SA Bonds / Gilts: 2013/05/17
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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 36 6.2400 145.6553 141.5868 4.0685 6.8050 6.0500 -.04 5.0807 4.9270 -7.1764 717.6374 32.4130
R157 2015/09/15 13.50 5.0350 120.7581 118.2430 2.5151 5.5500 4.9500 -.05 2.0468 1.9965 -2.4109 241.0925 5.2774
R179 2013/08/01 10.00 R201 -30 4.6100 104.0668 101.0531 3.0137 5.0450 4.5600 -.03 .1972 .1928 -.2006 20.0632 .0743
R186 2026/12/21 10.50 6.8200 136.6307 132.2581 4.3726 7.4950 6.5750 -.06 8.0584 7.7927 -10.6472 1064.7230 86.7024
R201 2014/12/21 8.75 4.9100 109.4250 105.7812 3.6438 5.3450 4.8600 -.03 1.4648 1.4297 -1.5645 156.4501 2.8602
R203 2017/09/15 8.25 5.4750 112.0495 110.5125 1.5370 5.9900 5.3500 -.05 3.7027 3.6040 -4.0383 403.8283 16.0617
R204 2018/12/21 8.00 5.6600 114.4008 111.0693 3.3315 6.2400 5.5300 -.06 4.5330 4.4082 -5.0431 504.3059 24.4368
R206 2014/01/15 7.50 5.0550 104.1638 101.5542 2.6096 5.3550 5.0050 0 .6313 .6157 -.6414 64.1380 .6876
R225C 2014/03/15 0.00 R201 -14 4.7700 96.2300 96.2300 0.0000 5.2050 4.7200 -.03 .8152 .7962 -.7662 76.6209 1.0228
R227C 2015/03/15 0.00 R157 6 5.0950 91.2719 91.2719 0.0000 5.6100 5.0100 -.05 1.8152 1.7701 -1.6156 161.5626 3.9964
R229C 2016/03/15 0.00 R157 -18 4.8550 87.3676 87.3676 0.0000 5.3700 4.7700 -.06 2.8152 2.7485 -2.4013 240.1295 8.8959
SZ18 2015/09/30 12.50 R157 56 5.5950 116.8155 115.0347 1.7808 6.1000 5.5100 -.05 2.1027 2.0455 -2.3894 238.9414 5.4828
  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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