NOMURA-BPI/Extended Daily Data

03/28/2024

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 367.479 50.28 1.19 0.39 0.80 -2.01 -1.26
1<=YR<3 234.631 3.79 0.41 0.03 0.38 -0.29 -0.79
3<=YR<7 337.838 23.83 1.01 0.38 0.63 -0.49 -1.65
7<=YR 545.822 83.42 1.60 0.54 1.06 -3.46 -1.24
7YR-11YR*2 194.970 44.33 1.90 0.97 0.93 -1.03 -0.85
11YR-*2 243.881 106.16 1.43 0.29 1.13 -4.81 -1.46
Government 378.334 52.63 1.01 0.19 0.82 -2.27 -1.44
1<=YR<3 221.248 3.72 0.32 -0.05 0.37 -0.36 -0.86
3<=YR<7 336.396 23.97 0.82 0.18 0.64 -0.62 -1.81
7<=YR 556.526 85.76 1.38 0.29 1.09 -3.75 -1.48
7YR-11YR*2 193.318 44.51 1.72 0.77 0.95 -1.23 -1.05
11YR-*2 242.815 109.54 1.18 0.02 1.16 -5.13 -1.71
Municipals 392.031 38.93 1.91 1.31 0.60 -0.63 -0.68
Govt.Grntd 368.362 45.13 1.97 1.26 0.70 -1.37 -0.49
Bank Dbntr 273.439 11.40 0.88 0.65 0.23 -0.22 -0.96
Corporates 387.607 35.69 2.70 1.98 0.71 -0.44 0.27
Yen Dnm Frgn 391.654 20.36 2.65 1.54 1.11 1.68 1.42
MBS*3 125.488 40.79 1.11 0.43 0.69 -0.92 -1.16
ABS*4 113.944 28.30 1.67 0.95 0.72 -0.28 -0.82
Overall ex.MBS 367.381 50.40 1.19 0.39 0.80 -2.03 -1.26
1<=YR<3 234.631 3.79 0.41 0.03 0.38 -0.29 -0.79
3<=YR<7 337.838 23.83 1.01 0.38 0.63 -0.49 -1.65
7<=YR 547.990 84.49 1.61 0.54 1.07 -3.52 -1.25
7YR-11YR*2 194.966 44.36 1.90 0.97 0.93 -1.03 -0.85
11YR-*2 245.970 108.74 1.44 0.29 1.15 -4.96 -1.48
Overall ex.ABS 367.507 50.30 1.19 0.39 0.80 -2.01 -1.26
1<=YR<3 234.591 3.79 0.41 0.03 0.38 -0.29 -0.79
3<=YR<7 337.835 23.84 1.01 0.38 0.63 -0.49 -1.65
7<=YR 545.824 83.43 1.60 0.54 1.06 -3.46 -1.24
7YR-11YR*2 194.964 44.33 1.90 0.97 0.93 -1.03 -0.85
11YR-*2 243.879 106.17 1.43 0.29 1.13 -4.81 -1.46
Overall ex.MBS,ABS 367.409 50.42 1.19 0.39 0.80 -2.03 -1.26
1<=YR<3 234.591 3.79 0.41 0.03 0.38 -0.29 -0.79
3<=YR<7 337.835 23.84 1.01 0.38 0.63 -0.49 -1.65
7<=YR 547.992 84.50 1.61 0.54 1.07 -3.52 -1.25
7YR-11YR*2 194.960 44.36 1.90 0.97 0.93 -1.03 -0.85
11YR-*2 245.969 108.75 1.44 0.29 1.15 -4.96 -1.48
Overall ex.JGB* 171.878 37.31 2.16 1.49 0.67 -0.59 -0.29
1<=YR<3* 134.274 4.13 0.83 0.43 0.40 0.03 -0.47
3<=YR<7* 167.402 23.27 1.84 1.26 0.58 0.07 -0.98
7<=YR* 236.791 67.23 3.16 2.28 0.88 -1.42 0.36
7YR-11YR*2 200.775 43.08 3.11 2.29 0.82 0.29 0.50
11YR-*2 242.520 82.21 3.19 2.27 0.92 -2.45 0.29
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 1124835 98.60 98.70 10.21 0.78 0.72 0.70 8.95 8.90 8.92 4
1<=YR<3 230966 100.35 100.41 2.00 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 303252 101.31 101.42 4.86 0.63 0.37 0.37 4.79 4.78 4.78 5
7<=YR 590617 96.52 96.64 16.17 1.02 1.11 1.09 14.03 13.94 13.96 4
7YR-11YR 203923 102.82 102.97 8.77 0.95 0.64 0.64 8.42 8.39 8.42 4
11YR- 386694 93.19 93.31 20.07 1.05 1.39 1.35 17.29 17.17 17.18 4
Government 951212 98.70 98.81 10.72 0.80 0.71 0.69 9.36 9.31 9.31 0
1<=YR<3 190180 100.44 100.50 1.99 0.37 0.15 0.15 1.99 1.99 1.99 0
3<=YR<7 245862 101.63 101.73 4.88 0.64 0.32 0.33 4.81 4.80 4.81 0
7<=YR 515170 96.67 96.79 16.72 1.04 1.12 1.09 14.47 14.37 14.39 1
7YR-11YR 176304 103.27 103.42 8.81 0.97 0.60 0.61 8.45 8.42 8.45 0
11YR- 338866 93.23 93.34 20.84 1.08 1.41 1.36 17.93 17.81 17.81 1
Municipals 67366 98.70 98.79 7.43 0.59 0.63 0.64 6.94 6.91 6.92 12
Govt.Grntd 14396 98.26 98.45 9.18 0.69 0.69 0.67 8.07 8.03 8.05 7
Bank Dbntr 3455 99.13 99.17 3.17 0.23 0.48 0.48 3.13 3.12 3.13 26
Corporates 69672 97.44 97.60 7.54 0.69 0.89 0.87 6.60 6.56 6.57 39
Yen Dnm Frgn 3652 99.33 99.62 3.84 1.10 1.22 1.21 3.66 3.64 3.66 95
MBS 14373 96.76 96.79 7.03 0.64 0.75 1.00 6.64 6.60 6.81 22
ABS 710 96.93 97.12 5.76 0.70 1.06 1.04 5.38 5.34 5.37 66
Overall ex.MBS 1110462 98.62 98.73 10.25 0.78 0.72 0.70 8.98 8.93 8.94 4
1<=YR<3 230966 100.35 100.41 2.00 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 303252 101.31 101.42 4.86 0.63 0.37 0.37 4.79 4.78 4.78 5
7<=YR 576244 96.51 96.64 16.39 1.02 1.12 1.09 14.21 14.12 14.13 3
7YR-11YR 203719 102.82 102.97 8.78 0.95 0.64 0.64 8.43 8.40 8.42 4
11YR- 372525 93.06 93.18 20.56 1.06 1.42 1.37 17.71 17.58 17.59 3
Overall ex.ABS 1124125 98.60 98.71 10.21 0.78 0.72 0.70 8.96 8.91 8.92 4
1<=YR<3 230762 100.35 100.41 2.00 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302969 101.32 101.42 4.86 0.63 0.37 0.37 4.79 4.78 4.78 5
7<=YR 590394 96.52 96.65 16.17 1.02 1.11 1.09 14.03 13.94 13.96 4
7YR-11YR 203786 102.82 102.97 8.77 0.95 0.63 0.64 8.42 8.39 8.42 4
11YR- 386608 93.20 93.31 20.07 1.05 1.39 1.35 17.29 17.17 17.18 4
Overall ex.MBS,ABS 1109752 98.62 98.73 10.25 0.78 0.72 0.70 8.98 8.94 8.94 4
1<=YR<3 230762 100.35 100.41 2.00 0.38 0.19 0.19 1.99 1.99 1.99 5
3<=YR<7 302969 101.32 101.42 4.86 0.63 0.37 0.37 4.79 4.78 4.78 5
7<=YR 576021 96.51 96.64 16.40 1.02 1.12 1.09 14.21 14.12 14.14 3
7YR-11YR 203582 102.83 102.98 8.78 0.95 0.64 0.64 8.43 8.40 8.42 4
11YR- 372439 93.06 93.18 20.56 1.06 1.42 1.37 17.71 17.58 17.59 3
Overall ex.JGB 173622 98.01 98.14 7.42 0.65 0.76 0.77 6.72 6.68 6.71 25
1<=YR<3 40786 99.91 100.00 2.01 0.40 0.42 0.42 2.00 1.99 2.00 27
3<=YR<7 57389 99.96 100.09 4.76 0.58 0.58 0.58 4.69 4.68 4.69 26
7<=YR 75447 95.49 95.65 12.36 0.83 1.09 1.13 11.00 10.93 10.98 24
7YR-11YR 27619 99.93 100.09 8.52 0.82 0.85 0.85 8.22 8.19 8.22 26
11YR- 47828 92.94 93.08 14.58 0.84 1.24 1.30 12.72 12.63 12.70 22

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