NOMURA-BPI/Extended Monthly Data

04/27/2012

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 340.171 6.77 5.39 1.37 6.77 2.68
1<=YR<3 234.653 0.63 -0.37 1.00 0.63 0.60
3<=YR<7 329.404 4.50 3.23 1.28 4.50 2.29
7<=YR 467.959 12.16 10.49 1.67 12.16 4.22
7YR-11YR*2 177.248 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.658 12.13 10.17 1.96 12.13 4.21
Government 349.060 7.07 5.71 1.35 7.07 2.54
1<=YR<3 222.818 0.51 -0.40 0.91 0.51 0.36
3<=YR<7 330.629 4.48 3.27 1.21 4.48 1.86
7<=YR 474.768 12.36 10.68 1.69 12.36 4.17
7YR-11YR*2 176.153 12.26 10.99 1.27 12.26 4.04
11YR-*2 199.897 12.43 10.47 1.96 12.43 4.24
Municipals 363.426 7.27 5.85 1.42 7.27 2.57
Govt.Grntd 353.829 5.93 4.59 1.35 5.93 2.15
Bank Dbntr 268.212 1.66 0.81 0.85 1.66 0.96
Corporates 357.259 4.85 3.29 1.57 4.85 3.98
Yen Dnm Frgn 345.951 7.33 5.68 1.65 7.33 9.59
MBS*3 117.362 6.60 4.86 1.74 6.60 2.53
ABS*4 106.538 3.83 2.36 1.47 3.83 1.90
Overall ex.MBS 340.045 6.77 5.40 1.37 6.77 2.68
1<=YR<3 234.653 0.63 -0.37 1.00 0.63 0.60
3<=YR<7 329.404 4.50 3.23 1.28 4.50 2.29
7<=YR 468.638 12.35 10.68 1.67 12.35 4.28
7YR-11YR*2 177.248 12.21 10.93 1.28 12.21 4.21
11YR-*2 202.171 12.46 10.49 1.97 12.46 4.31
Overall ex.ABS 340.187 6.77 5.40 1.37 6.77 2.68
1<=YR<3 234.637 0.63 -0.37 1.00 0.63 0.60
3<=YR<7 329.427 4.50 3.23 1.27 4.50 2.29
7<=YR 467.964 12.16 10.49 1.67 12.16 4.22
7YR-11YR*2 177.249 12.21 10.93 1.28 12.21 4.21
11YR-*2 201.659 12.13 10.17 1.96 12.13 4.21
Overall ex.MBS,ABS 340.061 6.77 5.40 1.37 6.77 2.68
1<=YR<3 234.637 0.63 -0.37 1.00 0.63 0.60
3<=YR<7 329.427 4.50 3.23 1.27 4.50 2.29
7<=YR 468.644 12.35 10.68 1.67 12.35 4.28
7YR-11YR*2 177.249 12.21 10.93 1.28 12.21 4.21
11YR-*2 202.172 12.46 10.49 1.97 12.46 4.31
Overall ex.JGB* 160.354 5.80 4.34 1.45 5.80 3.12
1<=YR<3* 130.945 0.98 -0.29 1.27 0.98 1.27
3<=YR<7* 158.845 4.56 3.12 1.44 4.56 3.33
7<=YR* 207.910 11.28 9.67 1.61 11.28 4.42
7YR-11YR*2 180.244 12.05 10.72 1.33 12.05 4.74
11YR-*2 206.786 10.34 8.38 1.96 10.34 4.02
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 707666 104.50 104.81 7.96 1.43 0.68 0.69 7.12 7.08 7.07 8
1<=YR<3 182156 101.63 101.85 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 230110 104.62 104.90 4.71 1.33 0.36 0.37 4.57 4.56 4.57 11
7<=YR 295400 106.18 106.55 14.21 1.77 1.21 1.23 12.14 12.06 12.03 5
7YR-11YR 126816 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 168583 107.38 107.80 18.45 2.10 1.55 1.57 15.10 14.97 14.90 4
Government 539762 104.86 105.16 8.57 1.41 0.64 0.66 7.60 7.56 7.55 0
1<=YR<3 135028 101.62 101.82 1.92 0.92 0.11 0.11 1.91 1.90 1.91 0
3<=YR<7 164744 104.86 105.13 4.68 1.27 0.25 0.25 4.55 4.54 4.55 0
7<=YR 239990 106.68 107.06 14.98 1.79 1.20 1.23 12.71 12.62 12.59 0
7YR-11YR 96143 104.95 105.26 8.61 1.32 0.70 0.71 8.15 8.12 8.14 0
11YR- 143847 107.83 108.26 19.23 2.10 1.52 1.57 15.68 15.55 15.49 0
Municipals 51677 104.62 104.93 7.07 1.48 0.61 0.62 6.49 6.46 6.47 9
Govt.Grntd 29724 104.57 104.84 5.87 1.41 0.44 0.45 5.49 5.47 5.48 5
Bank Dbntr 9516 101.28 101.47 2.73 0.87 0.28 0.28 2.70 2.70 2.70 14
Corporates 60493 102.22 102.60 5.82 1.61 1.07 1.06 5.29 5.25 5.27 65
Yen Dnm Frgn 5675 99.67 100.10 3.97 1.65 1.46 1.44 3.63 3.60 3.62 122
MBS 9747 104.14 104.23 6.80 1.85 1.64 1.14 6.31 6.28 6.07 17
ABS 1072 102.20 102.82 3.96 1.50 0.92 0.93 3.81 3.79 3.81 70
Overall ex.MBS 697919 104.50 104.81 7.98 1.43 0.67 0.69 7.13 7.09 7.09 8
1<=YR<3 182156 101.63 101.85 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 230110 104.62 104.90 4.71 1.33 0.36 0.37 4.57 4.56 4.57 11
7<=YR 285653 106.25 106.63 14.46 1.77 1.20 1.23 12.33 12.25 12.23 4
7YR-11YR 126816 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 158836 107.58 108.02 19.17 2.11 1.55 1.60 15.62 15.49 15.43 3
Overall ex.ABS 706594 104.50 104.81 7.97 1.43 0.68 0.69 7.13 7.09 7.08 8
1<=YR<3 181810 101.63 101.85 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 229403 104.62 104.91 4.71 1.33 0.36 0.37 4.57 4.56 4.57 11
7<=YR 295381 106.18 106.55 14.21 1.77 1.21 1.23 12.14 12.06 12.03 4
7YR-11YR 126816 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 168564 107.38 107.80 18.45 2.10 1.55 1.57 15.10 14.97 14.90 4
Overall ex.MBS,ABS 696847 104.51 104.82 7.99 1.43 0.67 0.68 7.14 7.10 7.09 8
1<=YR<3 181810 101.63 101.85 1.95 1.02 0.20 0.20 1.94 1.93 1.94 9
3<=YR<7 229403 104.62 104.91 4.71 1.33 0.36 0.37 4.57 4.56 4.57 11
7<=YR 285634 106.25 106.63 14.46 1.77 1.20 1.23 12.33 12.25 12.23 4
7YR-11YR 126816 104.58 104.89 8.56 1.33 0.75 0.76 8.10 8.07 8.10 6
11YR- 158817 107.58 108.02 19.17 2.11 1.55 1.60 15.62 15.49 15.43 3
Overall ex.JGB 167903 103.35 103.66 6.02 1.50 0.82 0.79 5.55 5.52 5.52 33
1<=YR<3 47127 101.65 101.94 2.05 1.30 0.48 0.47 2.02 2.02 2.02 36
3<=YR<7 65366 104.00 104.33 4.77 1.50 0.66 0.65 4.61 4.59 4.61 39
7<=YR 55410 104.03 104.34 10.87 1.68 1.28 1.20 9.60 9.53 9.50 23
7YR-11YR 30673 103.44 103.73 8.42 1.37 0.91 0.91 7.96 7.93 7.96 23
11YR- 24736 104.75 105.09 13.91 2.07 1.74 1.55 11.60 11.50 11.40 24
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