NOMURA-BPI/Extended Monthly Data

04/28/2023

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 375.844 3.01 2.25 0.75 3.01 7.54
1<=YR<3 235.239 -0.43 -0.86 0.43 -0.43 0.73
3<=YR<7 339.635 0.52 -0.04 0.56 0.52 3.04
7<=YR 567.673 5.60 4.62 0.98 5.60 12.59
7YR-11YR*2 197.116 0.88 0.04 0.84 0.88 5.09
11YR-*2 257.735 8.22 7.16 1.06 8.22 16.88
Government 387.993 3.15 2.37 0.78 3.15 8.07
1<=YR<3 221.963 -0.51 -0.94 0.43 -0.51 0.69
3<=YR<7 338.580 0.40 -0.17 0.57 0.40 3.04
7<=YR 580.635 5.78 4.77 1.01 5.78 13.30
7YR-11YR*2 195.804 0.62 -0.25 0.86 0.62 5.22
11YR-*2 257.564 8.60 7.51 1.09 8.60 17.85
Municipals 395.109 1.96 1.39 0.57 1.96 4.74
Govt.Grntd 374.132 2.37 1.72 0.65 2.37 5.69
Bank Dbntr 274.139 0.50 0.35 0.15 0.50 1.35
Corporates 390.041 2.45 1.79 0.66 2.45 4.88
Yen Dnm Frgn 386.847 5.50 4.47 1.03 5.50 4.98
MBS*3 126.871 2.32 1.70 0.62 2.32 3.25
ABS*4 114.395 1.50 0.84 0.66 1.50 3.62
Overall ex.MBS 375.802 3.02 2.26 0.76 3.02 7.59
1<=YR<3 235.239 -0.43 -0.86 0.43 -0.43 0.73
3<=YR<7 339.635 0.52 -0.04 0.56 0.52 3.04
7<=YR 570.344 5.68 4.69 0.99 5.68 12.83
7YR-11YR*2 197.114 0.88 0.04 0.84 0.88 5.09
11YR-*2 260.404 8.45 7.38 1.07 8.45 17.44
Overall ex.ABS 375.878 3.01 2.26 0.76 3.01 7.54
1<=YR<3 235.200 -0.43 -0.86 0.43 -0.43 0.73
3<=YR<7 339.633 0.52 -0.04 0.56 0.52 3.04
7<=YR 567.680 5.60 4.62 0.98 5.60 12.59
7YR-11YR*2 197.110 0.87 0.03 0.84 0.87 5.09
11YR-*2 257.735 8.22 7.16 1.06 8.22 16.88
Overall ex.MBS,ABS 375.836 3.02 2.26 0.76 3.02 7.60
1<=YR<3 235.200 -0.43 -0.86 0.43 -0.43 0.73
3<=YR<7 339.633 0.52 -0.04 0.56 0.52 3.04
7<=YR 570.352 5.68 4.69 0.99 5.68 12.84
7YR-11YR*2 197.109 0.87 0.03 0.84 0.87 5.09
11YR-*2 260.405 8.45 7.38 1.07 8.45 17.44
Overall ex.JGB* 173.197 2.26 1.64 0.62 2.26 4.68
1<=YR<3* 134.226 -0.06 -0.48 0.42 -0.06 0.90
3<=YR<7* 167.424 1.05 0.53 0.53 1.05 3.05
7<=YR* 241.001 4.39 3.60 0.79 4.39 7.95
7YR-11YR*2 200.588 2.49 1.80 0.68 2.49 4.35
11YR-*2 249.648 5.57 4.71 0.86 5.57 10.24
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 1094148 101.69 101.86 10.11 0.77 0.42 0.42 9.15 9.12 9.12 5
1<=YR<3 221044 100.88 100.98 1.94 0.43 -0.02 -0.02 1.94 1.94 1.94 6
3<=YR<7 294952 102.22 102.35 4.75 0.57 0.13 0.13 4.68 4.68 4.68 6
7<=YR 578152 101.74 101.94 15.97 0.99 0.74 0.74 14.18 14.12 14.12 5
7YR-11YR 200089 104.52 104.74 8.67 0.88 0.36 0.37 8.36 8.34 8.36 5
11YR- 378062 100.27 100.47 19.83 1.06 0.95 0.94 17.39 17.30 17.30 4
Government 921156 102.12 102.29 10.61 0.80 0.39 0.40 9.57 9.53 9.54 1
1<=YR<3 180331 101.00 101.10 1.94 0.44 -0.07 -0.07 1.93 1.93 1.93 1
3<=YR<7 239883 102.58 102.71 4.75 0.58 0.06 0.07 4.68 4.68 4.68 0
7<=YR 500942 102.31 102.52 16.53 1.03 0.72 0.72 14.62 14.56 14.56 1
7YR-11YR 171280 105.26 105.48 8.71 0.91 0.31 0.32 8.39 8.37 8.38 0
11YR- 329662 100.78 100.99 20.59 1.09 0.94 0.94 18.01 17.92 17.92 1
Municipals 67552 100.09 100.21 7.55 0.57 0.43 0.44 7.14 7.12 7.12 18
Govt.Grntd 15733 100.64 100.82 8.64 0.65 0.41 0.41 7.82 7.79 7.80 12
Bank Dbntr 3483 99.58 99.61 3.26 0.15 0.24 0.23 3.23 3.22 3.23 25
Corporates 67193 98.66 98.81 7.72 0.65 0.70 0.68 6.91 6.87 6.89 47
Yen Dnm Frgn 3568 99.09 99.38 3.68 1.02 1.22 1.21 3.51 3.48 3.51 120
MBS 14663 98.46 98.49 6.66 0.63 0.68 0.73 6.38 6.35 6.44 28
ABS 801 98.30 98.47 5.76 0.65 0.78 0.76 5.42 5.39 5.42 63
Overall ex.MBS 1079486 101.74 101.90 10.16 0.77 0.42 0.42 9.19 9.16 9.16 5
1<=YR<3 221044 100.88 100.98 1.94 0.43 -0.02 -0.02 1.94 1.94 1.94 6
3<=YR<7 294952 102.22 102.35 4.75 0.57 0.13 0.13 4.68 4.68 4.68 6
7<=YR 563489 101.82 102.03 16.21 1.00 0.74 0.74 14.37 14.31 14.31 4
7YR-11YR 199915 104.53 104.74 8.68 0.88 0.36 0.37 8.36 8.35 8.36 5
11YR- 363574 100.34 100.55 20.35 1.07 0.96 0.95 17.82 17.73 17.72 3
Overall ex.ABS 1093348 101.70 101.86 10.11 0.77 0.42 0.42 9.16 9.12 9.13 5
1<=YR<3 220775 100.88 100.98 1.94 0.43 -0.02 -0.02 1.94 1.94 1.94 6
3<=YR<7 294687 102.22 102.35 4.75 0.57 0.13 0.13 4.68 4.68 4.68 6
7<=YR 577886 101.74 101.95 15.97 0.99 0.74 0.74 14.18 14.12 14.12 5
7YR-11YR 199913 104.53 104.74 8.67 0.88 0.36 0.37 8.36 8.34 8.36 5
11YR- 377972 100.27 100.47 19.83 1.06 0.94 0.94 17.39 17.30 17.30 4
Overall ex.MBS,ABS 1078685 101.74 101.91 10.16 0.77 0.42 0.42 9.19 9.16 9.16 5
1<=YR<3 220775 100.88 100.98 1.94 0.43 -0.02 -0.02 1.94 1.94 1.94 6
3<=YR<7 294687 102.22 102.35 4.75 0.57 0.13 0.13 4.68 4.68 4.68 6
7<=YR 563223 101.83 102.04 16.21 1.00 0.74 0.74 14.38 14.31 14.32 4
7YR-11YR 199739 104.53 104.75 8.68 0.88 0.36 0.37 8.36 8.35 8.36 5
11YR- 363484 100.34 100.55 20.35 1.07 0.95 0.95 17.82 17.73 17.73 3
Overall ex.JGB 172993 99.41 99.54 7.47 0.61 0.56 0.57 6.89 6.86 6.87 32
1<=YR<3 40713 100.37 100.46 1.97 0.42 0.23 0.23 1.97 1.96 1.97 31
3<=YR<7 55070 100.63 100.75 4.75 0.53 0.40 0.40 4.68 4.67 4.68 33
7<=YR 77210 98.03 98.18 12.30 0.78 0.87 0.87 11.16 11.10 11.13 32
7YR-11YR 28809 100.16 100.32 8.44 0.68 0.68 0.67 8.19 8.16 8.19 37
11YR- 48400 96.75 96.92 14.60 0.83 0.99 1.00 12.98 12.91 12.94 28
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