NOMURA-BPI/Extended Daily Data

02/22/2024

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 367.412 25.17 6.44 5.66 0.79 -2.25 -2.18
1<=YR<3 234.661 -11.33 -2.36 -2.74 0.38 -0.31 -1.21
3<=YR<7 337.705 -6.11 -3.15 -3.76 0.60 -0.59 -2.97
7<=YR 545.716 56.50 15.18 14.13 1.05 -3.84 -2.16
7YR-11YR*2 194.608 17.81 1.86 0.95 0.91 -1.34 -2.61
11YR-*2 244.070 79.13 23.06 21.93 1.13 -5.24 -1.88
Government 378.356 26.78 7.08 6.27 0.81 -2.50 -2.32
1<=YR<3 221.294 -11.42 -2.42 -2.80 0.38 -0.38 -1.27
3<=YR<7 336.328 -6.66 -3.28 -3.89 0.61 -0.71 -3.09
7<=YR 556.596 57.81 15.91 14.83 1.08 -4.13 -2.33
7YR-11YR*2 192.997 17.19 1.70 0.77 0.92 -1.54 -2.81
11YR-*2 243.097 81.35 24.25 23.08 1.17 -5.56 -2.04
Municipals 391.394 13.62 2.07 1.47 0.60 -0.88 -2.19
Govt.Grntd 367.977 22.38 5.64 4.94 0.70 -1.63 -1.49
Bank Dbntr 273.391 -9.69 -2.41 -2.63 0.22 -0.26 -1.69
Corporates 386.973 19.31 3.51 2.80 0.71 -0.67 -0.64
Yen Dnm Frgn 390.700 12.79 3.08 1.97 1.12 1.58 0.69
MBS*3 125.380 15.64 2.71 2.07 0.64 -1.11 -2.46
ABS*4 113.813 3.70 0.07 -0.64 0.71 -0.44 -2.10
Overall ex.MBS 367.317 25.29 6.49 5.70 0.79 -2.26 -2.18
1<=YR<3 234.661 -11.33 -2.36 -2.74 0.38 -0.31 -1.21
3<=YR<7 337.705 -6.11 -3.15 -3.76 0.60 -0.59 -2.97
7<=YR 547.892 57.52 15.50 14.43 1.06 -3.91 -2.16
7YR-11YR*2 194.604 17.83 1.86 0.95 0.91 -1.34 -2.61
11YR-*2 246.177 81.61 23.87 22.72 1.15 -5.40 -1.86
Overall ex.ABS 367.440 25.19 6.45 5.66 0.79 -2.25 -2.19
1<=YR<3 234.621 -11.33 -2.36 -2.74 0.38 -0.31 -1.21
3<=YR<7 337.702 -6.11 -3.15 -3.76 0.60 -0.59 -2.97
7<=YR 545.718 56.51 15.19 14.14 1.05 -3.85 -2.16
7YR-11YR*2 194.602 17.81 1.86 0.95 0.91 -1.34 -2.61
11YR-*2 244.069 79.14 23.07 21.93 1.13 -5.24 -1.88
Overall ex.MBS,ABS 367.346 25.31 6.50 5.70 0.79 -2.26 -2.18
1<=YR<3 234.621 -11.33 -2.36 -2.74 0.38 -0.31 -1.21
3<=YR<7 337.702 -6.11 -3.15 -3.76 0.60 -0.59 -2.97
7<=YR 547.895 57.53 15.50 14.44 1.06 -3.92 -2.16
7YR-11YR*2 194.598 17.83 1.86 0.95 0.91 -1.34 -2.61
11YR-*2 246.176 81.62 23.87 22.72 1.15 -5.40 -1.86
Overall ex.JGB* 171.620 16.26 2.91 2.26 0.66 -0.82 -1.47
1<=YR<3* 134.240 -10.91 -2.05 -2.45 0.40 0.01 -0.94
3<=YR<7* 167.194 -3.68 -2.60 -3.18 0.58 -0.06 -2.42
7<=YR* 236.218 47.39 10.13 9.26 0.87 -1.84 -1.01
7YR-11YR*2 200.141 21.91 2.93 2.12 0.81 -0.04 -1.27
11YR-*2 242.045 63.25 14.64 13.73 0.90 -2.93 -0.83
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 1133664 98.69 98.93 10.13 0.78 0.70 0.69 8.89 8.84 8.85 5
1<=YR<3 228151 100.38 100.50 1.90 0.39 0.17 0.17 1.89 1.89 1.89 6
3<=YR<7 307852 101.27 101.45 4.73 0.61 0.35 0.36 4.65 4.64 4.65 5
7<=YR 597662 96.71 97.04 16.06 1.01 1.10 1.08 13.93 13.84 13.86 4
7YR-11YR 207769 102.64 102.92 8.66 0.93 0.63 0.64 8.32 8.29 8.31 4
11YR- 389893 93.55 93.91 19.99 1.05 1.37 1.34 17.21 17.09 17.10 4
Government 959220 98.82 99.08 10.62 0.80 0.69 0.68 9.27 9.22 9.23 1
1<=YR<3 187226 100.48 100.60 1.87 0.38 0.11 0.12 1.86 1.86 1.86 1
3<=YR<7 250323 101.58 101.76 4.71 0.62 0.30 0.30 4.64 4.63 4.64 0
7<=YR 521671 96.91 97.25 16.59 1.04 1.10 1.07 14.35 14.26 14.27 1
7YR-11YR 179853 103.11 103.39 8.68 0.95 0.60 0.61 8.33 8.30 8.33 1
11YR- 341818 93.65 94.02 20.75 1.08 1.39 1.34 17.83 17.70 17.71 1
Municipals 67860 98.61 98.80 7.44 0.59 0.63 0.64 6.94 6.91 6.92 13
Govt.Grntd 14476 98.25 98.39 9.16 0.69 0.68 0.67 8.06 8.02 8.04 9
Bank Dbntr 3445 99.13 99.20 3.17 0.22 0.46 0.46 3.14 3.13 3.13 26
Corporates 70008 97.36 97.55 7.57 0.69 0.90 0.88 6.63 6.59 6.60 41
Yen Dnm Frgn 3541 99.18 99.45 3.93 1.11 1.25 1.24 3.74 3.71 3.74 99
MBS 14402 96.75 96.77 7.04 0.63 0.76 1.00 6.65 6.61 6.79 22
ABS 712 96.89 97.07 5.84 0.69 1.06 1.04 5.44 5.41 5.44 66
Overall ex.MBS 1119262 98.71 98.96 10.17 0.78 0.70 0.69 8.91 8.87 8.88 5
1<=YR<3 228151 100.38 100.50 1.90 0.39 0.17 0.17 1.89 1.89 1.89 6
3<=YR<7 307852 101.27 101.45 4.73 0.61 0.35 0.36 4.65 4.64 4.65 5
7<=YR 583260 96.71 97.05 16.28 1.02 1.11 1.08 14.11 14.02 14.04 4
7YR-11YR 207560 102.64 102.92 8.67 0.94 0.63 0.64 8.32 8.30 8.32 4
11YR- 375700 93.43 93.80 20.48 1.07 1.40 1.35 17.62 17.49 17.50 3
Overall ex.ABS 1132952 98.69 98.93 10.13 0.78 0.70 0.69 8.89 8.84 8.85 5
1<=YR<3 227943 100.39 100.50 1.90 0.39 0.17 0.17 1.89 1.89 1.89 6
3<=YR<7 307570 101.27 101.45 4.73 0.61 0.35 0.36 4.65 4.64 4.65 5
7<=YR 597439 96.71 97.04 16.06 1.01 1.10 1.08 13.93 13.85 13.86 4
7YR-11YR 207631 102.64 102.92 8.66 0.93 0.63 0.64 8.32 8.29 8.31 4
11YR- 389808 93.55 93.91 20.00 1.05 1.37 1.34 17.21 17.09 17.10 4
Overall ex.MBS,ABS 1118550 98.71 98.96 10.17 0.78 0.70 0.69 8.92 8.87 8.88 4
1<=YR<3 227943 100.39 100.50 1.90 0.39 0.17 0.17 1.89 1.89 1.89 6
3<=YR<7 307570 101.27 101.45 4.73 0.61 0.35 0.36 4.65 4.64 4.65 5
7<=YR 583036 96.71 97.05 16.28 1.02 1.11 1.08 14.11 14.02 14.04 4
7YR-11YR 207422 102.65 102.93 8.67 0.94 0.63 0.64 8.32 8.30 8.32 4
11YR- 375614 93.43 93.80 20.48 1.07 1.40 1.35 17.62 17.50 17.50 3
Overall ex.JGB 174445 97.94 98.11 7.44 0.65 0.76 0.78 6.74 6.70 6.73 27
1<=YR<3 40925 99.94 100.05 2.01 0.40 0.41 0.40 2.00 2.00 2.00 29
3<=YR<7 57529 99.93 100.09 4.78 0.58 0.59 0.59 4.70 4.69 4.70 28
7<=YR 75991 95.37 95.57 12.38 0.83 1.11 1.14 11.02 10.95 11.00 25
7YR-11YR 27915 99.63 99.86 8.53 0.81 0.87 0.87 8.23 8.19 8.23 28
11YR- 48075 92.89 93.08 14.61 0.84 1.25 1.31 12.76 12.66 12.72 23

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