NOMURA-BPI/Extended Daily Data

02/02/2023

--------------- RETURNS (%) FROM ----------------
INDEX PRV.DAY -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 367.538 79.71 85.09 84.32 0.77 -4.27 2.07
1<=YR<3 234.999 5.11 4.43 3.98 0.45 -0.05 1.46
3<=YR<7 337.378 2.38 7.30 6.76 0.55 -0.66 3.45
7<=YR 546.093 150.20 158.51 157.49 1.02 -7.65 1.57
7YR-11YR*2 194.146 37.82 60.66 59.82 0.84 -2.64 1.38
11YR-*2 244.680 214.92 215.06 213.94 1.12 -10.28 1.71
Government 378.801 86.29 91.47 90.67 0.80 -4.47 2.14
1<=YR<3 221.754 5.10 4.39 3.94 0.45 -0.06 1.40
3<=YR<7 336.314 2.22 7.22 6.66 0.56 -0.60 3.40
7<=YR 557.430 158.42 166.18 165.13 1.05 -7.84 1.77
7YR-11YR*2 192.802 39.81 63.32 62.45 0.87 -2.48 1.51
11YR-*2 243.841 225.57 224.63 223.48 1.15 -10.57 1.94
Municipals 389.501 41.95 50.47 49.90 0.58 -3.15 1.11
Govt.Grntd 367.839 64.07 68.85 68.19 0.66 -3.44 1.51
Bank Dbntr 273.557 6.35 8.12 7.99 0.14 -0.29 2.42
Corporates 384.722 47.44 51.44 50.78 0.66 -3.70 2.19
Yen Dnm Frgn 383.006 23.19 16.37 15.35 1.02 -0.84 6.61
MBS*3 125.663 36.30 51.49 50.83 0.66 -2.58 1.03
ABS*4 113.305 26.30 33.29 32.63 0.67 -1.94 2.33
Overall ex.MBS 367.433 80.29 85.55 84.77 0.77 -4.29 2.08
1<=YR<3 234.999 5.11 4.43 3.98 0.45 -0.05 1.46
3<=YR<7 337.378 2.38 7.30 6.76 0.55 -0.66 3.45
7<=YR 548.247 153.20 161.34 160.31 1.03 -7.78 1.59
7YR-11YR*2 194.143 37.85 60.71 59.87 0.84 -2.65 1.38
11YR-*2 246.790 222.34 221.88 220.74 1.14 -10.59 1.73
Overall ex.ABS 367.567 79.75 85.13 84.36 0.77 -4.27 2.07
1<=YR<3 234.960 5.11 4.43 3.98 0.45 -0.05 1.46
3<=YR<7 337.377 2.38 7.30 6.76 0.55 -0.66 3.45
7<=YR 546.096 150.23 158.54 157.52 1.02 -7.65 1.57
7YR-11YR*2 194.141 37.83 60.67 59.83 0.84 -2.64 1.38
11YR-*2 244.678 214.93 215.07 213.95 1.12 -10.28 1.71
Overall ex.MBS,ABS 367.463 80.33 85.58 84.81 0.77 -4.29 2.08
1<=YR<3 234.960 5.11 4.43 3.98 0.45 -0.05 1.46
3<=YR<7 337.377 2.38 7.30 6.76 0.55 -0.66 3.45
7<=YR 548.251 153.24 161.37 160.34 1.03 -7.78 1.59
7YR-11YR*2 194.137 37.86 60.72 59.88 0.84 -2.65 1.38
11YR-*2 246.789 222.35 221.88 220.74 1.14 -10.59 1.73
Overall ex.JGB* 170.864 44.45 50.98 50.36 0.62 -3.23 1.70
1<=YR<3* 134.043 5.13 4.59 4.15 0.44 -0.01 1.69
3<=YR<7* 166.345 3.09 7.70 7.19 0.51 -0.91 3.69
7<=YR* 234.971 96.45 108.44 107.63 0.81 -6.49 0.27
7YR-11YR*2 197.885 25.81 44.61 43.94 0.67 -3.59 0.55
11YR-*2 241.599 141.85 149.56 148.66 0.90 -8.32 0.09
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 1096617 99.62 99.83 10.10 0.77 0.57 0.57 8.96 8.92 8.92 5
1<=YR<3 219430 100.83 100.95 1.94 0.45 0.02 0.02 1.94 1.93 1.94 6
3<=YR<7 298291 101.62 101.75 4.74 0.56 0.22 0.22 4.68 4.67 4.68 6
7<=YR 578895 98.14 98.41 15.96 0.99 0.98 0.96 13.97 13.89 13.91 4
7YR-11YR 201098 103.00 103.21 8.70 0.86 0.52 0.53 8.38 8.36 8.38 5
11YR- 377797 95.55 95.85 19.82 1.06 1.24 1.21 17.18 17.07 17.07 4
Government 921635 99.89 100.10 10.59 0.80 0.56 0.55 9.35 9.31 9.31 1
1<=YR<3 178528 100.94 101.05 1.92 0.46 -0.03 -0.03 1.91 1.91 1.91 1
3<=YR<7 242870 101.96 102.10 4.73 0.57 0.16 0.16 4.66 4.66 4.66 0
7<=YR 500237 98.51 98.80 16.52 1.03 0.97 0.95 14.42 14.34 14.35 1
7YR-11YR 171336 103.72 103.94 8.73 0.90 0.47 0.48 8.40 8.38 8.40 0
11YR- 328901 95.80 96.12 20.58 1.09 1.25 1.22 17.80 17.69 17.70 1
Municipals 68037 98.81 98.98 7.63 0.57 0.55 0.56 7.13 7.10 7.11 16
Govt.Grntd 16166 99.12 99.21 8.62 0.65 0.51 0.50 7.64 7.61 7.62 10
Bank Dbntr 3519 99.41 99.45 3.31 0.14 0.26 0.26 3.28 3.28 3.28 20
Corporates 67864 97.48 97.62 7.82 0.65 0.80 0.78 6.88 6.84 6.86 44
Yen Dnm Frgn 3662 98.37 98.55 3.84 1.00 1.37 1.36 3.64 3.62 3.64 126
MBS 14923 97.69 97.73 6.76 0.64 0.73 0.84 6.43 6.40 6.41 19
ABS 810 97.56 97.72 5.89 0.65 0.87 0.85 5.50 5.47 5.49 60
Overall ex.MBS 1081693 99.65 99.85 10.15 0.77 0.57 0.56 8.99 8.95 8.96 5
1<=YR<3 219430 100.83 100.95 1.94 0.45 0.02 0.02 1.94 1.93 1.94 6
3<=YR<7 298291 101.62 101.75 4.74 0.56 0.22 0.22 4.68 4.67 4.68 6
7<=YR 563972 98.15 98.43 16.20 1.00 0.98 0.97 14.17 14.09 14.10 4
7YR-11YR 200913 103.00 103.21 8.70 0.86 0.52 0.53 8.39 8.37 8.38 5
11YR- 363059 95.47 95.78 20.35 1.08 1.26 1.23 17.62 17.51 17.51 4
Overall ex.ABS 1095806 99.63 99.83 10.11 0.77 0.57 0.57 8.96 8.92 8.93 5
1<=YR<3 219154 100.83 100.95 1.94 0.45 0.02 0.02 1.94 1.93 1.94 6
3<=YR<7 298025 101.62 101.76 4.74 0.56 0.22 0.22 4.68 4.67 4.68 6
7<=YR 578628 98.14 98.41 15.96 0.99 0.98 0.96 13.97 13.90 13.91 4
7YR-11YR 200921 103.01 103.21 8.70 0.86 0.52 0.53 8.38 8.36 8.38 5
11YR- 377707 95.56 95.85 19.82 1.06 1.24 1.21 17.18 17.07 17.07 4
Overall ex.MBS,ABS 1080883 99.65 99.86 10.15 0.77 0.57 0.56 9.00 8.95 8.96 5
1<=YR<3 219154 100.83 100.95 1.94 0.45 0.02 0.02 1.94 1.93 1.94 6
3<=YR<7 298025 101.62 101.76 4.74 0.56 0.22 0.22 4.68 4.67 4.68 6
7<=YR 563704 98.15 98.43 16.20 1.00 0.98 0.97 14.17 14.09 14.10 4
7YR-11YR 200735 103.01 103.22 8.70 0.86 0.52 0.53 8.39 8.37 8.38 5
11YR- 362969 95.47 95.78 20.35 1.08 1.26 1.23 17.62 17.51 17.51 4
Overall ex.JGB 174981 98.22 98.36 7.55 0.61 0.67 0.67 6.86 6.83 6.84 29
1<=YR<3 40902 100.36 100.47 2.03 0.44 0.25 0.25 2.03 2.02 2.03 29
3<=YR<7 55421 100.12 100.24 4.80 0.51 0.49 0.49 4.73 4.72 4.73 32
7<=YR 78658 95.78 95.94 12.35 0.77 1.03 1.04 11.07 11.00 11.02 27
7YR-11YR 29762 98.85 99.01 8.51 0.66 0.82 0.81 8.27 8.23 8.26 34
11YR- 48896 93.90 94.07 14.69 0.84 1.17 1.19 12.87 12.78 12.78 23
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