NOMURA-BPI/Extended Daily Data

01/22/2021

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 386.772 -35.35 -2.70 -3.48 0.78 -0.61 -2.70
1<=YR<3 235.616 -0.37 -0.02 -0.51 0.49 -0.10 -0.02
3<=YR<7 341.251 -8.95 0.21 -0.38 0.59 0.00 0.21
7<=YR 597.395 -61.42 -5.12 -6.11 0.99 -1.09 -5.12
7YR-11YR*2 200.581 -28.18 -1.08 -1.93 0.85 0.14 -1.08
11YR-*2 276.028 -77.96 -7.13 -8.19 1.05 -1.69 -7.13
Government 399.972 -37.98 -2.97 -3.79 0.81 -0.79 -2.97
1<=YR<3 222.509 -0.43 -0.04 -0.53 0.49 -0.17 -0.04
3<=YR<7 340.380 -9.69 0.22 -0.39 0.61 -0.15 0.22
7<=YR 611.818 -64.11 -5.47 -6.49 1.02 -1.30 -5.47
7YR-11YR*2 199.067 -28.94 -1.15 -2.03 0.88 -0.02 -1.15
11YR-*2 276.317 -80.84 -7.52 -8.60 1.08 -1.89 -7.52
Municipals 403.046 -25.05 -1.77 -2.40 0.63 0.27 -1.77
Govt.Grntd 382.178 -23.96 -1.83 -2.46 0.63 -0.30 -1.83
Bank Dbntr 274.600 0.05 0.06 -0.06 0.12 0.48 0.06
Corporates 398.992 -21.69 -1.09 -1.75 0.65 0.50 -1.09
Yen Dnm Frgn 384.329 -7.20 1.77 1.02 0.75 1.80 1.77
MBS*3 129.379 -19.81 -0.67 -1.39 0.72 0.44 -0.67
ABS*4 114.439 -13.84 -0.03 -0.66 0.63 0.21 -0.03
Overall ex.MBS 386.778 -35.57 -2.72 -3.51 0.78 -0.62 -2.72
1<=YR<3 235.616 -0.37 -0.02 -0.51 0.49 -0.10 -0.02
3<=YR<7 341.251 -8.95 0.21 -0.38 0.59 0.00 0.21
7<=YR 600.712 -62.53 -5.24 -6.24 0.99 -1.13 -5.24
7YR-11YR*2 200.581 -28.18 -1.08 -1.93 0.85 0.14 -1.08
11YR-*2 279.445 -80.32 -7.39 -8.46 1.07 -1.77 -7.39
Overall ex.ABS 386.815 -35.37 -2.70 -3.48 0.78 -0.61 -2.70
1<=YR<3 235.580 -0.37 -0.02 -0.51 0.49 -0.10 -0.02
3<=YR<7 341.253 -8.96 0.20 -0.38 0.58 -0.01 0.20
7<=YR 597.413 -61.43 -5.13 -6.11 0.99 -1.09 -5.13
7YR-11YR*2 200.579 -28.18 -1.08 -1.93 0.85 0.14 -1.08
11YR-*2 276.029 -77.96 -7.13 -8.19 1.05 -1.69 -7.13
Overall ex.MBS,ABS 386.822 -35.58 -2.73 -3.51 0.78 -0.62 -2.73
1<=YR<3 235.580 -0.37 -0.02 -0.51 0.49 -0.10 -0.02
3<=YR<7 341.253 -8.96 0.20 -0.38 0.58 -0.01 0.20
7<=YR 600.732 -62.54 -5.24 -6.24 0.99 -1.13 -5.24
7YR-11YR*2 200.579 -28.18 -1.08 -1.93 0.85 0.14 -1.08
11YR-*2 279.447 -80.32 -7.39 -8.46 1.07 -1.77 -7.39
Overall ex.JGB* 176.706 -22.14 -1.29 -1.93 0.64 0.33 -1.29
1<=YR<3* 133.964 -0.10 0.08 -0.43 0.51 0.21 0.08
3<=YR<7* 167.834 -5.88 0.14 -0.36 0.50 0.60 0.14
7<=YR* 251.813 -44.90 -3.00 -3.80 0.80 0.21 -3.00
7YR-11YR*2 205.295 -24.33 -0.73 -1.42 0.68 0.96 -0.73
11YR-*2 264.382 -58.23 -4.46 -5.34 0.87 -0.29 -4.46
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 1015178 106.89 107.09 9.85 0.84 0.11 0.11 9.33 9.32 9.31 4
1<=YR<3 213376 101.17 101.28 1.97 0.50 -0.08 -0.09 1.96 1.96 1.96 4
3<=YR<7 279775 103.24 103.38 4.80 0.61 -0.06 -0.07 4.73 4.74 4.73 5
7<=YR 522027 111.18 111.45 15.78 1.10 0.27 0.28 14.36 14.33 14.32 3
7YR-11YR 178834 108.03 108.23 8.71 0.92 0.02 0.02 8.39 8.39 8.39 4
11YR- 343194 112.83 113.12 19.47 1.20 0.40 0.40 17.34 17.30 17.27 3
Government 840526 107.68 107.89 10.37 0.88 0.08 0.09 9.78 9.77 9.76 0
1<=YR<3 170909 101.26 101.37 1.95 0.50 -0.13 -0.13 1.94 1.94 1.94 0
3<=YR<7 224695 103.62 103.76 4.81 0.63 -0.12 -0.12 4.74 4.74 4.74 0
7<=YR 444923 112.20 112.48 16.41 1.15 0.25 0.26 14.85 14.82 14.81 0
7YR-11YR 148175 108.80 109.01 8.73 0.96 -0.02 -0.02 8.40 8.40 8.40 0
11YR- 296748 113.90 114.22 20.25 1.24 0.38 0.40 17.92 17.88 17.86 1
Municipals 65589 103.84 104.03 7.72 0.66 0.14 0.14 7.47 7.46 7.46 13
Govt.Grntd 22388 103.89 103.97 7.62 0.68 0.11 0.12 7.28 7.27 7.27 11
Bank Dbntr 4178 100.18 100.21 2.97 0.12 0.05 0.05 2.96 2.96 2.96 18
Corporates 61803 102.68 102.83 7.83 0.68 0.35 0.34 7.42 7.40 7.40 34
Yen Dnm Frgn 5139 100.64 100.81 4.08 0.76 0.64 0.65 3.96 3.94 3.95 75
MBS 14732 102.01 102.04 5.94 0.76 0.67 0.25 5.81 5.80 5.60 19
ABS 823 99.85 100.01 5.73 0.63 0.59 0.58 5.48 5.46 5.47 65
Overall ex.MBS 1000446 106.96 107.16 9.91 0.84 0.11 0.11 9.38 9.37 9.36 4
1<=YR<3 213376 101.17 101.28 1.97 0.50 -0.08 -0.09 1.96 1.96 1.96 4
3<=YR<7 279775 103.24 103.38 4.80 0.61 -0.06 -0.07 4.73 4.74 4.73 5
7<=YR 507295 111.45 111.72 16.07 1.11 0.26 0.28 14.59 14.56 14.55 3
7YR-11YR 178834 108.03 108.23 8.71 0.92 0.02 0.02 8.39 8.39 8.39 4
11YR- 328462 113.31 113.62 20.08 1.22 0.39 0.41 17.80 17.76 17.74 2
Overall ex.ABS 1014355 106.90 107.09 9.86 0.84 0.11 0.11 9.34 9.32 9.31 4
1<=YR<3 213153 101.17 101.28 1.97 0.50 -0.08 -0.09 1.96 1.96 1.96 4
3<=YR<7 279404 103.25 103.38 4.80 0.61 -0.06 -0.07 4.74 4.74 4.74 5
7<=YR 521797 111.19 111.45 15.78 1.10 0.27 0.28 14.36 14.34 14.32 3
7YR-11YR 178663 108.04 108.24 8.71 0.92 0.02 0.02 8.39 8.39 8.39 4
11YR- 343134 112.83 113.13 19.47 1.20 0.40 0.40 17.34 17.30 17.27 3
Overall ex.MBS,ABS 999623 106.97 107.17 9.91 0.84 0.11 0.11 9.39 9.37 9.37 4
1<=YR<3 213153 101.17 101.28 1.97 0.50 -0.08 -0.09 1.96 1.96 1.96 4
3<=YR<7 279404 103.25 103.38 4.80 0.61 -0.06 -0.07 4.74 4.74 4.74 5
7<=YR 507065 111.46 111.73 16.07 1.11 0.26 0.28 14.59 14.56 14.55 3
7YR-11YR 178663 108.04 108.24 8.71 0.92 0.02 0.02 8.39 8.39 8.39 4
11YR- 328402 113.32 113.62 20.08 1.22 0.39 0.41 17.80 17.76 17.74 2
Overall ex.JGB 174652 103.08 103.22 7.37 0.67 0.27 0.23 7.07 7.06 7.05 23
1<=YR<3 42467 100.81 100.93 2.05 0.52 0.11 0.10 2.04 2.04 2.04 23
3<=YR<7 55081 101.70 101.83 4.76 0.51 0.16 0.15 4.71 4.70 4.71 27
7<=YR 77104 105.32 105.48 12.15 0.86 0.43 0.36 11.36 11.34 11.30 20
7YR-11YR 30658 104.32 104.49 8.60 0.72 0.22 0.23 8.34 8.33 8.34 25
11YR- 46446 105.98 106.14 14.50 0.95 0.56 0.44 13.33 13.29 13.22 18

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