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    Bonds - March 24 2017

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    Tiso Blackstar Group
    This document provides market and commodity figures for March 26, 2017, including total market turnover statistics, foreign client market turnover statistics, index levels, constituent bonds of the ALBI20 index, and other interest rates. Total market turnover for the current day was R49.13 billion with 1,409 deals, while year-to-date turnover was R1,524.19 billion with 58,264 deals. The ALBI20 index closed at 565.920, up 3.95% month-to-date. Constituent bond yields ranged from 7.320% for R159 to 10.250% for R214. Other interest rates included the SAFEX overnight rate at 6.810% and JIB

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    Bonds - March 24 2017

    Uploaded by

    Tiso Blackstar Group
    26 views6 pages
    This document provides market and commodity figures for March 26, 2017, including total market turnover statistics, foreign client market turnover statistics, index levels, constituent bonds of the ALBI20 index, and other interest rates. Total market turnover for the current day was R49.13 billion with 1,409 deals, while year-to-date turnover was R1,524.19 billion with 58,264 deals. The ALBI20 index closed at 565.920, up 3.95% month-to-date. Constituent bond yields ranged from 7.320% for R159 to 10.250% for R214. Other interest rates included the SAFEX overnight rate at 6.810% and JIB

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    Bonds - March 24 2017

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    This document provides market and commodity figures for March 26, 2017, including total market turnover statistics, foreign client market turnover statistics, index levels, constituent bonds of the ALBI20 index, and other interest rates. Total market turnover for the current day was R49.13 billion with 1,409 deals, while year-to-date turnover was R1,524.19 billion with 58,264 deals. The ALBI20 index closed at 565.920, up 3.95% month-to-date. Constituent bond yields ranged from 7.320% for R159 to 10.250% for R214. Other interest rates included the SAFEX overnight rate at 6.810% and JIB

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    26 views6 pages

    Bonds - March 24 2017

    Uploaded by

    Tiso Blackstar Group
    This document provides market and commodity figures for March 26, 2017, including total market turnover statistics, foreign client market turnover statistics, index levels, constituent bonds of the ALBI20 index, and other interest rates. Total market turnover for the current day was R49.13 billion with 1,409 deals, while year-to-date turnover was R1,524.19 billion with 58,264 deals. The ALBI20 index closed at 565.920, up 3.95% month-to-date. Constituent bond yields ranged from 7.320% for R159 to 10.250% for R214. Other interest rates included the SAFEX overnight rate at 6.810% and JIB

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 6

    Markets and Commodity figures

    26 March 2017

    Total Market Turnover Statistics

    Standard Turnover REPO 1 Turnover


    Deals Nominal Consideration Deals Nominal Consideration
    Current Day 1 409 49.13 bn Rbn 54.16 165 25.29 bn Rbn 25.75
    Week to Date 2 186 67.93 bn Rbn 75.30 885 85.66 bn Rbn 88.14
    Month to Date 14 813 374.84 bn Rbn 404.83 4 913 604.61 bn Rbn 593.55
    Year to Date 58 264 1 524.19 bn Rbn 1 623.58 18 014 1 964.15 bn Rbn 1 934.86

    Foreign Client Market Turnover Statistics

    Standard Turnover REPO 1 Turnover


    Party Deals Nominal Consideration Deals Nominal Consideration
    Buy 170 9.30 bn Rbn 9.81 18 1.16 bn Rbn 1.22
    Current Day Sell 94 5.44 bn Rbn 5.82 7 1.23 bn Rbn 1.21
    Net 76 3.86 bn Rbn 3.99 11 -0.07 bn Rbn 0.01
    Buy 222 11.35 bn Rbn 12.03 56 5.31 bn Rbn 5.63
    Week to Date Sell 130 8.53 bn Rbn 9.14 32 3.86 bn Rbn 3.91
    Net 92 2.82 bn Rbn 2.89 24 1.45 bn Rbn 1.72
    Buy 1 233 51.53 bn Rbn 53.85 344 31.81 bn Rbn 32.43
    Month to Date Sell 891 45.64 bn Rbn 48.62 113 12.22 bn Rbn 12.06
    Net 342 5.89 bn Rbn 5.23 231 19.58 bn Rbn 20.38
    Buy 4 680 195.22 bn Rbn 202.38 1 195 116.10 bn Rbn 116.38
    Year to Date Sell 3 786 189.01 bn Rbn 197.70 409 43.90 bn Rbn 43.04
    Net 894 6.21 bn Rbn 4.68 786 72.20 bn Rbn 73.34

    Index Levels

    Code Index Yield Index Previous Return MTD Return YTD


    ALBI20 8.644%
    All Bond Index Top 565.920
    20 Composite 562.523 3.95% 6.08%
    GOVI 8.576%Split - 563.774
    ALBI20 Issuer Class GOVI 560.337 3.97% 6.09%
    OTHI 8.822%
    ALBI20 Issuer Class Split - 577.476
    OTHI 574.154 3.89% 6.06%
    CILI15 2.156%
    Composite Inflation 250.143
    Linked Index Top 15 250.046 0.18% 1.82%
    ICOR 3.380%
    CILI15 Issuer Class 253.670
    Split - ICOR 253.614 0.37% 2.03%
    IGOV 2.101%
    CILI15 Issuer Class 249.827
    Split - IGOV 249.730 0.17% 1.82%
    ISOE 2.795%
    CILI15 Issuer Class 240.804
    Split - ISOE 240.717 0.39% 1.99%
    MMI JSE Money Market Index
    0 218.841 218.749 0.47% 1.74%

    ALBI Constituent Bonds

    Bond Issuer Maturity MTM Previous YTD Low YTD High


    R159 REPUBLIC OF SOUTH
    Dec 2018
    AFRICA 7.320% 7.370% 7.32% 7.97%
    R203 REPUBLIC OF SOUTH
    Jan 2020
    AFRICA 7.395% 7.490% 7.40% 8.15%
    ES18 ESKOM HOLDINGS
    MarLIMITED
    2021 7.535% 7.630% 7.54% 8.31%
    R204 REPUBLIC OF SOUTH
    Jan 2023
    AFRICA 8.740% 8.840% 8.74% 9.46%
    R207 REPUBLIC OF SOUTH
    Feb 2023
    AFRICA 9.460% 9.560% 9.46% 10.27%
    R208 REPUBLIC OF SOUTH
    Feb 2023
    AFRICA 7.900% 8.000% 7.90% 8.65%
    ES23 ESKOM HOLDINGSAprLIMITED
    2026 9.330% 9.430% 9.33% 9.93%
    DV23 DEVELOPMENT DecBANK
    2026
    OF SOUTHERN
    8.340% AFRICA 8.440% 8.34% 8.96%
    R2023 REPUBLIC OF SOUTH
    Jan 2030
    AFRICA 8.725% 8.820% 8.73% 9.38%
    ES26 ESKOM HOLDINGSFebLIMITED
    2031 8.770% 8.860% 8.77% 9.40%
    R186 REPUBLIC OF SOUTH
    Mar 2032
    AFRICA 8.865% 8.960% 8.87% 9.53%
    R2030 REPUBLIC OF SOUTH
    Sep 2033
    AFRICA 10.055% 10.120% 10.06% 10.58%
    R213 REPUBLIC OF SOUTH
    Feb 2035
    AFRICA 9.045% 9.115% 9.05% 9.64%
    R2032 REPUBLIC OF SOUTH
    Mar 2036
    AFRICA 9.035% 9.100% 9.04% 9.58%
    ES33 ESKOM HOLDINGSJanLIMITED
    2037 9.125% 9.195% 9.13% 9.70%
    R209 REPUBLIC OF SOUTH
    Jan 2040
    AFRICA 9.140% 9.205% 9.14% 9.69%
    R2037 REPUBLIC OF SOUTH
    Feb 2041
    AFRICA 9.100% 9.165% 9.10% 9.63%
    R214 REPUBLIC OF SOUTH
    Apr 2042
    AFRICA 10.185% 10.250% 10.19% 10.71%
    R2044 REPUBLIC OF SOUTH
    Jan 2044
    AFRICA 9.175% 9.240% 9.18% 9.70%
    R2048 REPUBLIC OF SOUTH
    Feb 2048
    AFRICA 9.160% 9.220% 9.16% 9.68%

    Other Rates

    Code Description Rate Previous YTD Low YTD High


    SAFEX SAFEX Overnight Deposit Rate6.810% 6.800% 6.77% 6.81%
    JIBAR1 JIBAR 1 Month 7.083% 7.083% 7.08% 7.12%
    JIBAR3 JIBAR 3 Month 7.333% 7.333% 7.33% 7.37%
    JIBAR6 JIBAR 6 Month 7.900% 7.900% 7.88% 7.97%
    RSA 2 year retail bond 8.00% 0 0 0
    RSA 3 year retail bond 8.25% 0 0 0
    RSA 5 year retail bond 8.75% 0 0 0
    RSA 3 year inflation linked retail
    1.75%
    bond 0 0 0
    RSA 5 year inflation linked retail
    2.00%
    bond 0 0 0
    RSA 10 year inflation linked retail
    2.25%
    bond 0 0 0
    Nominal Bond Curves (NACS)
    9.60
    9.10
    8.60
    8.10
    7.60
    7.10 Zero
    6.60 Par/Swap
    6.10
    5.60
    5.10
    DATA DISCLAIMER

    4.60
    To the extent allowed by law, JSE Limited (the JSE) does not (expressly, tacitly or implicitly) guarantee or warrant the availability,
    sequence,2015
    accuracy, completeness, reliability or any other aspect
    2020 2026 of any of the data 2031
    (Data), or that any Data is up to date.
    2037 2042 2048 2053 2059
    To the extent allowed by law, neither the JSE nor any of its directors, officers, employees, contractors, agents or representatives are
    liable in any way to the reader or to any other natural or juristic person (Person) for any loss or damage as a result of (i) the display
    of any Data in this bulltetin, or (ii) any Data being unavailable in this bulletin at any time and for any reason, or (iii) any delay,
    inaccuracy, error, or omission in relation to any Data, or (iv) any actions taken or not taken by or on behalf of any Person in reliance
    on any Data. The JSE is entitled to terminate the production of any Data at any time, without notice and without liability to any Person.
    Zero
    Par/Swap

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