NOMURA-BPI/Extended Monthly Data

01/31/2023

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 365.832 -3.10 -3.87 0.77 -4.83 -3.10
1<=YR<3 234.942 1.27 0.82 0.45 -0.08 1.27
3<=YR<7 337.243 3.21 2.66 0.55 -0.71 3.21
7<=YR 541.391 -8.16 -9.17 1.01 -8.66 -8.16
7YR-11YR*2 193.503 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 241.830 -11.49 -12.60 1.10 -11.62 -11.49
Government 376.912 -3.43 -4.23 0.80 -5.07 -3.43
1<=YR<3 221.701 1.22 0.76 0.45 -0.09 1.22
3<=YR<7 336.181 3.16 2.60 0.56 -0.66 3.16
7<=YR 552.400 -8.43 -9.47 1.04 -8.89 -8.43
7YR-11YR*2 192.135 -2.34 -3.22 0.88 -2.90 -2.34
11YR-*2 240.876 -11.83 -12.97 1.14 -11.96 -11.83
Municipals 388.427 -1.97 -2.54 0.57 -3.49 -1.97
Govt.Grntd 366.456 -2.69 -3.33 0.64 -3.90 -2.69
Bank Dbntr 273.435 2.06 1.93 0.13 -0.34 2.06
Corporates 383.641 -0.88 -1.54 0.66 -4.05 -0.88
Yen Dnm Frgn 382.663 5.99 4.98 1.01 -0.95 5.99
MBS*3 125.310 -2.12 -2.76 0.64 -2.93 -2.12
ABS*4 113.098 0.39 -0.27 0.66 -2.17 0.39
Overall ex.MBS 365.719 -3.12 -3.89 0.77 -4.86 -3.12
1<=YR<3 234.942 1.27 0.82 0.45 -0.08 1.27
3<=YR<7 337.243 3.21 2.66 0.55 -0.71 3.21
7<=YR 543.443 -8.32 -9.34 1.02 -8.81 -8.32
7YR-11YR*2 193.499 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 243.825 -11.88 -13.01 1.12 -11.96 -11.88
Overall ex.ABS 365.861 -3.11 -3.88 0.77 -4.83 -3.11
1<=YR<3 234.903 1.27 0.82 0.45 -0.08 1.27
3<=YR<7 337.242 3.21 2.66 0.55 -0.71 3.21
7<=YR 541.393 -8.17 -9.18 1.01 -8.66 -8.17
7YR-11YR*2 193.497 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 241.829 -11.49 -12.60 1.10 -11.62 -11.49
Overall ex.MBS,ABS 365.748 -3.12 -3.89 0.77 -4.86 -3.12
1<=YR<3 234.903 1.27 0.82 0.45 -0.08 1.27
3<=YR<7 337.242 3.21 2.66 0.55 -0.71 3.21
7<=YR 543.446 -8.33 -9.35 1.02 -8.81 -8.33
7YR-11YR*2 193.494 -2.32 -3.17 0.85 -3.05 -2.32
11YR-*2 243.824 -11.88 -13.01 1.12 -11.96 -11.88
Overall ex.JGB* 170.388 -1.38 -2.00 0.62 -3.57 -1.38
1<=YR<3* 134.010 1.51 1.07 0.44 -0.04 1.51
3<=YR<7* 166.275 3.44 2.93 0.50 -0.97 3.44
7<=YR* 233.583 -6.45 -7.25 0.79 -7.20 -6.45
7YR-11YR*2 197.402 -2.19 -2.86 0.66 -3.89 -2.19
11YR-*2 239.635 -9.18 -10.05 0.88 -9.27 -9.18
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 1087102 99.16 99.36 10.09 0.77 0.61 0.60 8.90 8.86 8.86 5
1<=YR<3 219023 100.81 100.93 1.93 0.46 0.03 0.03 1.92 1.92 1.92 6
3<=YR<7 294499 101.58 101.71 4.73 0.56 0.23 0.23 4.67 4.66 4.67 6
7<=YR 573580 97.29 97.55 15.95 0.99 1.04 1.02 13.92 13.84 13.86 5
7YR-11YR 198314 102.73 102.94 8.68 0.87 0.56 0.57 8.36 8.33 8.35 5
11YR- 375265 94.41 94.70 19.80 1.06 1.31 1.28 17.12 17.00 17.02 4
Government 913166 99.39 99.60 10.58 0.80 0.59 0.58 9.29 9.25 9.25 1
1<=YR<3 178370 100.92 101.03 1.91 0.46 -0.02 -0.02 1.90 1.90 1.90 1
3<=YR<7 239609 101.92 102.05 4.73 0.57 0.17 0.17 4.66 4.66 4.66 0
7<=YR 495187 97.61 97.89 16.53 1.03 1.03 1.01 14.37 14.29 14.30 1
7YR-11YR 168646 103.45 103.67 8.71 0.91 0.51 0.52 8.38 8.36 8.38 0
11YR- 326541 94.60 94.91 20.57 1.09 1.33 1.28 17.75 17.64 17.65 2
Municipals 67732 98.56 98.72 7.58 0.57 0.57 0.58 7.06 7.03 7.04 16
Govt.Grntd 16391 98.80 98.88 8.46 0.65 0.53 0.52 7.46 7.42 7.43 9
Bank Dbntr 3551 99.39 99.42 3.23 0.13 0.27 0.27 3.20 3.20 3.20 20
Corporates 67084 97.19 97.33 7.82 0.65 0.83 0.80 6.85 6.81 6.82 44
Yen Dnm Frgn 3540 98.24 98.42 3.85 1.00 1.40 1.39 3.64 3.61 3.64 127
MBS 14831 97.41 97.44 6.77 0.64 0.74 0.88 6.42 6.39 6.43 19
ABS 808 97.40 97.56 5.80 0.65 0.89 0.87 5.40 5.37 5.40 60
Overall ex.MBS 1072271 99.18 99.38 10.13 0.77 0.61 0.59 8.93 8.89 8.90 5
1<=YR<3 219023 100.81 100.93 1.93 0.46 0.03 0.03 1.92 1.92 1.92 6
3<=YR<7 294499 101.58 101.71 4.73 0.56 0.23 0.23 4.67 4.66 4.67 6
7<=YR 558749 97.28 97.55 16.20 1.00 1.05 1.02 14.12 14.04 14.05 4
7YR-11YR 198185 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.34 8.36 5
11YR- 360564 94.29 94.59 20.33 1.08 1.34 1.30 17.57 17.45 17.46 4
Overall ex.ABS 1086294 99.16 99.36 10.09 0.77 0.61 0.60 8.90 8.86 8.87 5
1<=YR<3 218739 100.82 100.93 1.93 0.46 0.03 0.03 1.92 1.92 1.92 6
3<=YR<7 294239 101.58 101.71 4.73 0.56 0.23 0.23 4.67 4.66 4.67 6
7<=YR 573317 97.29 97.55 15.95 0.99 1.04 1.02 13.92 13.84 13.86 5
7YR-11YR 198142 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.33 8.35 5
11YR- 375175 94.41 94.70 19.80 1.06 1.31 1.28 17.12 17.00 17.02 4
Overall ex.MBS,ABS 1071464 99.19 99.39 10.14 0.77 0.60 0.59 8.94 8.89 8.90 5
1<=YR<3 218739 100.82 100.93 1.93 0.46 0.03 0.03 1.92 1.92 1.92 6
3<=YR<7 294239 101.58 101.71 4.73 0.56 0.23 0.23 4.67 4.66 4.67 6
7<=YR 558486 97.29 97.56 16.20 1.00 1.05 1.02 14.12 14.04 14.05 4
7YR-11YR 198013 102.74 102.95 8.68 0.87 0.56 0.57 8.36 8.34 8.36 5
11YR- 360474 94.29 94.59 20.33 1.08 1.34 1.30 17.57 17.45 17.46 4
Overall ex.JGB 173936 97.96 98.09 7.51 0.61 0.69 0.70 6.81 6.77 6.79 29
1<=YR<3 40654 100.35 100.46 1.99 0.45 0.26 0.26 1.98 1.98 1.98 28
3<=YR<7 54890 100.09 100.21 4.75 0.51 0.49 0.49 4.69 4.68 4.69 31
7<=YR 78392 95.23 95.39 12.31 0.77 1.07 1.09 11.00 10.93 10.95 27
7YR-11YR 29668 98.64 98.80 8.47 0.66 0.84 0.84 8.23 8.19 8.22 34
11YR- 48724 93.15 93.31 14.66 0.84 1.22 1.25 12.79 12.70 12.71 23

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