NOMURA-BPI/Extended Monthly Data

06/28/2024

--------------- RETURNS (%) FROM ----------------
INDEX -------- LST.MTH -------- LST.MAR LST.YR
VALUE TOTAL CAPITAL INCOME TOTAL TOTAL
Overall 357.755 3.58 2.76 0.82 -9.83 -5.91
1<=YR<3 234.252 2.19 1.82 0.38 -0.67 -0.71
3<=YR<7 334.973 4.10 3.46 0.64 -3.33 -2.51
7<=YR 520.633 3.89 2.78 1.11 -17.04 -9.84
7YR-11YR*2 190.709 4.46 3.49 0.97 -8.19 -4.79
11YR-*2 229.152 3.54 2.34 1.20 -22.25 -12.79
Government 367.658 3.54 2.69 0.85 -10.47 -6.35
1<=YR<3 220.855 2.12 1.75 0.37 -0.74 -0.78
3<=YR<7 333.447 4.04 3.39 0.65 -3.43 -2.64
7<=YR 529.824 3.84 2.70 1.14 -17.70 -10.32
7YR-11YR*2 189.023 4.39 3.41 0.98 -8.33 -4.96
11YR-*2 227.526 3.52 2.28 1.23 -23.19 -13.42
Municipals 385.446 4.17 3.56 0.62 -6.30 -3.70
Govt.Grntd 359.874 3.60 2.88 0.73 -8.62 -4.86
Bank Dbntr 272.337 3.12 2.87 0.25 -1.59 -1.28
Corporates 381.486 3.88 3.14 0.74 -5.89 -3.03
Yen Dnm Frgn 391.703 3.65 2.61 1.04 0.13 0.72
MBS*3 122.865 2.51 1.86 0.65 -7.91 -4.75
ABS*4 112.698 3.99 3.25 0.73 -4.13 -2.59
Overall ex.MBS 357.634 3.60 2.77 0.82 -9.85 -5.93
1<=YR<3 234.252 2.19 1.82 0.38 -0.67 -0.71
3<=YR<7 334.973 4.10 3.46 0.64 -3.33 -2.51
7<=YR 522.362 3.92 2.80 1.12 -17.26 -9.97
7YR-11YR*2 190.702 4.46 3.49 0.97 -8.19 -4.80
11YR-*2 230.741 3.58 2.36 1.22 -22.80 -13.10
Overall ex.ABS 357.778 3.58 2.76 0.82 -9.83 -5.92
1<=YR<3 234.212 2.19 1.82 0.38 -0.67 -0.71
3<=YR<7 334.969 4.10 3.46 0.64 -3.33 -2.51
7<=YR 520.631 3.89 2.78 1.11 -17.04 -9.84
7YR-11YR*2 190.702 4.46 3.49 0.97 -8.19 -4.79
11YR-*2 229.150 3.54 2.34 1.20 -22.25 -12.79
Overall ex.MBS,ABS 357.658 3.60 2.77 0.82 -9.85 -5.93
1<=YR<3 234.212 2.19 1.82 0.38 -0.67 -0.71
3<=YR<7 334.969 4.10 3.46 0.64 -3.33 -2.51
7<=YR 522.361 3.92 2.80 1.12 -17.26 -9.97
7YR-11YR*2 190.695 4.46 3.49 0.97 -8.20 -4.80
11YR-*2 230.739 3.58 2.36 1.22 -22.81 -13.10
Overall ex.JGB* 169.024 3.84 3.16 0.68 -6.22 -3.47
1<=YR<3* 134.158 2.52 2.12 0.40 -0.38 -0.41
3<=YR<7* 166.193 4.38 3.78 0.60 -2.85 -1.93
7<=YR* 228.931 4.19 3.27 0.92 -12.31 -6.48
7YR-11YR*2 196.886 4.93 4.05 0.88 -7.23 -3.64
11YR-*2 232.396 3.71 2.78 0.94 -15.46 -8.24
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 1131025 95.70 95.85 10.24 0.79 1.00 0.97 8.72 8.66 8.68 4
1<=YR<3 231952 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304392 100.25 100.35 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 594681 91.68 91.87 16.21 1.03 1.51 1.45 13.79 13.68 13.70 4
7YR-11YR 204805 100.34 100.49 8.76 0.98 0.95 0.96 8.40 8.35 8.39 3
11YR- 389876 87.13 87.34 20.12 1.05 1.85 1.74 17.05 16.89 16.91 4
Government 958319 95.62 95.76 10.75 0.82 1.01 0.97 9.11 9.05 9.06 1
1<=YR<3 190678 100.14 100.20 2.00 0.38 0.30 0.30 1.99 1.98 1.99 1
3<=YR<7 247505 100.54 100.63 4.89 0.66 0.55 0.56 4.80 4.79 4.80 0
7<=YR 520137 91.63 91.82 16.76 1.05 1.53 1.45 14.21 14.10 14.12 1
7YR-11YR 177373 100.72 100.86 8.80 1.00 0.92 0.93 8.42 8.38 8.42 0
11YR- 342763 86.92 87.13 20.87 1.08 1.89 1.76 17.68 17.52 17.53 1
Municipals 66869 96.83 96.96 7.39 0.60 0.86 0.87 6.80 6.76 6.77 10
Govt.Grntd 14390 95.78 95.98 9.13 0.70 0.95 0.91 7.82 7.76 7.79 7
Bank Dbntr 3439 98.62 98.67 3.12 0.25 0.67 0.66 3.07 3.06 3.07 26
Corporates 69788 95.69 95.86 7.47 0.71 1.13 1.09 6.38 6.33 6.35 38
Yen Dnm Frgn 3385 98.93 99.16 3.80 1.04 1.27 1.26 3.61 3.58 3.61 80
MBS 14137 94.50 94.53 7.35 0.63 0.86 1.33 6.83 6.79 7.06 22
ABS 699 95.63 95.79 5.64 0.70 1.30 1.26 5.21 5.17 5.20 66
Overall ex.MBS 1116888 95.72 95.86 10.28 0.79 1.01 0.97 8.75 8.68 8.70 4
1<=YR<3 231952 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304392 100.25 100.35 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 580544 91.61 91.81 16.42 1.04 1.53 1.45 13.96 13.85 13.87 3
7YR-11YR 204612 100.34 100.50 8.77 0.98 0.95 0.96 8.40 8.36 8.40 3
11YR- 375932 86.86 87.08 20.59 1.07 1.89 1.76 17.46 17.30 17.31 3
Overall ex.ABS 1130326 95.70 95.85 10.24 0.79 1.00 0.97 8.72 8.66 8.68 4
1<=YR<3 231743 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304093 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 594490 91.68 91.87 16.21 1.03 1.51 1.45 13.79 13.68 13.70 4
7YR-11YR 204700 100.34 100.50 8.76 0.98 0.95 0.96 8.40 8.36 8.39 3
11YR- 389791 87.13 87.34 20.12 1.05 1.85 1.74 17.05 16.89 16.92 4
Overall ex.MBS,ABS 1116189 95.72 95.86 10.28 0.79 1.00 0.97 8.75 8.69 8.70 4
1<=YR<3 231743 100.06 100.12 2.00 0.38 0.34 0.34 1.99 1.99 1.99 5
3<=YR<7 304093 100.25 100.36 4.86 0.65 0.60 0.60 4.78 4.77 4.78 5
7<=YR 580353 91.61 91.81 16.43 1.04 1.53 1.45 13.96 13.85 13.87 3
7YR-11YR 204507 100.34 100.50 8.77 0.98 0.95 0.96 8.40 8.36 8.40 3
11YR- 375847 86.86 87.08 20.59 1.07 1.89 1.76 17.46 17.30 17.31 3
Overall ex.JGB 172706 96.16 96.31 7.40 0.66 0.98 1.00 6.57 6.53 6.56 24
1<=YR<3 41274 99.66 99.75 2.01 0.40 0.55 0.55 2.00 2.00 2.00 26
3<=YR<7 56887 98.99 99.13 4.77 0.59 0.79 0.79 4.69 4.67 4.69 24
7<=YR 74545 92.07 92.25 12.40 0.85 1.40 1.45 10.85 10.76 10.83 23
7YR-11YR 27432 97.89 98.10 8.55 0.86 1.15 1.14 8.22 8.17 8.21 24
11YR- 47113 88.68 88.84 14.64 0.84 1.56 1.66 12.54 12.42 12.52 22

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