NOMURA-BPI/Extended Monthly Data

08/31/2020

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 386.319 -5.54 -6.34 0.80 -1.46 -1.55
1<=YR<3 235.652 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.716 -2.70 -3.30 0.60 -0.38 -0.47
7<=YR 596.525 -8.68 -9.68 1.00 -2.45 -2.56
7YR-11YR*2 199.833 -5.21 -6.05 0.84 -0.61 -0.69
11YR-*2 275.939 -10.39 -11.47 1.08 -3.35 -3.46
Government 399.644 -6.01 -6.84 0.83 -1.73 -1.68
1<=YR<3 222.596 -0.90 -1.42 0.52 -0.24 -0.24
3<=YR<7 339.919 -3.14 -3.76 0.62 -0.62 -0.49
7<=YR 611.214 -9.07 -10.10 1.03 -2.75 -2.71
7YR-11YR*2 198.381 -5.46 -6.33 0.87 -0.86 -0.66
11YR-*2 276.367 -10.76 -11.87 1.11 -3.62 -3.64
Municipals 402.097 -3.40 -4.07 0.66 -0.04 -0.80
Govt.Grntd 381.976 -3.13 -3.79 0.66 -0.70 -1.09
Bank Dbntr 274.378 -0.06 -0.17 0.11 0.75 0.01
Corporates 397.497 -3.36 -4.05 0.69 0.07 -1.14
Yen Dnm Frgn 379.597 -1.15 -1.89 0.74 0.52 -1.06
MBS*3 128.982 -2.82 -3.57 0.75 0.11 -0.09
ABS*4 113.977 -2.43 -3.09 0.65 -0.55 -0.83
Overall ex.MBS 386.336 -5.58 -6.38 0.80 -1.48 -1.57
1<=YR<3 235.652 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.716 -2.70 -3.30 0.60 -0.38 -0.47
7<=YR 599.862 -8.83 -9.84 1.01 -2.52 -2.63
7YR-11YR*2 199.833 -5.21 -6.05 0.84 -0.61 -0.69
11YR-*2 279.386 -10.69 -11.79 1.10 -3.49 -3.60
Overall ex.ABS 386.363 -5.54 -6.34 0.80 -1.46 -1.55
1<=YR<3 235.616 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.719 -2.70 -3.30 0.60 -0.38 -0.47
7<=YR 596.544 -8.68 -9.68 1.00 -2.45 -2.56
7YR-11YR*2 199.830 -5.21 -6.05 0.84 -0.61 -0.69
11YR-*2 275.940 -10.39 -11.47 1.08 -3.35 -3.46
Overall ex.MBS,ABS 386.380 -5.58 -6.38 0.80 -1.48 -1.57
1<=YR<3 235.616 -0.75 -1.28 0.52 -0.15 -0.21
3<=YR<7 340.719 -2.70 -3.30 0.60 -0.38 -0.47
7<=YR 599.883 -8.83 -9.84 1.01 -2.52 -2.63
7YR-11YR*2 199.830 -5.21 -6.05 0.84 -0.61 -0.69
11YR-*2 279.387 -10.69 -11.79 1.10 -3.49 -3.60
Overall ex.JGB* 176.189 -3.15 -3.82 0.67 -0.05 -0.89
1<=YR<3* 133.853 -0.16 -0.71 0.55 0.22 -0.08
3<=YR<7* 167.423 -0.90 -1.43 0.53 0.57 -0.39
7<=YR* 250.721 -6.26 -7.09 0.83 -0.63 -1.64
7YR-11YR*2 204.234 -3.97 -4.68 0.71 0.61 -0.80
11YR-*2 263.376 -7.78 -8.69 0.92 -1.46 -2.19
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 997706 107.20 107.48 9.75 0.87 0.12 0.13 9.27 9.26 9.25 4
1<=YR<3 204719 101.15 101.30 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 5
3<=YR<7 280596 103.11 103.31 4.71 0.63 -0.03 -0.03 4.64 4.64 4.64 5
7<=YR 512391 111.86 112.24 15.65 1.13 0.28 0.28 14.27 14.24 14.23 3
7YR-11YR 176581 107.69 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 335809 114.05 114.49 19.35 1.25 0.39 0.40 17.22 17.18 17.16 3
Government 825383 108.05 108.36 10.26 0.90 0.09 0.10 9.72 9.70 9.70 0
1<=YR<3 164028 101.23 101.39 1.87 0.53 -0.13 -0.13 1.86 1.86 1.86 0
3<=YR<7 224688 103.50 103.71 4.71 0.65 -0.09 -0.09 4.64 4.64 4.64 0
7<=YR 436666 112.96 113.38 16.28 1.18 0.25 0.27 14.75 14.72 14.71 0
7YR-11YR 145863 108.44 108.74 8.64 0.95 0.01 0.01 8.31 8.31 8.31 0
11YR- 290804 115.24 115.70 20.11 1.29 0.36 0.39 17.78 17.74 17.73 0
Municipals 64516 103.96 104.13 7.60 0.69 0.15 0.15 7.37 7.36 7.35 13
Govt.Grntd 23563 103.95 104.09 7.54 0.69 0.11 0.11 7.23 7.22 7.22 9
Bank Dbntr 4385 100.14 100.16 2.91 0.11 0.06 0.06 2.90 2.90 2.90 17
Corporates 59314 102.70 102.89 7.81 0.71 0.39 0.39 7.41 7.39 7.40 37
Yen Dnm Frgn 5336 99.69 99.86 4.17 0.74 0.88 0.88 4.04 4.02 4.04 96
MBS 14477 102.02 102.06 5.93 0.79 0.70 0.28 5.79 5.79 5.57 20
ABS 732 99.67 99.84 5.81 0.66 0.65 0.65 5.53 5.51 5.53 70
Overall ex.MBS 983228 107.28 107.56 9.81 0.87 0.12 0.12 9.32 9.30 9.30 4
1<=YR<3 204719 101.15 101.30 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 5
3<=YR<7 280596 103.11 103.31 4.71 0.63 -0.03 -0.03 4.64 4.64 4.64 5
7<=YR 497913 112.15 112.54 15.94 1.14 0.27 0.28 14.49 14.46 14.45 3
7YR-11YR 176581 107.69 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 321332 114.60 115.05 19.95 1.27 0.38 0.40 17.68 17.64 17.62 2
Overall ex.ABS 996974 107.21 107.49 9.75 0.87 0.12 0.13 9.27 9.26 9.25 4
1<=YR<3 204577 101.15 101.30 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 5
3<=YR<7 280200 103.11 103.31 4.71 0.63 -0.03 -0.03 4.64 4.64 4.64 5
7<=YR 512197 111.87 112.25 15.66 1.13 0.28 0.28 14.27 14.24 14.23 3
7YR-11YR 176446 107.70 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 335751 114.06 114.49 19.35 1.25 0.39 0.40 17.22 17.18 17.16 3
Overall ex.MBS,ABS 982496 107.28 107.57 9.81 0.87 0.12 0.12 9.32 9.31 9.30 4
1<=YR<3 204577 101.15 101.30 1.89 0.53 -0.08 -0.08 1.89 1.89 1.89 5
3<=YR<7 280200 103.11 103.31 4.71 0.63 -0.03 -0.03 4.64 4.64 4.64 5
7<=YR 497720 112.15 112.54 15.94 1.14 0.27 0.28 14.49 14.46 14.46 3
7YR-11YR 176446 107.70 107.98 8.63 0.91 0.05 0.05 8.31 8.31 8.31 4
11YR- 321273 114.60 115.05 19.96 1.27 0.38 0.40 17.68 17.64 17.62 2
Overall ex.JGB 172323 103.12 103.27 7.29 0.69 0.29 0.26 7.02 7.00 6.99 24
1<=YR<3 40691 100.82 100.94 1.98 0.55 0.12 0.12 1.97 1.97 1.97 24
3<=YR<7 55908 101.56 101.69 4.70 0.53 0.19 0.19 4.64 4.63 4.64 28
7<=YR 75724 105.49 105.69 12.06 0.89 0.45 0.38 11.29 11.27 11.23 22
7YR-11YR 30719 104.15 104.34 8.56 0.74 0.26 0.26 8.30 8.29 8.30 26
11YR- 45006 106.41 106.62 14.46 0.99 0.58 0.46 13.29 13.25 13.18 19

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