SA Bonds / Gilts: 2017/02/24

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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 75 8.4900 115.6413 114.6057 1.0356 8.8750 8.4100 -.04 2.8695 2.7526 -3.1832 318.3193 9.7417
ES23 2023/01/25 10.00 R2023 84 9.0800 105.0833 104.1244 0.9589 9.4550 9.0200 -.04 4.5877 4.3884 -4.6115 461.1506 24.5744
R186 2026/12/21 10.50 0 8.7000 113.7078 111.6941 2.0137 8.9600 8.5650 -.02 6.4371 6.1688 -7.0144 701.4356 51.9992
R203 2017/09/15 8.25 0 7.3950 104.2441 100.4694 3.7747 7.8500 7.3850 -.04 .5189 .5004 -.5217 52.1680 .5006
R204 2018/12/21 8.00 0 7.5550 102.2599 100.7257 1.5343 7.9650 7.5250 -.05 1.6957 1.6340 -1.6710 167.0952 3.5680
R208 2021/03/31 6.75 0 7.9000 98.8623 96.0514 2.8110 8.3050 7.8600 -.05 3.5230 3.3891 -3.3506 335.0576 14.3317
R213 2031/02/28 7.00 0 9.1600 83.1692 83.1500 0.0192 9.4000 8.9750 -.02 8.6288 8.2509 -6.8622 686.2194 94.8635
  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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