NOMURA-BPI/Extended Monthly Data

11/30/2023

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 367.118 25.61 24.82 0.79 -3.14 0.09
1<=YR<3 235.006 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 338.256 12.08 11.49 0.59 -0.55 0.63
7<=YR 544.071 42.50 41.44 1.07 -5.60 -0.24
7YR-11YR*2 194.317 28.83 27.93 0.91 -2.02 0.24
11YR-*2 243.113 50.59 49.43 1.16 -7.60 -0.53
Government 378.104 26.74 25.92 0.82 -3.46 0.02
1<=YR<3 221.653 2.38 2.00 0.38 -0.27 0.09
3<=YR<7 336.972 11.96 11.36 0.60 -0.66 0.56
7<=YR 555.024 43.72 42.62 1.09 -5.96 -0.29
7YR-11YR*2 192.800 28.92 28.00 0.92 -2.23 0.15
11YR-*2 242.152 52.42 51.22 1.19 -8.02 -0.56
Municipals 391.217 21.27 20.67 0.59 -1.25 0.59
Govt.Grntd 367.399 22.92 22.23 0.69 -2.42 0.02
Bank Dbntr 273.808 7.20 7.01 0.19 -0.12 0.35
Corporates 385.772 17.98 17.28 0.70 -1.36 0.52
Yen Dnm Frgn 389.052 10.17 9.10 1.08 1.49 2.40
MBS*3 125.500 18.80 18.15 0.64 -1.35 -0.04
ABS*4 113.814 16.80 16.08 0.72 -0.59 0.73
Overall ex.MBS 367.015 25.69 24.90 0.79 -3.16 0.09
1<=YR<3 235.006 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 338.256 12.08 11.49 0.59 -0.55 0.63
7<=YR 546.187 43.11 42.03 1.08 -5.71 -0.25
7YR-11YR*2 194.313 28.86 27.95 0.91 -2.03 0.24
11YR-*2 245.165 51.89 50.70 1.18 -7.84 -0.54
Overall ex.ABS 367.146 25.61 24.82 0.79 -3.14 0.08
1<=YR<3 234.966 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 338.253 12.08 11.49 0.59 -0.55 0.63
7<=YR 544.073 42.50 41.44 1.07 -5.60 -0.24
7YR-11YR*2 194.311 28.83 27.93 0.91 -2.03 0.24
11YR-*2 243.112 50.60 49.44 1.16 -7.60 -0.53
Overall ex.MBS,ABS 367.043 25.70 24.91 0.79 -3.16 0.09
1<=YR<3 234.966 2.51 2.12 0.39 -0.20 0.15
3<=YR<7 338.253 12.08 11.49 0.59 -0.55 0.63
7<=YR 546.189 43.11 42.04 1.08 -5.71 -0.25
7YR-11YR*2 194.307 28.86 27.95 0.91 -2.03 0.23
11YR-*2 245.164 51.89 50.71 1.18 -7.84 -0.54
Overall ex.JGB* 171.359 19.37 18.72 0.65 -1.33 0.49
1<=YR<3* 134.345 3.07 2.68 0.39 0.13 0.42
3<=YR<7* 167.257 12.64 12.07 0.57 -0.03 0.97
7<=YR* 235.203 34.14 33.28 0.86 -3.11 0.14
7YR-11YR*2 199.217 28.24 27.46 0.78 -0.74 0.79
11YR-*2 241.047 37.81 36.89 0.91 -4.54 -0.24
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 1123238 98.79 99.01 10.11 0.77 0.65 0.64 8.87 8.82 8.83 5
1<=YR<3 224839 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 6
3<=YR<7 305739 101.53 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 6
7<=YR 592661 96.69 96.97 16.01 1.00 1.09 1.07 13.91 13.82 13.84 4
7YR-11YR 205469 102.63 102.90 8.64 0.91 0.61 0.62 8.31 8.28 8.30 5
11YR- 387192 93.53 93.81 19.92 1.05 1.36 1.33 17.17 17.05 17.06 4
Government 949624 98.95 99.18 10.59 0.79 0.64 0.63 9.25 9.20 9.21 1
1<=YR<3 184239 100.69 100.81 1.86 0.39 0.02 0.01 1.85 1.85 1.85 0
3<=YR<7 248744 101.86 102.05 4.69 0.60 0.22 0.22 4.62 4.61 4.62 0
7<=YR 516641 96.92 97.21 16.54 1.03 1.08 1.06 14.32 14.24 14.25 1
7YR-11YR 177658 103.16 103.45 8.66 0.94 0.57 0.58 8.32 8.30 8.32 1
11YR- 338984 93.65 93.95 20.67 1.08 1.38 1.33 17.79 17.66 17.67 1
Municipals 67609 98.69 98.83 7.46 0.58 0.58 0.59 6.96 6.93 6.93 14
Govt.Grntd 14651 98.29 98.44 9.08 0.68 0.64 0.62 7.97 7.93 7.94 10
Bank Dbntr 3431 99.31 99.36 3.19 0.19 0.36 0.36 3.16 3.15 3.16 25
Corporates 69317 97.17 97.36 7.64 0.68 0.87 0.85 6.66 6.62 6.64 44
Yen Dnm Frgn 3421 98.94 99.26 3.84 1.07 1.27 1.26 3.65 3.62 3.65 110
MBS 14471 96.99 97.03 7.01 0.63 0.74 0.96 6.63 6.60 6.66 20
ABS 714 97.07 97.23 5.97 0.69 1.00 0.97 5.58 5.54 5.57 65
Overall ex.MBS 1108767 98.81 99.03 10.15 0.77 0.65 0.64 8.89 8.85 8.86 5
1<=YR<3 224839 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 6
3<=YR<7 305739 101.53 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 6
7<=YR 578189 96.68 96.96 16.24 1.01 1.10 1.07 14.09 14.01 14.02 4
7YR-11YR 205249 102.63 102.91 8.65 0.91 0.61 0.62 8.31 8.29 8.31 5
11YR- 372941 93.40 93.69 20.41 1.06 1.39 1.34 17.59 17.46 17.47 3
Overall ex.ABS 1122524 98.79 99.01 10.11 0.77 0.65 0.64 8.87 8.82 8.83 5
1<=YR<3 224652 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 6
3<=YR<7 305442 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 6
7<=YR 592431 96.69 96.97 16.01 1.00 1.09 1.07 13.91 13.83 13.84 4
7YR-11YR 205324 102.63 102.91 8.64 0.91 0.61 0.62 8.31 8.28 8.30 5
11YR- 387106 93.53 93.82 19.92 1.05 1.36 1.33 17.17 17.05 17.06 4
Overall ex.MBS,ABS 1108053 98.81 99.04 10.15 0.77 0.65 0.64 8.90 8.85 8.86 5
1<=YR<3 224652 100.59 100.71 1.88 0.39 0.07 0.07 1.88 1.88 1.88 6
3<=YR<7 305442 101.54 101.72 4.70 0.60 0.28 0.28 4.63 4.63 4.63 6
7<=YR 577959 96.68 96.97 16.24 1.01 1.10 1.07 14.09 14.01 14.02 4
7YR-11YR 205104 102.63 102.91 8.65 0.91 0.61 0.62 8.31 8.29 8.31 5
11YR- 372855 93.40 93.69 20.41 1.06 1.39 1.34 17.59 17.46 17.47 3
Overall ex.JGB 173614 97.92 98.07 7.47 0.63 0.73 0.74 6.75 6.72 6.73 28
1<=YR<3 40599 100.13 100.24 2.00 0.40 0.31 0.31 1.99 1.99 1.99 29
3<=YR<7 56995 100.10 100.25 4.78 0.56 0.53 0.53 4.71 4.70 4.71 30
7<=YR 76020 95.10 95.28 12.40 0.81 1.11 1.14 11.04 10.97 10.99 27
7YR-11YR 27811 99.21 99.41 8.51 0.76 0.88 0.87 8.23 8.19 8.22 31
11YR- 48209 92.73 92.89 14.65 0.83 1.26 1.30 12.78 12.68 12.70 24
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