SA Bonds / Gilts: 2017/10/18

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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 140 9.4350 103.8542 102.2926 1.5616 10.2700 9.1250 -.08 4.2213 4.0311 -4.1865 418.6455 20.7467
E170 2020/08/01 13.50 R207 89 8.3050 115.6523 112.5824 3.0699 8.8750 7.8900 -.06 2.3685 2.2740 -2.6300 262.9987 6.8088
ES23 2023/01/25 10.00 R2023 103 9.0650 106.2595 103.7938 2.4658 9.4550 8.7050 -.04 4.1415 3.9619 -4.2099 420.9944 20.1557
ES26 2026/04/02 7.85 R186 117 9.9150 88.8170 88.3653 0.4516 10.1100 9.2950 0 6.1433 5.8531 -5.1986 519.8576 44.4427
ES33 2033/09/15 7.50 R209 120.5 10.8900 75.4114 74.6306 0.7808 11.0100 10.0350 .04 8.4221 7.9872 -6.0232 602.3222 96.5405
R186 2026/12/21 10.50 0 8.7450 114.4397 110.8726 3.5671 9.0250 8.3050 -.02 6.0747 5.8202 -6.6606 666.0590 46.4711
R204 2018/12/21 8.00 0 7.1300 103.6484 100.9306 2.7178 7.9650 6.8000 -.1 1.1046 1.0666 -1.1055 110.5511 1.6937
R207 2020/01/15 7.25 0 7.4150 101.6205 99.6342 1.9863 8.1450 7.0000 -.09 2.0590 1.9854 -2.0176 201.7565 5.1112
R208 2021/03/31 6.75 0 7.6500 97.7441 97.3187 0.4253 8.3050 7.2450 -.08 3.1067 2.9923 -2.9248 292.4765 10.9696
R209 2036/03/31 6.25 0 9.6850 71.1217 70.7279 0.3938 9.8000 9.0150 .02 9.7137 9.2650 -6.5895 658.9457 129.7160
R210 2028/03/31 2.60 0 2.4800 184.7856 184.4866 0.2990 2.5200 2.0000 .17 9.2012 9.0885 -16.7943 1679.4279 94.0075
R213 2031/02/28 7.00 0 9.4250 82.8007 81.7842 1.0164 9.5450 8.7350 .01 8.2674 7.8953 -6.5374 653.7394 87.2789
SPG002 2019/09/09 9.34 JIBAR 230 .0000 101.0879 100.0130 1.0750 100.0000 100.0000 0 .0000 .0000 .0000 .0000 .0000
SZ25 2025/09/30 9.00 R186 95 9.6950 96.7698 96.2027 0.5671 9.9750 9.2550 -.02 5.7594 5.4931 -5.3157 531.5681 39.3028
  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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