NOMURA-BPI/Extended Daily Data

12/20/2024

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 358.759 77.72 2.54 1.69 0.86 -2.99 -2.74
1<=YR<3 233.897 24.60 2.08 1.67 0.41 -0.44 -0.52
3<=YR<7 334.609 63.70 2.26 1.59 0.67 -1.29 -1.39
7<=YR 524.165 107.71 2.90 1.75 1.15 -4.94 -4.36
7YR-11YR*2 192.113 92.08 1.06 0.03 1.03 -1.81 -1.71
11YR-*2 230.624 117.20 4.01 2.79 1.22 -6.78 -5.91
Government 368.750 79.51 2.60 1.72 0.88 -3.18 -2.94
1<=YR<3 220.480 24.59 2.01 1.61 0.40 -0.48 -0.57
3<=YR<7 333.039 64.03 2.16 1.49 0.68 -1.34 -1.47
7<=YR 533.533 109.01 3.06 1.88 1.17 -5.14 -4.58
7YR-11YR*2 190.420 92.20 1.02 -0.01 1.03 -1.86 -1.79
11YR-*2 229.062 119.12 4.29 3.03 1.26 -7.06 -6.20
Municipals 386.186 73.19 1.87 1.23 0.64 -1.90 -1.69
Govt.Grntd 360.800 75.00 2.50 1.72 0.78 -2.60 -2.22
Bank Dbntr 272.330 39.69 2.59 2.25 0.34 -0.55 -0.66
Corporates 382.176 64.65 2.91 2.11 0.80 -1.77 -1.36
Yen Dnm Frgn 393.326 9.56 2.46 1.37 1.09 0.61 0.79
MBS*3 123.000 74.19 0.18 -0.51 0.68 -2.56 -2.31
ABS*4 113.162 64.49 2.54 1.77 0.77 -0.86 -0.91
Overall ex.MBS 358.645 77.76 2.57 1.71 0.86 -2.99 -2.74
1<=YR<3 233.897 24.60 2.08 1.67 0.41 -0.44 -0.52
3<=YR<7 334.609 63.70 2.26 1.59 0.67 -1.29 -1.39
7<=YR 525.980 108.53 2.96 1.80 1.16 -5.00 -4.41
7YR-11YR*2 192.108 92.13 1.06 0.03 1.03 -1.81 -1.71
11YR-*2 232.272 118.86 4.16 2.92 1.25 -6.94 -6.05
Overall ex.ABS 358.783 77.72 2.54 1.69 0.86 -2.99 -2.74
1<=YR<3 233.856 24.60 2.08 1.67 0.41 -0.44 -0.52
3<=YR<7 334.605 63.69 2.26 1.59 0.67 -1.29 -1.39
7<=YR 524.162 107.71 2.90 1.75 1.15 -4.94 -4.36
7YR-11YR*2 192.107 92.08 1.06 0.03 1.03 -1.81 -1.71
11YR-*2 230.621 117.20 4.01 2.79 1.22 -6.78 -5.91
Overall ex.MBS,ABS 358.669 77.77 2.57 1.71 0.86 -2.99 -2.74
1<=YR<3 233.856 24.60 2.08 1.67 0.41 -0.44 -0.52
3<=YR<7 334.605 63.69 2.26 1.59 0.67 -1.29 -1.39
7<=YR 525.978 108.53 2.96 1.80 1.16 -5.00 -4.41
7YR-11YR*2 192.101 92.13 1.06 0.03 1.03 -1.81 -1.71
11YR-*2 232.270 118.86 4.16 2.92 1.25 -6.94 -6.05
Overall ex.JGB* 169.343 67.77 2.24 1.52 0.72 -1.87 -1.58
1<=YR<3* 134.066 24.67 2.42 1.98 0.44 -0.22 -0.28
3<=YR<7* 166.113 62.25 2.69 2.07 0.62 -1.04 -1.03
7<=YR* 230.142 98.45 1.75 0.77 0.98 -3.51 -2.78
7YR-11YR*2 198.299 91.24 1.33 0.33 1.00 -1.51 -1.14
11YR-*2 233.342 103.11 2.02 1.05 0.97 -4.75 -3.80
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 1144234 95.58 95.71 10.28 0.83 1.10 1.07 8.74 8.68 8.69 5
1<=YR<3 231065 99.69 99.75 2.02 0.41 0.58 0.58 2.01 2.00 2.01 5
3<=YR<7 311263 99.77 99.87 4.89 0.67 0.72 0.72 4.80 4.79 4.80 5
7<=YR 601905 91.84 92.02 16.24 1.07 1.53 1.47 13.75 13.64 13.66 4
7YR-11YR 207076 100.81 100.95 8.78 1.05 0.96 0.97 8.39 8.35 8.38 3
11YR- 394828 87.14 87.33 20.15 1.08 1.88 1.77 17.00 16.84 16.86 4
Government 970600 95.50 95.63 10.80 0.85 1.10 1.06 9.13 9.07 9.08 1
1<=YR<3 189830 99.77 99.83 2.01 0.41 0.53 0.53 2.00 1.99 2.00 1
3<=YR<7 252456 100.08 100.17 4.91 0.68 0.68 0.68 4.82 4.81 4.82 0
7<=YR 528313 91.79 91.96 16.77 1.09 1.55 1.47 14.16 14.04 14.06 1
7YR-11YR 180067 101.12 101.26 8.80 1.06 0.93 0.94 8.40 8.36 8.40 0
11YR- 348246 86.96 87.15 20.90 1.10 1.92 1.78 17.62 17.46 17.46 1
Municipals 66805 96.70 96.83 7.35 0.62 0.97 0.98 6.77 6.73 6.75 12
Govt.Grntd 14373 95.64 95.84 9.27 0.75 1.08 1.04 7.97 7.91 7.94 7
Bank Dbntr 3376 98.47 98.55 3.14 0.33 0.85 0.85 3.09 3.08 3.09 26
Corporates 70593 95.56 95.73 7.42 0.77 1.26 1.22 6.33 6.28 6.30 39
Yen Dnm Frgn 3950 98.91 99.13 3.72 1.09 1.42 1.41 3.54 3.51 3.54 78
MBS 13882 94.21 94.22 7.42 0.63 0.88 1.39 6.88 6.83 7.22 23
ABS 655 95.42 95.61 5.88 0.74 1.46 1.42 5.45 5.41 5.45 68
Overall ex.MBS 1130351 95.60 95.73 10.32 0.83 1.10 1.07 8.76 8.70 8.71 4
1<=YR<3 231065 99.69 99.75 2.02 0.41 0.58 0.58 2.01 2.00 2.01 5
3<=YR<7 311263 99.77 99.87 4.89 0.67 0.72 0.72 4.80 4.79 4.80 5
7<=YR 588023 91.79 91.96 16.45 1.08 1.55 1.47 13.92 13.80 13.82 3
7YR-11YR 206904 100.81 100.95 8.78 1.05 0.96 0.97 8.39 8.35 8.39 3
11YR- 381118 86.89 87.08 20.61 1.09 1.92 1.79 17.39 17.23 17.23 3
Overall ex.ABS 1143578 95.58 95.71 10.28 0.83 1.10 1.07 8.74 8.68 8.70 4
1<=YR<3 230889 99.69 99.75 2.02 0.41 0.58 0.57 2.01 2.00 2.01 5
3<=YR<7 310950 99.78 99.87 4.89 0.67 0.72 0.72 4.80 4.79 4.80 5
7<=YR 601739 91.84 92.02 16.24 1.07 1.53 1.47 13.75 13.64 13.66 4
7YR-11YR 206983 100.81 100.95 8.78 1.05 0.96 0.97 8.39 8.35 8.38 3
11YR- 394756 87.14 87.33 20.16 1.08 1.88 1.77 17.00 16.84 16.86 4
Overall ex.MBS,ABS 1129696 95.60 95.73 10.32 0.83 1.10 1.07 8.76 8.70 8.71 4
1<=YR<3 230889 99.69 99.75 2.02 0.41 0.58 0.57 2.01 2.00 2.01 5
3<=YR<7 310950 99.78 99.87 4.89 0.67 0.72 0.72 4.80 4.79 4.80 5
7<=YR 587857 91.79 91.96 16.45 1.08 1.55 1.47 13.92 13.80 13.82 3
7YR-11YR 206811 100.81 100.96 8.78 1.05 0.96 0.97 8.39 8.35 8.39 3
11YR- 381045 86.89 87.08 20.61 1.09 1.92 1.79 17.39 17.23 17.23 3
Overall ex.JGB 173634 96.03 96.17 7.37 0.70 1.10 1.13 6.55 6.50 6.55 25
1<=YR<3 41235 99.31 99.40 2.06 0.44 0.80 0.79 2.05 2.04 2.05 27
3<=YR<7 58807 98.44 98.58 4.80 0.62 0.94 0.93 4.72 4.69 4.72 27
7<=YR 73591 92.26 92.44 12.41 0.91 1.42 1.49 10.81 10.73 10.82 24
7YR-11YR 27009 98.69 98.93 8.66 0.99 1.17 1.16 8.28 8.23 8.28 24
11YR- 46582 88.53 88.68 14.58 0.86 1.59 1.70 12.45 12.34 12.47 24
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