SA Bonds / Gilts: 2017/05/26

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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 88 8.2900 118.6789 114.2776 4.4014 8.8750 8.1250 -.06 2.6199 2.5156 -2.9855 298.5487 8.3797
ES23 2023/01/25 10.00 R2023 98 8.8850 108.3291 104.8771 3.4521 9.4550 8.7150 -.06 4.3428 4.1581 -4.5044 450.4443 22.4917
R186 2026/12/21 10.50 0 8.4900 117.6136 112.9821 4.6315 9.0250 8.3050 -.05 6.2112 5.9582 -7.0077 700.7681 49.3371
R203 2017/09/15 8.25 0 7.4350 101.9039 100.1635 1.7404 7.8500 7.2450 -.04 .2976 .2869 -.2924 29.2360 .1646
R204 2018/12/21 8.00 0 7.3350 104.4934 100.9646 3.5288 7.9650 7.2700 -.08 1.4460 1.3948 -1.4575 145.7522 2.7290
R208 2021/03/31 6.75 0 7.5300 98.5553 97.4272 1.1281 8.3050 7.4400 -.09 3.3980 3.2747 -3.2274 322.7419 13.1585
R213 2031/02/28 7.00 0 9.0150 86.0280 84.2637 1.7644 9.4750 8.7350 -.04 8.4161 8.0531 -6.9279 692.7944 91.5423
  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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