SA Bonds / Gilts: 2017/12/13

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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 9.8500 103.6407 100.5448 3.0959 10.2700 9.1250 -.04 4.0579 3.8674 -4.0082 400.8200 19.3815
E170 2020/08/01 13.50 R207 94 9.0050 115.3665 110.2254 5.1411 9.1200 7.8900 .02 2.2123 2.1170 -2.4423 244.2301 6.0415
ES23 2023/01/25 10.00 R2023 104 9.6400 105.3727 101.3727 4.0000 9.8450 8.7050 .02 3.9739 3.7911 -3.9948 399.4831 18.7581
ES26 2026/04/02 7.85 R186 119 10.4100 87.6492 85.9931 1.6560 10.6750 9.2950 .05 5.9509 5.6565 -4.9578 495.7845 42.1193
ES33 2033/09/15 7.50 R209 124 11.1500 75.1200 73.1885 1.9315 11.5100 10.0350 .06 8.1881 7.7557 -5.8261 582.6091 92.6531
R186 2026/12/21 10.50 0 9.2200 107.6351 107.7214 -0.0863 9.5050 8.3050 .03 6.1588 5.8874 -6.3369 633.6853 46.1804
R204 2018/12/21 8.00 0 7.6150 100.3026 100.3684 -0.0658 7.9650 6.8000 -.04 .9890 .9527 -.9556 95.5608 1.3751
R207 2020/01/15 7.25 0 8.0650 101.5343 98.4357 3.0986 8.2300 7.0000 -.01 1.9054 1.8315 -1.8596 185.9637 4.4475
R208 2021/03/31 6.75 0 8.3050 97.0586 95.5977 1.4610 8.4700 7.2450 0 2.9489 2.8314 -2.7481 274.8096 9.9539
R209 2036/03/31 6.25 0 9.9100 70.7065 69.3538 1.3527 10.2700 9.0150 .04 9.4669 9.0200 -6.3777 637.7722 124.9404
R210 2028/03/31 2.60 0 2.7100 182.5324 181.5009 1.0315 2.9000 2.0000 .28 9.0312 8.9104 -16.2644 1626.4436 90.7798
R213 2031/02/28 7.00 0 9.7450 81.9425 79.8521 2.0904 10.0450 8.7350 .04 8.0417 7.6681 -6.2834 628.3406 83.6388
SPG002 2019/09/09 9.43 JIBAR 230 .0000 100.1815 100.0008 0.1808 100.0000 100.0000 0 .0000 .0000 .0000 .0000 .0000
SZ25 2025/09/30 9.00 R186 95 10.1700 95.7372 93.7893 1.9480 10.4550 9.2550 .03 5.5730 5.3033 -5.0773 507.7280 37.1868
  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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