SA Bonds / Gilts: 2017/01/20

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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
E170 2020/08/01 13.50 R207 74 8.7100 114.0032 114.2621 -0.2589 8.8750 8.6400 -.02 2.9639 2.8402 -3.2380 323.7955 10.2729
ES23 2023/01/25 10.00 R2023 83 9.2200 103.5340 103.5340 0.0000 9.4550 9.1500 -.02 4.6796 4.4734 -4.6315 463.1501 25.3709
R186 2026/12/21 10.50 0 8.7300 112.5690 111.5621 1.0069 8.9600 8.6300 -.02 6.5298 6.2567 -7.0431 704.3105 53.1352
R203 2017/09/15 8.25 0 7.7400 103.3032 100.3196 2.9836 7.7700 7.6250 0 .6156 .5927 -.6122 61.2238 .6453
R204 2018/12/21 8.00 0 7.8100 101.0876 100.3204 0.7671 7.9650 7.7700 -.02 1.7916 1.7243 -1.7430 174.3030 3.9136
R208 2021/03/31 6.75 0 8.1050 97.4313 95.2676 2.1637 8.3050 8.0150 -.02 3.6166 3.4757 -3.3864 338.6428 14.9689
R213 2031/02/28 7.00 0 9.1800 85.7856 82.9664 2.8192 9.4000 9.0650 -.02 8.3716 8.0042 -6.8665 686.6481 92.4533
  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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