SA Bonds / Gilts: 2010/03/09

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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
DV07 2010/09/30 14.50 R154 54 7.6300 102.8846 103.6791 -0.7945 8.0250 7.5300 -.02 .5549 .5346 -.5500 54.9972 .5432
E170 2020/08/01 13.50 R203 58.5 9.3250 128.8039 127.3984 1.4055 9.9500 9.2750 -.04 6.3250 6.0432 -7.7839 778.3882 51.5103
IN03 2011/06/30 14.00 R154 275 9.8400 107.6540 104.9691 2.6849 10.1850 9.7400 -.01 1.2134 1.1565 -1.2450 124.5025 1.9518
LB01 2010/06/30 11.50 R157 -72 7.4800 103.3980 101.1925 2.2055 8.1500 7.4100 -.05 .3085 .2973 -.3074 30.7449 .1768
R157 2015/09/15 13.50 8.2000 122.9813 123.1293 -0.1480 8.6300 8.1300 -.02 4.2208 4.0546 -4.9864 498.6361 21.1573
R179 2013/08/01 10.00 R201 17.5 8.3950 105.6901 104.6490 1.0411 8.8850 8.3300 -.03 2.9452 2.8265 -2.9874 298.7375 10.0756
R186 2026/12/21 10.50 9.0400 114.7665 112.4651 2.3014 9.3450 8.8900 0 8.5146 8.1464 -9.3493 934.9349 101.5056
R189 2013/03/31 6.25 2.1100 209.5393 204.4835 5.0559 2.1950 2.0700 -.02 2.7748 2.7458 -5.7535 575.3542 9.4188
R201 2014/12/21 8.75 8.2200 103.9621 102.0443 1.9178 8.7100 8.1550 -.03 3.9455 3.7898 -3.9399 393.9918 18.0521
R203 2017/09/15 8.25 8.7400 97.2532 97.3436 -0.0904 9.3000 8.6900 -.03 5.7219 5.4823 -5.3317 533.1688 38.0701
R204 2018/12/21 8.00 8.7750 97.0603 95.3069 1.7534 9.3100 8.7150 -.03 6.2954 6.0308 -5.8535 585.3499 47.6781
R206 2014/01/15 7.50 8.2500 98.6930 97.5629 1.1301 8.7500 8.1800 -.03 3.3699 3.2364 -3.1941 319.4086 12.9462
R217C 2010/03/15 0.00 R154 31 7.4000 99.9190 99.9190 0.0000 7.7950 7.3000 -.02 .0114 .0110 -.0109 1.0941 .0002
R219C 2011/03/15 0.00 R154 -40 6.6900 93.5632 93.5632 0.0000 7.0850 6.5900 -.02 1.0110 .9783 -.9154 91.5352 1.4304
R221C 2012/03/15 0.00 R154 -54 6.5500 87.8436 87.8436 0.0000 6.9450 6.4500 -.02 2.0110 1.9473 -1.7106 171.0557 4.7346
R223C 2013/03/15 0.00 R201 -13.5 8.0850 78.7689 78.7689 0.0000 8.5750 8.0200 -.03 3.0110 2.8941 -2.2796 227.9618 9.7664
R225C 2014/03/15 0.00 R201 3.5 8.2550 72.2917 72.2917 0.0000 8.7450 8.1900 -.03 4.0110 3.8521 -2.7847 278.4716 16.6880
R227C 2015/03/15 0.00 R157 6 8.2600 66.6581 66.6581 0.0000 8.6900 8.1900 -.02 5.0110 4.8123 -3.2078 320.7789 25.4690
R229C 2016/03/15 0.00 R157 -18 8.0200 62.3335 62.3335 0.0000 8.4500 7.9500 -.02 6.0110 5.7793 -3.6024 360.2440 36.1785
SZ16 2010/09/30 11.50 R154 55 7.6400 101.4402 102.0704 -0.6301 8.0350 7.5400 -.02 .5549 .5345 -.5422 54.2225 .5431
SZ18 2015/09/30 12.50 R157 57 8.7700 115.4584 116.1434 -0.6849 9.2100 8.7000 -.02 4.3003 4.1196 -4.7564 475.6437 21.6736
T011 2010/04/01 16.50 7.4500 99.5732 100.5225 -0.9493 7.5500 7.4500 -.01 .0594 .0573 -.0570 5.7044 .0066
UG65 2010/06/01 13.00 R154 120 8.2900 104.5528 100.9912 3.5616 8.6850 8.1900 -.02 .2297 .2205 -.2306 23.0591 .0973
  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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