NOMURA-BPI/Extended Monthly Data

03/29/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 366.739 -1.39 -2.18 0.80 -2.20 -2.05
1<=YR<3 234.647 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.774 0.74 0.11 0.63 -0.51 -1.71
7<=YR 543.729 -3.29 -4.35 1.06 -3.82 -2.76
7YR-11YR*2 194.683 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 242.610 -5.18 -6.32 1.13 -5.29 -3.53
Government 377.512 -1.76 -2.58 0.82 -2.47 -2.29
1<=YR<3 221.262 0.39 0.02 0.37 -0.36 -0.83
3<=YR<7 336.327 0.53 -0.10 0.64 -0.64 -1.87
7<=YR 554.290 -3.73 -4.82 1.09 -4.13 -3.07
7YR-11YR*2 193.031 -0.22 -1.17 0.95 -1.37 -1.63
11YR-*2 241.486 -5.75 -6.92 1.16 -5.64 -3.88
Municipals 391.595 0.44 -0.16 0.60 -0.74 -1.12
Govt.Grntd 367.776 -0.11 -0.81 0.70 -1.52 -1.12
Bank Dbntr 273.423 0.77 0.54 0.23 -0.22 -0.98
Corporates 387.176 1.20 0.49 0.71 -0.55 -0.18
Yen Dnm Frgn 391.578 2.31 1.20 1.11 1.66 1.32
MBS*3 125.336 -0.44 -1.13 0.69 -1.04 -1.63
ABS*4 113.872 0.82 0.10 0.72 -0.34 -1.06
Overall ex.MBS 366.638 -1.40 -2.20 0.80 -2.22 -2.06
1<=YR<3 234.647 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.774 0.74 0.11 0.63 -0.51 -1.71
7<=YR 545.852 -3.36 -4.43 1.07 -3.89 -2.79
7YR-11YR*2 194.679 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 244.650 -5.37 -6.52 1.15 -5.46 -3.61
Overall ex.ABS 366.767 -1.39 -2.19 0.80 -2.20 -2.05
1<=YR<3 234.607 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.771 0.74 0.11 0.63 -0.51 -1.71
7<=YR 543.730 -3.29 -4.35 1.06 -3.82 -2.76
7YR-11YR*2 194.677 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 242.609 -5.19 -6.32 1.13 -5.29 -3.53
Overall ex.MBS,ABS 366.665 -1.40 -2.20 0.80 -2.22 -2.06
1<=YR<3 234.607 0.48 0.10 0.38 -0.29 -0.76
3<=YR<7 337.771 0.74 0.11 0.63 -0.51 -1.71
7<=YR 545.854 -3.36 -4.43 1.07 -3.89 -2.79
7YR-11YR*2 194.673 -0.02 -0.95 0.93 -1.17 -1.43
11YR-*2 244.648 -5.37 -6.52 1.15 -5.46 -3.61
Overall ex.JGB* 171.686 0.68 0.01 0.67 -0.70 -0.73
1<=YR<3* 134.285 0.90 0.50 0.40 0.04 -0.43
3<=YR<7* 167.381 1.62 1.04 0.58 0.06 -1.01
7<=YR* 236.179 -0.21 -1.09 0.88 -1.67 -0.68
7YR-11YR*2 200.502 1.29 0.46 0.82 0.15 -0.05
11YR-*2 241.710 -1.13 -2.05 0.92 -2.77 -1.06
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 1124834 98.40 98.50 10.21 0.78 0.73 0.72 8.93 8.88 8.89 4
1<=YR<3 230966 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.98 1.99 5
3<=YR<7 303252 101.29 101.40 4.86 0.63 0.37 0.38 4.78 4.77 4.78 5
7<=YR 590617 96.14 96.27 16.16 1.02 1.14 1.12 14.00 13.91 13.93 4
7YR-11YR 203923 102.66 102.82 8.77 0.95 0.65 0.66 8.42 8.39 8.41 4
11YR- 386693 92.70 92.82 20.07 1.05 1.43 1.38 17.27 17.14 17.15 4
Government 951212 98.49 98.59 10.72 0.80 0.72 0.70 9.33 9.28 9.29 0
1<=YR<3 190180 100.45 100.51 1.99 0.37 0.14 0.14 1.98 1.98 1.98 0
3<=YR<7 245862 101.61 101.71 4.88 0.64 0.33 0.33 4.80 4.79 4.80 0
7<=YR 515170 96.27 96.40 16.72 1.04 1.15 1.11 14.44 14.35 14.36 1
7YR-11YR 176304 103.11 103.27 8.81 0.97 0.62 0.63 8.45 8.42 8.44 0
11YR- 338866 92.72 92.83 20.84 1.08 1.45 1.39 17.91 17.78 17.78 1
Municipals 67365 98.58 98.68 7.43 0.59 0.64 0.65 6.93 6.90 6.91 12
Govt.Grntd 14396 98.11 98.29 9.18 0.69 0.70 0.68 8.05 8.01 8.02 7
Bank Dbntr 3455 99.12 99.17 3.16 0.23 0.48 0.48 3.13 3.12 3.13 26
Corporates 69672 97.33 97.49 7.54 0.69 0.90 0.87 6.58 6.54 6.55 39
Yen Dnm Frgn 3652 99.31 99.60 3.84 1.10 1.22 1.22 3.66 3.63 3.66 95
MBS 14373 96.64 96.67 7.04 0.64 0.75 1.02 6.64 6.61 6.82 22
ABS 710 96.86 97.03 5.76 0.70 1.07 1.05 5.37 5.34 5.37 66
Overall ex.MBS 1110461 98.42 98.53 10.25 0.78 0.73 0.71 8.96 8.91 8.92 4
1<=YR<3 230966 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.98 1.99 5
3<=YR<7 303252 101.29 101.40 4.86 0.63 0.37 0.38 4.78 4.77 4.78 5
7<=YR 576244 96.13 96.26 16.39 1.02 1.15 1.12 14.19 14.10 14.11 3
7YR-11YR 203719 102.67 102.82 8.77 0.95 0.65 0.66 8.42 8.39 8.42 4
11YR- 372524 92.56 92.68 20.56 1.06 1.45 1.39 17.68 17.55 17.56 3
Overall ex.ABS 1124125 98.40 98.51 10.21 0.78 0.73 0.72 8.93 8.88 8.89 4
1<=YR<3 230762 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.98 1.99 5
3<=YR<7 302969 101.30 101.40 4.86 0.63 0.37 0.38 4.78 4.77 4.78 5
7<=YR 590393 96.14 96.27 16.17 1.02 1.14 1.12 14.00 13.91 13.93 4
7YR-11YR 203786 102.67 102.82 8.77 0.95 0.65 0.66 8.42 8.39 8.41 4
11YR- 386608 92.71 92.82 20.07 1.05 1.43 1.38 17.27 17.14 17.15 4
Overall ex.MBS,ABS 1109752 98.42 98.53 10.25 0.78 0.73 0.71 8.96 8.91 8.92 4
1<=YR<3 230762 100.36 100.42 1.99 0.38 0.19 0.19 1.99 1.98 1.99 5
3<=YR<7 302969 101.30 101.40 4.86 0.63 0.37 0.38 4.78 4.77 4.78 5
7<=YR 576021 96.13 96.26 16.39 1.02 1.15 1.12 14.19 14.10 14.11 3
7YR-11YR 203582 102.67 102.83 8.77 0.95 0.65 0.66 8.42 8.39 8.42 4
11YR- 372439 92.56 92.68 20.56 1.06 1.45 1.39 17.69 17.56 17.56 3
Overall ex.JGB 173622 97.90 98.02 7.42 0.65 0.77 0.78 6.71 6.67 6.70 25
1<=YR<3 40786 99.92 100.01 2.00 0.40 0.42 0.42 2.00 1.99 2.00 27
3<=YR<7 57389 99.95 100.07 4.76 0.58 0.58 0.58 4.69 4.68 4.69 26
7<=YR 75447 95.24 95.40 12.36 0.83 1.11 1.15 10.99 10.91 10.97 24
7YR-11YR 27619 99.79 99.95 8.52 0.82 0.87 0.86 8.22 8.19 8.22 26
11YR- 47828 92.62 92.77 14.58 0.84 1.26 1.32 12.70 12.61 12.68 22
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