NOMURA-BPI/Extended Daily Data

05/26/2023

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 375.505 42.70 -1.18 -1.93 0.75 0.91 5.87
1<=YR<3 235.279 0.30 0.22 -0.20 0.43 -0.10 0.63
3<=YR<7 339.736 18.68 0.39 -0.17 0.56 0.45 2.54
7<=YR 566.581 71.04 -2.51 -3.48 0.98 1.54 9.69
7YR-11YR*2 196.834 28.71 -1.86 -2.69 0.83 -0.49 3.76
11YR-*2 257.169 94.49 -2.86 -3.92 1.05 2.67 13.09
Government 387.534 45.26 -1.54 -2.32 0.78 0.80 6.23
1<=YR<3 221.986 -0.08 0.13 -0.30 0.43 -0.19 0.58
3<=YR<7 338.626 18.19 0.18 -0.39 0.57 0.29 2.50
7<=YR 579.320 74.30 -2.95 -3.95 1.00 1.41 10.18
7YR-11YR*2 195.460 27.95 -2.29 -3.15 0.86 -0.84 3.78
11YR-*2 256.909 99.62 -3.31 -4.39 1.08 2.63 13.78
Municipals 395.192 26.60 0.27 -0.30 0.57 1.11 3.89
Govt.Grntd 373.923 34.78 -0.73 -1.39 0.67 0.82 4.46
Bank Dbntr 274.197 8.03 0.28 0.12 0.15 0.39 1.14
Corporates 390.201 31.44 0.53 -0.13 0.66 1.49 4.05
Yen Dnm Frgn 388.093 62.89 4.20 3.16 1.04 4.86 4.85
MBS*3 127.439 15.09 5.84 5.19 0.65 4.08 3.75
ABS*4 114.409 18.51 0.16 -0.51 0.66 0.83 2.96
Overall ex.MBS 375.436 43.06 -1.27 -2.02 0.76 0.87 5.90
1<=YR<3 235.279 0.30 0.22 -0.20 0.43 -0.10 0.63
3<=YR<7 339.736 18.68 0.39 -0.17 0.56 0.45 2.54
7<=YR 569.156 72.45 -2.72 -3.70 0.98 1.48 9.85
7YR-11YR*2 196.832 28.72 -1.86 -2.70 0.84 -0.49 3.76
11YR-*2 259.764 97.61 -3.21 -4.27 1.07 2.61 13.48
Overall ex.ABS 375.538 42.71 -1.18 -1.93 0.75 0.91 5.87
1<=YR<3 235.240 0.30 0.22 -0.20 0.43 -0.10 0.63
3<=YR<7 339.734 18.68 0.39 -0.17 0.56 0.45 2.54
7<=YR 566.588 71.05 -2.51 -3.48 0.98 1.54 9.70
7YR-11YR*2 196.829 28.71 -1.86 -2.69 0.83 -0.49 3.76
11YR-*2 257.169 94.50 -2.87 -3.92 1.05 2.67 13.09
Overall ex.MBS,ABS 375.469 43.08 -1.27 -2.03 0.76 0.87 5.90
1<=YR<3 235.240 0.30 0.22 -0.20 0.43 -0.10 0.63
3<=YR<7 339.734 18.68 0.39 -0.17 0.56 0.45 2.54
7<=YR 569.164 72.46 -2.72 -3.70 0.98 1.48 9.85
7YR-11YR*2 196.827 28.73 -1.86 -2.70 0.84 -0.49 3.76
11YR-*2 259.764 97.61 -3.21 -4.27 1.07 2.61 13.48
Overall ex.JGB* 173.308 28.54 0.83 0.21 0.62 1.54 3.95
1<=YR<3* 134.291 1.99 0.63 0.22 0.41 0.29 0.85
3<=YR<7* 167.595 20.87 1.33 0.80 0.54 1.19 2.72
7<=YR* 241.106 48.63 0.57 -0.23 0.80 2.48 6.55
7YR-11YR*2 200.725 33.58 0.90 0.21 0.69 1.69 3.69
11YR-*2 249.718 57.81 0.37 -0.50 0.87 2.97 8.37
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 1103330 101.53 101.74 10.09 0.77 0.43 0.43 9.11 9.08 9.08 5
1<=YR<3 221051 100.86 100.99 1.89 0.43 -0.03 -0.03 1.88 1.88 1.88 6
3<=YR<7 298415 102.21 102.38 4.69 0.57 0.12 0.12 4.62 4.62 4.62 6
7<=YR 583864 101.43 101.70 15.95 0.99 0.76 0.76 14.14 14.08 14.08 4
7YR-11YR 202386 104.24 104.50 8.63 0.87 0.38 0.39 8.32 8.30 8.31 5
11YR- 381477 99.94 100.22 19.83 1.06 0.96 0.96 17.36 17.27 17.27 4
Government 930554 101.92 102.15 10.58 0.79 0.40 0.40 9.52 9.48 9.49 0
1<=YR<3 180379 100.97 101.11 1.87 0.44 -0.08 -0.09 1.87 1.87 1.87 1
3<=YR<7 243033 102.55 102.72 4.67 0.58 0.06 0.06 4.61 4.61 4.61 0
7<=YR 507143 101.96 102.24 16.50 1.02 0.74 0.74 14.58 14.51 14.51 1
7YR-11YR 173918 104.91 105.17 8.66 0.90 0.34 0.34 8.34 8.32 8.33 0
11YR- 333225 100.42 100.70 20.59 1.09 0.96 0.96 17.98 17.89 17.88 1
Municipals 67506 100.07 100.21 7.52 0.57 0.42 0.44 7.11 7.08 7.09 17
Govt.Grntd 15376 100.55 100.70 8.80 0.66 0.42 0.42 7.95 7.92 7.93 12
Bank Dbntr 3490 99.59 99.64 3.24 0.15 0.23 0.23 3.21 3.20 3.21 25
Corporates 67506 98.65 98.83 7.66 0.65 0.69 0.67 6.84 6.80 6.81 45
Yen Dnm Frgn 3433 99.29 99.61 3.71 1.03 1.16 1.16 3.53 3.51 3.53 115
MBS 14655 98.85 98.88 6.70 0.63 0.67 0.67 6.43 6.41 6.42 20
ABS 810 98.29 98.46 5.69 0.65 0.78 0.76 5.36 5.33 5.35 63
Overall ex.MBS 1088675 101.56 101.78 10.13 0.77 0.42 0.42 9.15 9.11 9.12 5
1<=YR<3 221051 100.86 100.99 1.89 0.43 -0.03 -0.03 1.88 1.88 1.88 6
3<=YR<7 298415 102.21 102.38 4.69 0.57 0.12 0.12 4.62 4.62 4.62 6
7<=YR 569209 101.50 101.77 16.19 1.00 0.76 0.76 14.33 14.27 14.27 4
7YR-11YR 202216 104.25 104.50 8.63 0.87 0.38 0.39 8.32 8.30 8.32 5
11YR- 366993 99.99 100.27 20.35 1.07 0.98 0.97 17.79 17.70 17.69 3
Overall ex.ABS 1102520 101.53 101.74 10.09 0.77 0.43 0.43 9.12 9.08 9.08 5
1<=YR<3 220780 100.86 100.99 1.89 0.43 -0.03 -0.03 1.88 1.88 1.88 6
3<=YR<7 298142 102.21 102.38 4.69 0.57 0.12 0.12 4.62 4.62 4.62 6
7<=YR 583597 101.44 101.70 15.95 0.99 0.76 0.76 14.14 14.08 14.08 4
7YR-11YR 202210 104.25 104.50 8.63 0.87 0.38 0.39 8.32 8.30 8.31 5
11YR- 381387 99.95 100.22 19.84 1.06 0.96 0.96 17.36 17.27 17.27 4
Overall ex.MBS,ABS 1087865 101.57 101.78 10.14 0.77 0.42 0.42 9.15 9.12 9.12 5
1<=YR<3 220780 100.86 100.99 1.89 0.43 -0.03 -0.03 1.88 1.88 1.88 6
3<=YR<7 298142 102.21 102.38 4.69 0.57 0.12 0.12 4.62 4.62 4.62 6
7<=YR 568943 101.50 101.78 16.19 1.00 0.76 0.76 14.34 14.27 14.28 4
7YR-11YR 202039 104.25 104.51 8.63 0.87 0.38 0.39 8.32 8.30 8.32 5
11YR- 366903 99.99 100.27 20.35 1.07 0.98 0.97 17.79 17.70 17.70 3
Overall ex.JGB 172776 99.42 99.57 7.45 0.62 0.56 0.56 6.86 6.84 6.84 30
1<=YR<3 40672 100.37 100.48 1.97 0.41 0.21 0.21 1.96 1.96 1.96 30
3<=YR<7 55383 100.71 100.85 4.74 0.54 0.39 0.39 4.68 4.67 4.68 32
7<=YR 76721 97.99 98.16 12.31 0.78 0.87 0.87 11.15 11.09 11.10 29
7YR-11YR 28468 100.20 100.38 8.44 0.69 0.68 0.68 8.19 8.16 8.19 35
11YR- 48253 96.69 96.84 14.59 0.83 0.99 0.99 12.96 12.88 12.89 25
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