SA Bonds / Gilts: 2018/06/22

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Bond Code Maturity Coupon Comp. Bond BP Spread MTM All IN Price Clean Price Accrued Interest High Yield Low Yield Return Duration Mod. Duration Delta RPBP Convexity
DV23 2023/02/27 10.00 R2023 135 9.5700 104.8778 101.5901 3.2877 9.8200 8.5500 .05 3.7314 3.5610 -3.7347 373.4748 16.3776
E170 2020/08/01 13.50 R207 95 8.4950 114.8535 109.4535 5.4000 8.7550 7.5250 .03 1.8168 1.7428 -2.0017 200.1665 4.1927
ES23 2023/01/25 10.00 R2023 114 9.3600 106.5507 102.3589 4.1918 9.6400 8.3450 .05 3.6447 3.4817 -3.7098 370.9806 15.7792
ES26 2026/04/02 7.85 R186 128 10.1500 89.6647 87.8152 1.8496 10.4400 9.1700 .04 5.7024 5.4269 -4.8661 486.6054 38.4116
ES33 2033/09/15 7.50 R209 133 10.8500 77.4045 75.2675 2.1370 11.1350 9.9600 .01 8.1579 7.7381 -5.9897 598.9653 90.9253
R186 2026/12/21 10.50 0 8.8700 109.7448 109.5722 0.1726 9.1600 7.8800 .03 5.9382 5.6860 -6.2401 624.0118 42.6701
R204 2018/12/21 8.00 0 6.7300 100.7131 100.5816 0.1315 7.1350 6.4300 -.05 .4854 .4696 -.4730 47.2954 .4411
R207 2020/01/15 7.25 0 7.5450 102.8345 99.5968 3.2377 7.8050 6.5750 .04 1.4469 1.3943 -1.4338 143.3812 2.7184
R208 2021/03/31 6.75 0 7.8300 98.9724 97.3450 1.6274 8.1000 6.8650 .04 2.5211 2.4261 -2.4012 240.1187 7.4121
R209 2036/03/31 6.25 0 9.5200 73.7213 72.2145 1.5069 9.8050 8.6200 0 9.5099 9.0778 -6.6923 669.2258 124.4317
R210 2028/03/31 2.60 0 2.7800 186.1508 184.9733 1.1776 2.7900 2.2500 .09 8.6183 8.5001 -15.8230 1582.3041 82.5511
R213 2031/02/28 7.00 0 9.3500 85.0033 82.7211 2.2822 9.6350 8.3550 .01 7.9434 7.5886 -6.4506 645.0588 80.7413
SPG002 2019/09/09 9.22 JIBAR 230 .0000 100.4083 100.0043 0.4040 100.0000 100.0000 0 .0000 .0000 .0000 .0000 .0000
SZ25 2025/09/30 9.00 R186 102 9.8900 97.6031 95.4333 2.1699 10.1800 8.9000 .04 5.3194 5.0687 -4.9472 494.7214 33.6707
  1. Clean price - price of the bond per R100 nominal excluding accrued interest

  2. Accrued interest - intrest due if bond is transacted between coupon dates

  3. Coupon date - date on which a bond's coupons are paid

  4. All-in-price - price of the bond per R100 nominal, including accrued interest. (sum clean price plus accrued interest). Used to calculate the consideration due by an investor on settlement date for purchasing a bond.

  5. Coupons - the interest paid to investors every six months as per coupon rate of the bond. Calculated by multiplying the nominal amount by the coupon rate and dividing by two.

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