.77 2.69
1<=YR<3 233.992 0.62 -0.37 1.00 0.62 0.61
3<=YR<7 329.060 4.50 3.22 1.27 4.50 2.30
7<=YR 467.391 12.16 10.49 1.67 12.16 4.22
7YR-11YR*2 177.057 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.348 12.13 10.17 1.96 12.13 4.21
Government 349.060 7.07 5.71 1.35 7.07 2.54
1<=YR<3 222.818 0.51 -0.40 0.91 0.51 0.36
3<=YR<7 330.629 4.48 3.27 1.21 4.48 1.86
7<=YR 474.768 12.36 10.68 1.69 12.36 4.17
7YR-11YR*2 176.153 12.26 10.99 1.27 12.26 4.04
11YR-*2 199.897 12.43 10.47 1.96 12.43 4.24
Municipals 363.426 7.27 5.85 1.42 7.27 2.57
Govt.Grntd 353.829 5.93 4.59 1.35 5.93 2.15
Bank Dbntr 268.212 1.66 0.81 0.85 1.66 0.96
Corporates 359.495 4.89 3.32 1.57 4.89 4.16
Yen Dnm Frgn 316.592 7.15 5.54 1.61 7.15 9.45
MBS*3 117.362 6.60 4.86 1.74 6.60 2.53
ABS*4 106.484 3.83 2.36 1.47 3.83 1.90
Overall ex.MBS 339.814 6.78 5.41 1.37 6.78 2.69
1<=YR<3 233.992 0.62 -0.37 1.00 0.62 0.61
3<=YR<7 329.060 4.50 3.22 1.27 4.50 2.30
7<=YR 468.071 12.35 10.68 1.67 12.35 4.28
7YR-11YR*2 177.057 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.861 12.46 10.49 1.97 12.46 4.31
Overall ex.ABS 339.957 6.78 5.40 1.37 6.78 2.69
1<=YR<3 233.981 0.62 -0.37 1.00 0.62 0.61
3<=YR<7 329.078 4.49 3.22 1.27 4.49 2.30
7<=YR 467.396 12.16 10.49 1.67 12.16 4.22
7YR-11YR*2 177.058 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.350 12.13 10.17 1.96 12.13 4.21
Overall ex.MBS,ABS 339.831 6.78 5.41 1.37 6.78 2.69
1<=YR<3 233.981 0.62 -0.37 1.00 0.62 0.61
3<=YR<7 329.078 4.49 3.22 1.27 4.49 2.30
7<=YR 468.077 12.35 10.68 1.67 12.35 4.28
7YR-11YR*2 177.058 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.862 12.46 10.49 1.97 12.46 4.31
Overall ex.JGB* 160.011 5.81 4.36 1.45 5.81 3.17
1<=YR<3* 130.119 0.97 -0.30 1.27 0.97 1.33
3<=YR<7* 158.425 4.54 3.10 1.44 4.54 3.38
7<=YR* 206.994 11.28 9.66 1.61 11.28 4.42
7YR-11YR*2 179.592 12.05 10.72 1.33 12.05 4.74
11YR-*2 205.120 10.33 8.37 1.96 10.33 4.01
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.
FaceVL Price Prc+Ac Life Cpn S.Yld C.Yld Dur M-Dur E-Dur Tspd
(BILL.YEN) (YEN) (YEN) (YR) (%) (%) (%) (YR) (bp)
Overall 706086 104.52 104.82 7.97 1.43 0.68 0.69 7.13 7.09 7.08 7
1<=YR<3 181333 101.64 101.86 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 229403 104.64 104.93 4.71 1.33 0.36 0.36 4.57 4.56 4.57 11
7<=YR 295350 106.18 106.55 14.21 1.77 1.21 1.23 12.14 12.06 12.03 4
7YR-11YR 126796 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 168553 107.38 107.80 18.45 2.10 1.55 1.57 15.10 14.97 14.90 3
Government 539762 104.86 105.16 8.57 1.41 0.64 0.66 7.60 7.56 7.55 0
1<=YR<3 135028 101.62 101.82 1.92 0.92 0.11 0.11 1.91 1.90 1.91 0
3<=YR<7 164744 104.86 105.13 4.68 1.27 0.25 0.25 4.55 4.54 4.55 0
7<=YR 239990 106.68 107.06 14.98 1.79 1.20 1.23 12.71 12.62 12.59 0
7YR-11YR 96143 104.95 105.26 8.61 1.32 0.70 0.71 8.15 8.12 8.14 0
11YR- 143847 107.83 108.26 19.23 2.10 1.52 1.57 15.68 15.55 15.49 0
Municipals 51677 104.62 104.93 7.07 1.48 0.61 0.62 6.49 6.46 6.47 9
Govt.Grntd 29724 104.57 104.84 5.87 1.41 0.44 0.45 5.49 5.47 5.48 5
Bank Dbntr 9516 101.28 101.47 2.73 0.87 0.28 0.28 2.70 2.70 2.70 14
Corporates 59076 102.31 102.69 5.89 1.61 1.06 1.04 5.34 5.31 5.32 63
Yen Dnm Frgn 5512 100.00 100.43 3.90 1.61 1.36 1.35 3.59 3.56 3.58 113
MBS 9747 104.14 104.23 6.80 1.85 1.64 1.14 6.31 6.28 6.07 17
ABS 1072 102.20 102.82 3.96 1.50 0.92 0.93 3.81 3.79 3.81 70
Overall ex.MBS 696339 104.52 104.83 7.99 1.43 0.67 0.68 7.14 7.10 7.10 7
1<=YR<3 181333 101.64 101.86 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 229403 104.64 104.93 4.71 1.33 0.36 0.36 4.57 4.56 4.57 11
7<=YR 285603 106.25 106.63 14.46 1.77 1.20 1.23 12.33 12.25 12.23 4
7YR-11YR 126796 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 158806 107.58 108.02 19.17 2.11 1.55 1.60 15.62 15.49 15.43 3
Overall ex.ABS 705014 104.52 104.82 7.98 1.43 0.68 0.69 7.14 7.10 7.09 7
1<=YR<3 180988 101.64 101.86 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 228695 104.65 104.94 4.71 1.33 0.36 0.36 4.57 4.56 4.57 10
7<=YR 295331 106.18 106.55 14.21 1.77 1.21 1.23 12.14 12.06 12.03 4
7YR-11YR 126796 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 168534 107.38 107.80 18.45 2.10 1.55 1.57 15.10 14.97 14.90 3
Overall ex.MBS,ABS 695267 104.52 104.83 8.00 1.43 0.67 0.68 7.15 7.11 7.10 7
1<=YR<3 180988 101.64 101.86 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 228695 104.65 104.94 4.71 1.33 0.36 0.36 4.57 4.56 4.57 10
7<=YR 285584 106.25 106.63 14.46 1.77 1.20 1.23 12.33 12.25 12.23 4
7YR-11YR 126796 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 158787 107.58 108.02 19.17 2.11 1.55 1.60 15.62 15.49 15.43 3
Overall ex.JGB 166324 103.40 103.72 6.05 1.50 0.80 0.77 5.57 5.55 5.54 32
1<=YR<3 46305 101.69 101.98 2.05 1.29 0.45 0.45 2.02 2.02 2.02 34
3<=YR<7 64659 104.09 104.42 4.78 1.50 0.64 0.63 4.61 4.60 4.61 37
7<=YR 55360 104.04 104.35 10.87 1.68 1.28 1.20 9.60 9.53 9.50 23
7YR-11YR 30653 103.44 103.73 8.42 1.37 0.91 0.91 7.96 7.93 7.96 23
11YR- 24706 104.78 105.11 13.91 2.07 1.73 1.55 11.60 11.50 11.40 23
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