SA Bonds / Gilts: 2018/02/16

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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 125 8.6800 105.1180 105.2824 -0.1644 9.1950 8.6800 -.05 4.0978 3.9273 -4.1283 412.8311 19.2877
E170 2020/08/01 13.50 R207 95 7.6900 113.4611 112.7214 0.7397 8.2650 7.6900 -.07 2.1676 2.0873 -2.3683 236.8281 5.6810
ES23 2023/01/25 10.00 R2023 111 8.5400 106.5044 105.7647 0.7397 8.9850 8.5400 -.04 4.0098 3.8456 -4.0957 409.5684 18.6118
ES26 2026/04/02 7.85 R186 129 9.4000 94.3859 91.3319 3.0540 9.8550 9.4000 -.04 5.8507 5.5881 -5.2743 527.4334 41.2461
ES33 2033/09/15 7.50 R209 140 10.3800 81.2837 78.0166 3.2671 10.7600 10.3800 -.03 8.2440 7.8372 -6.3704 637.0382 94.3367
R186 2026/12/21 10.50 0 8.1100 116.6291 114.8455 1.7836 8.6450 8.1100 -.06 6.0807 5.8437 -6.8155 681.5489 45.5988
R204 2018/12/21 8.00 0 6.8550 102.2559 100.8970 1.3589 7.1350 6.8300 -.03 .8105 .7837 -.8014 80.1360 1.0016
R207 2020/01/15 7.25 0 6.7400 101.6258 100.8908 0.7349 7.3150 6.7400 -.07 1.7958 1.7373 -1.7655 176.5509 3.9609
R208 2021/03/31 6.75 0 7.0050 101.9602 99.2972 2.6630 7.5950 7.0050 -.07 2.7781 2.6841 -2.7367 273.6741 9.0732
R209 2036/03/31 6.25 0 8.9800 78.2577 75.7920 2.4658 9.5200 8.9800 -.05 9.6742 9.2585 -7.2455 724.5511 130.0768
R210 2028/03/31 2.60 0 2.5500 187.0682 185.1772 1.8911 2.6800 2.5200 0 8.8639 8.7523 -16.3728 1637.2772 87.8629
R213 2031/02/28 7.00 0 8.6750 86.9504 87.0847 -0.1343 9.2500 8.6750 -.06 8.4236 8.0735 -7.0199 701.9902 88.5095
SPG002 2019/09/09 9.43 JIBAR 230 .0000 101.8688 100.0096 1.8592 100.0000 100.0000 0 .0000 .0000 .0000 .0000 .0000
SZ25 2025/09/30 9.00 R186 95 9.0600 103.2192 99.6686 3.5507 9.5950 9.0600 -.05 5.4701 5.2331 -5.4015 540.1521 36.3558
  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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