NOMURA-BPI/Extended Monthly Data

01/31/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 365.991 -7.91 -8.69 0.78 -2.86 -7.91
1<=YR<3 234.995 -0.45 -0.83 0.38 -0.16 -0.45
3<=YR<7 338.348 -2.85 -3.45 0.61 -0.40 -2.85
7<=YR 540.767 -13.60 -14.64 1.04 -5.17 -13.60
7YR-11YR*2 194.390 -5.59 -6.49 0.91 -1.57 -5.59
11YR-*2 240.724 -18.26 -19.37 1.11 -7.17 -18.26
Government 376.748 -8.54 -9.35 0.81 -3.18 -8.54
1<=YR<3 221.618 -0.50 -0.88 0.38 -0.23 -0.50
3<=YR<7 336.994 -2.97 -3.58 0.61 -0.52 -2.97
7<=YR 551.309 -14.36 -15.42 1.06 -5.52 -14.36
7YR-11YR*2 192.800 -5.82 -6.74 0.92 -1.77 -5.82
11YR-*2 239.595 -19.28 -20.42 1.14 -7.59 -19.28
Municipals 390.907 -5.02 -5.61 0.59 -1.09 -5.02
Govt.Grntd 366.730 -6.23 -6.90 0.67 -2.15 -6.23
Bank Dbntr 273.788 -1.21 -1.42 0.21 -0.11 -1.21
Corporates 386.157 -3.40 -4.10 0.70 -0.97 -3.40
Yen Dnm Frgn 389.975 -0.90 -2.00 1.10 1.47 -0.90
MBS*3 125.176 -5.90 -6.54 0.64 -1.38 -5.90
ABS*4 113.808 -3.55 -4.25 0.70 -0.48 -3.55
Overall ex.MBS 365.886 -7.93 -8.72 0.78 -2.88 -7.93
1<=YR<3 234.995 -0.45 -0.83 0.38 -0.16 -0.45
3<=YR<7 338.348 -2.85 -3.45 0.61 -0.40 -2.85
7<=YR 542.823 -13.80 -14.84 1.05 -5.26 -13.80
7YR-11YR*2 194.386 -5.59 -6.50 0.91 -1.57 -5.59
11YR-*2 242.685 -18.75 -19.88 1.13 -7.40 -18.75
Overall ex.ABS 366.018 -7.91 -8.69 0.78 -2.86 -7.91
1<=YR<3 234.955 -0.45 -0.83 0.38 -0.16 -0.45
3<=YR<7 338.345 -2.85 -3.45 0.60 -0.41 -2.85
7<=YR 540.768 -13.60 -14.64 1.04 -5.17 -13.60
7YR-11YR*2 194.384 -5.59 -6.49 0.91 -1.57 -5.59
11YR-*2 240.722 -18.26 -19.37 1.11 -7.17 -18.26
Overall ex.MBS,ABS 365.913 -7.94 -8.72 0.78 -2.88 -7.94
1<=YR<3 234.955 -0.45 -0.83 0.38 -0.16 -0.45
3<=YR<7 338.345 -2.85 -3.45 0.60 -0.41 -2.85
7<=YR 542.824 -13.80 -14.84 1.05 -5.26 -13.80
7YR-11YR*2 194.380 -5.59 -6.50 0.91 -1.57 -5.59
11YR-*2 242.684 -18.75 -19.88 1.13 -7.40 -18.75
Overall ex.JGB* 171.319 -4.38 -5.03 0.65 -1.09 -4.38
1<=YR<3* 134.406 -0.20 -0.59 0.40 0.15 -0.20
3<=YR<7* 167.456 -2.30 -2.87 0.57 0.12 -2.30
7<=YR* 234.785 -8.38 -9.23 0.85 -2.68 -8.38
7YR-11YR*2 199.789 -4.07 -4.85 0.79 -0.25 -4.07
11YR-*2 239.928 -11.05 -11.94 0.89 -4.15 -11.05
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 1124154 98.36 98.56 10.15 0.78 0.69 0.68 8.85 8.80 8.81 5
1<=YR<3 227940 100.55 100.64 1.94 0.38 0.09 0.09 1.93 1.93 1.93 5
3<=YR<7 304458 101.52 101.67 4.77 0.62 0.31 0.31 4.70 4.69 4.70 5
7<=YR 591756 95.89 96.16 16.08 1.01 1.15 1.12 13.90 13.81 13.82 4
7YR-11YR 204838 102.63 102.85 8.70 0.94 0.64 0.65 8.35 8.33 8.35 4
11YR- 386918 92.33 92.62 19.99 1.05 1.45 1.40 17.15 17.03 17.03 4
Government 950378 98.46 98.68 10.64 0.80 0.68 0.67 9.24 9.19 9.19 1
1<=YR<3 187047 100.65 100.74 1.92 0.38 0.04 0.04 1.91 1.91 1.91 0
3<=YR<7 247463 101.84 101.99 4.77 0.63 0.25 0.26 4.70 4.69 4.70 0
7<=YR 515868 96.05 96.33 16.62 1.04 1.15 1.11 14.32 14.23 14.23 1
7YR-11YR 177085 103.12 103.35 8.73 0.96 0.60 0.61 8.37 8.35 8.37 1
11YR- 338783 92.36 92.67 20.75 1.08 1.47 1.41 17.78 17.65 17.65 1
Municipals 67740 98.52 98.69 7.45 0.59 0.61 0.62 6.92 6.89 6.90 13
Govt.Grntd 14511 97.97 98.07 9.09 0.68 0.66 0.64 7.94 7.90 7.91 9
Bank Dbntr 3415 99.27 99.32 3.17 0.21 0.39 0.39 3.14 3.13 3.14 26
Corporates 69514 97.18 97.34 7.61 0.69 0.87 0.85 6.62 6.58 6.59 41
Yen Dnm Frgn 3454 99.04 99.25 3.93 1.10 1.27 1.26 3.73 3.71 3.73 107
MBS 14427 96.63 96.67 7.02 0.63 0.76 1.01 6.62 6.59 6.73 23
ABS 713 96.94 97.11 5.84 0.69 1.02 0.99 5.44 5.40 5.43 66
Overall ex.MBS 1109726 98.38 98.59 10.19 0.78 0.69 0.68 8.88 8.83 8.84 4
1<=YR<3 227940 100.55 100.64 1.94 0.38 0.09 0.09 1.93 1.93 1.93 5
3<=YR<7 304458 101.52 101.67 4.77 0.62 0.31 0.31 4.70 4.69 4.70 5
7<=YR 577329 95.87 96.15 16.31 1.02 1.16 1.12 14.08 13.99 14.00 4
7YR-11YR 204625 102.63 102.86 8.71 0.94 0.64 0.65 8.36 8.33 8.35 4
11YR- 372703 92.17 92.47 20.48 1.06 1.48 1.42 17.57 17.44 17.44 3
Overall ex.ABS 1123440 98.36 98.56 10.15 0.78 0.69 0.68 8.85 8.80 8.81 5
1<=YR<3 227732 100.55 100.64 1.94 0.38 0.09 0.09 1.93 1.93 1.93 5
3<=YR<7 304180 101.52 101.67 4.77 0.62 0.30 0.31 4.70 4.69 4.70 5
7<=YR 591529 95.89 96.16 16.08 1.01 1.15 1.12 13.90 13.81 13.82 4
7YR-11YR 204696 102.63 102.86 8.70 0.94 0.64 0.65 8.35 8.33 8.35 4
11YR- 386832 92.33 92.62 19.99 1.05 1.45 1.40 17.15 17.03 17.03 4
Overall ex.MBS,ABS 1109013 98.39 98.59 10.19 0.78 0.69 0.68 8.88 8.83 8.84 4
1<=YR<3 227732 100.55 100.64 1.94 0.38 0.09 0.09 1.93 1.93 1.93 5
3<=YR<7 304180 101.52 101.67 4.77 0.62 0.30 0.31 4.70 4.69 4.70 5
7<=YR 577102 95.88 96.15 16.31 1.02 1.16 1.12 14.08 13.99 14.00 4
7YR-11YR 204484 102.64 102.86 8.71 0.94 0.64 0.65 8.36 8.33 8.35 4
11YR- 372618 92.17 92.47 20.48 1.06 1.48 1.42 17.57 17.44 17.44 3
Overall ex.JGB 173775 97.80 97.95 7.45 0.64 0.74 0.75 6.72 6.68 6.70 27
1<=YR<3 40893 100.09 100.18 2.02 0.40 0.33 0.33 2.01 2.00 2.01 29
3<=YR<7 56995 100.14 100.28 4.79 0.58 0.54 0.54 4.71 4.70 4.71 28
7<=YR 75888 94.82 95.00 12.39 0.82 1.14 1.17 10.98 10.91 10.95 26
7YR-11YR 27753 99.48 99.67 8.53 0.79 0.88 0.87 8.23 8.19 8.23 29
11YR- 48135 92.14 92.30 14.62 0.84 1.30 1.35 12.70 12.60 12.64 24

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