NOMURA-BPI/Extended Daily Data

07/26/2024

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 357.801 38.73 0.17 -0.66 0.83 -7.48 -5.10
1<=YR<3 234.125 -2.55 -0.71 -1.10 0.39 -0.68 -0.71
3<=YR<7 334.616 2.86 -1.39 -2.03 0.64 -2.87 -2.36
7<=YR 521.196 76.13 1.41 0.29 1.12 -12.71 -8.35
7YR-11YR*2 190.745 31.56 0.25 -0.73 0.97 -6.20 -4.12
11YR-*2 229.524 103.35 2.12 0.91 1.21 -16.54 -10.82
Government 367.717 41.22 0.21 -0.64 0.85 -7.96 -5.48
1<=YR<3 220.727 -2.53 -0.75 -1.14 0.38 -0.74 -0.78
3<=YR<7 333.063 2.67 -1.50 -2.15 0.65 -2.98 -2.49
7<=YR 530.428 78.65 1.49 0.34 1.14 -13.20 -8.75
7YR-11YR*2 189.049 31.28 0.18 -0.80 0.98 -6.33 -4.28
11YR-*2 227.923 107.38 2.28 1.04 1.24 -17.23 -11.35
Municipals 385.526 25.26 0.27 -0.35 0.62 -4.75 -3.17
Govt.Grntd 360.010 35.70 0.49 -0.26 0.75 -6.48 -4.15
Bank Dbntr 272.209 -0.51 -0.61 -0.87 0.26 -1.36 -1.19
Corporates 381.323 23.06 -0.56 -1.31 0.76 -4.64 -2.70
Yen Dnm Frgn 392.276 0.32 1.91 0.84 1.07 0.55 0.88
MBS*3 122.844 34.17 -0.23 -0.91 0.67 -6.10 -4.15
ABS*4 112.698 13.98 -0.01 -0.75 0.74 -3.16 -2.25
Overall ex.MBS 357.681 38.79 0.17 -0.66 0.83 -7.49 -5.12
1<=YR<3 234.125 -2.55 -0.71 -1.10 0.39 -0.68 -0.71
3<=YR<7 334.616 2.86 -1.39 -2.03 0.64 -2.87 -2.36
7<=YR 522.944 77.18 1.45 0.32 1.13 -12.87 -8.45
7YR-11YR*2 190.738 31.59 0.25 -0.73 0.98 -6.21 -4.12
11YR-*2 231.132 106.11 2.21 0.99 1.23 -16.95 -11.08
Overall ex.ABS 357.825 38.74 0.17 -0.66 0.83 -7.48 -5.11
1<=YR<3 234.085 -2.55 -0.71 -1.10 0.39 -0.68 -0.71
3<=YR<7 334.612 2.86 -1.39 -2.03 0.64 -2.87 -2.36
7<=YR 521.194 76.14 1.41 0.29 1.12 -12.71 -8.35
7YR-11YR*2 190.739 31.56 0.25 -0.73 0.97 -6.20 -4.12
11YR-*2 229.522 103.36 2.12 0.91 1.21 -16.55 -10.82
Overall ex.MBS,ABS 357.705 38.80 0.17 -0.66 0.83 -7.50 -5.12
1<=YR<3 234.085 -2.55 -0.71 -1.10 0.39 -0.68 -0.71
3<=YR<7 334.612 2.86 -1.39 -2.03 0.64 -2.87 -2.36
7<=YR 522.942 77.18 1.45 0.32 1.13 -12.87 -8.45
7YR-11YR*2 190.732 31.59 0.25 -0.73 0.98 -6.21 -4.12
11YR-*2 231.130 106.12 2.21 0.99 1.23 -16.95 -11.08
Overall ex.JGB* 169.015 24.85 -0.07 -0.76 0.69 -4.77 -3.02
1<=YR<3* 134.107 -2.63 -0.50 -0.91 0.41 -0.41 -0.42
3<=YR<7* 166.078 3.69 -0.90 -1.50 0.60 -2.39 -1.79
7<=YR* 229.085 58.50 0.88 -0.06 0.93 -9.21 -5.50
7YR-11YR*2 196.993 33.48 0.71 -0.20 0.90 -5.37 -3.06
11YR-*2 232.572 74.57 0.99 0.03 0.95 -11.60 -7.01
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 1138133 95.66 95.85 10.19 0.79 1.02 0.99 8.68 8.62 8.64 4
1<=YR<3 231360 99.98 100.07 1.95 0.39 0.39 0.38 1.94 1.94 1.94 5
3<=YR<7 307045 100.08 100.22 4.80 0.65 0.63 0.63 4.72 4.70 4.72 5
7<=YR 599728 91.73 91.99 16.14 1.03 1.51 1.45 13.72 13.60 13.63 4
7YR-11YR 207971 100.25 100.48 8.71 0.98 0.96 0.97 8.34 8.30 8.34 3
11YR- 391757 87.20 87.48 20.07 1.05 1.84 1.74 16.99 16.84 16.86 4
Government 965641 95.58 95.78 10.69 0.82 1.03 0.98 9.06 8.99 9.01 1
1<=YR<3 190464 100.06 100.15 1.93 0.38 0.34 0.34 1.93 1.92 1.93 1
3<=YR<7 249992 100.36 100.51 4.81 0.66 0.59 0.59 4.73 4.71 4.73 0
7<=YR 525186 91.68 91.95 16.67 1.05 1.53 1.45 14.12 14.01 14.03 1
7YR-11YR 180561 100.61 100.83 8.74 0.99 0.93 0.94 8.36 8.32 8.36 0
11YR- 344625 87.00 87.29 20.82 1.08 1.88 1.75 17.61 17.45 17.47 1
Municipals 67046 96.80 96.97 7.36 0.60 0.88 0.89 6.78 6.74 6.75 9
Govt.Grntd 14162 95.68 95.77 9.28 0.71 0.99 0.95 7.97 7.91 7.94 6
Bank Dbntr 3443 98.55 98.62 3.10 0.26 0.70 0.70 3.06 3.05 3.06 26
Corporates 69496 95.57 95.73 7.51 0.72 1.17 1.13 6.41 6.36 6.38 38
Yen Dnm Frgn 3549 99.03 99.23 3.90 1.06 1.29 1.28 3.70 3.67 3.70 77
MBS 14099 94.42 94.45 7.37 0.63 0.86 1.35 6.85 6.80 7.08 22
ABS 697 95.56 95.74 5.60 0.71 1.33 1.29 5.17 5.13 5.16 66
Overall ex.MBS 1124034 95.67 95.87 10.23 0.80 1.03 0.99 8.70 8.64 8.66 4
1<=YR<3 231360 99.98 100.07 1.95 0.39 0.39 0.38 1.94 1.94 1.94 5
3<=YR<7 307045 100.08 100.22 4.80 0.65 0.63 0.63 4.72 4.70 4.72 5
7<=YR 585628 91.66 91.93 16.35 1.04 1.53 1.45 13.89 13.77 13.79 3
7YR-11YR 207781 100.26 100.48 8.72 0.98 0.96 0.97 8.35 8.31 8.34 3
11YR- 377847 86.94 87.23 20.54 1.07 1.88 1.76 17.39 17.23 17.25 3
Overall ex.ABS 1137436 95.66 95.85 10.20 0.79 1.02 0.99 8.68 8.62 8.64 4
1<=YR<3 231133 99.98 100.07 1.95 0.39 0.38 0.38 1.94 1.94 1.94 5
3<=YR<7 306760 100.08 100.23 4.80 0.65 0.63 0.63 4.72 4.70 4.72 4
7<=YR 599543 91.73 91.99 16.14 1.03 1.51 1.45 13.72 13.61 13.63 4
7YR-11YR 207869 100.26 100.48 8.71 0.98 0.96 0.97 8.34 8.30 8.34 3
11YR- 391674 87.20 87.48 20.08 1.05 1.84 1.74 16.99 16.84 16.86 4
Overall ex.MBS,ABS 1123336 95.67 95.87 10.23 0.80 1.03 0.99 8.70 8.64 8.66 4
1<=YR<3 231133 99.98 100.07 1.95 0.39 0.38 0.38 1.94 1.94 1.94 5
3<=YR<7 306760 100.08 100.23 4.80 0.65 0.63 0.63 4.72 4.70 4.72 4
7<=YR 585443 91.66 91.93 16.35 1.04 1.53 1.45 13.89 13.77 13.80 3
7YR-11YR 207680 100.26 100.48 8.72 0.98 0.96 0.97 8.35 8.31 8.34 3
11YR- 377764 86.94 87.23 20.54 1.07 1.88 1.76 17.39 17.23 17.25 3
Overall ex.JGB 172492 96.09 96.24 7.42 0.66 1.01 1.03 6.58 6.54 6.58 24
1<=YR<3 40896 99.58 99.67 2.02 0.41 0.60 0.60 2.01 2.01 2.01 26
3<=YR<7 57054 98.84 98.98 4.77 0.59 0.83 0.82 4.69 4.67 4.69 24
7<=YR 74542 92.08 92.26 12.40 0.86 1.41 1.47 10.85 10.76 10.83 23
7YR-11YR 27410 97.92 98.13 8.56 0.89 1.17 1.16 8.23 8.18 8.22 24
11YR- 47132 88.69 88.84 14.63 0.84 1.56 1.66 12.53 12.42 12.51 22

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