Markets and Commodity figures

13 September 2017

Total Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Deals Nominal Consideration Deals Nominal Consideration
Current Day 791 24.96 bn Rbn 26.10 198 22.30 bn Rbn 20.58
Week to Date 2 523 76.47 bn Rbn 80.58 1 307 146.83 bn Rbn 143.02
Month to Date 12 103 258.47 bn Rbn 267.57 3 219 365.88 bn Rbn 356.14
Year to Date 197 914 5 128.17 bn Rbn 5 397.21 54 852 6 739.41 bn Rbn 6 582.00

Foreign Client Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Party Deals Nominal Consideration Deals Nominal Consideration
Buy 70 3.73 bn Rbn 4.13 24 1.84 bn Rbn 1.67
Current Day Sell 47 2.42 bn Rbn 2.56 10 3.86 bn Rbn 3.40
Net 23 1.31 bn Rbn 1.57 14 -2.02 bn Rbn -1.73
Buy 203 13.76 bn Rbn 14.49 77 6.41 bn Rbn 6.08
Week to Date Sell 136 7.38 bn Rbn 7.88 64 15.72 bn Rbn 15.41
Net 67 6.38 bn Rbn 6.61 13 -9.31 bn Rbn -9.33
Buy 752 40.79 bn Rbn 42.42 243 22.55 bn Rbn 21.92
Month to Date Sell 526 28.23 bn Rbn 29.55 167 35.34 bn Rbn 35.28
Net 226 12.56 bn Rbn 12.87 76 -12.79 bn Rbn -13.36
Buy 16 270 703.60 bn Rbn 727.40 4 006 355.35 bn Rbn 338.33
Year to Date Sell 13 260 637.04 bn Rbn 664.65 1 830 353.65 bn Rbn 359.08
Net 3 010 66.56 bn Rbn 62.75 2 176 1.69 bn Rbn -20.75

Index Levels

Code Index Yield Index Previous Return MTD Return YTD

ALBI20 8.908%
All Bond Index Top 574.945
20 Composite 573.976 1.06% 7.78%
GOVI 8.817%Split - 573.745
ALBI20 Issuer Class GOVI 572.790 1.07% 7.97%
OTHI 9.148%
ALBI20 Issuer Class Split - 584.019
OTHI 583.001 1.06% 7.26%
CILI15 2.534%
Composite Inflation 248.606
Linked Index Top 15 248.474 0.46% 1.20%
ICOR 3.553%
CILI15 Issuer Class 264.653
Split - ICOR 264.557 0.57% 6.44%
IGOV 2.490%
CILI15 Issuer Class 247.737
Split - IGOV 247.602 0.46% 0.97%
ISOE 3.098%
CILI15 Issuer Class 246.222
Split - ISOE 246.145 0.36% 4.28%
MMI JSE Money Market Index
0 227.019 226.974 0.26% 5.54%

ALBI Constituent Bonds

Bond Issuer Maturity MTM Previous YTD Low YTD High

R159 REPUBLIC OF SOUTH
Dec 2018
AFRICA 6.855% 6.865% 6.83% 7.97%
R203 REPUBLIC OF SOUTH
Jan 2020
AFRICA 7.120% 7.125% 7.07% 8.15%
ES18 ESKOM HOLDINGS
MarLIMITED
2021 7.315% 7.330% 7.27% 8.31%
R204 REPUBLIC OF SOUTH
Jan 2023
AFRICA 8.780% 8.795% 8.72% 9.46%
R207 REPUBLIC OF SOUTH
Feb 2023
AFRICA 9.200% 9.215% 9.20% 10.27%
R208 REPUBLIC OF SOUTH
Feb 2023
AFRICA 7.750% 7.765% 7.70% 8.65%
ES23 ESKOM HOLDINGSAprLIMITED
2026 9.595% 9.610% 9.30% 10.09%
DV23 DEVELOPMENT DecBANK
2026
OF SOUTHERN
8.430% AFRICA 8.445% 8.31% 9.00%
R2023 REPUBLIC OF SOUTH
Jan 2030
AFRICA 9.020% 9.035% 8.70% 9.47%
ES26 ESKOM HOLDINGSFebLIMITED
2031 9.115% 9.135% 8.74% 9.55%
R186 REPUBLIC OF SOUTH
Mar 2032
AFRICA 9.250% 9.270% 8.84% 9.66%
R2030 REPUBLIC OF SOUTH
Sep 2033
AFRICA 10.670% 10.700% 10.05% 11.01%
R213 REPUBLIC OF SOUTH
Feb 2035
AFRICA 9.500% 9.525% 9.04% 9.83%
R2032 REPUBLIC OF SOUTH
Mar 2036
AFRICA 9.465% 9.495% 9.03% 9.80%
ES33 ESKOM HOLDINGSJanLIMITED
2037 9.605% 9.635% 9.12% 9.91%
R209 REPUBLIC OF SOUTH
Jan 2040
AFRICA 9.740% 9.760% 9.14% 10.00%
R2037 REPUBLIC OF SOUTH
Feb 2041
AFRICA 9.640% 9.660% 9.10% 9.92%
R214 REPUBLIC OF SOUTH
Apr 2042
AFRICA 10.940% 10.960% 10.18% 11.18%
R2044 REPUBLIC OF SOUTH
Jan 2044
AFRICA 9.760% 9.780% 9.17% 10.03%
R2048 REPUBLIC OF SOUTH
Feb 2048
AFRICA 9.730% 9.750% 9.16% 9.99%

Other Rates

Code Description Rate Previous YTD Low YTD High

SAFEX SAFEX Overnight Deposit Rate6.560% 6.560% 6.50% 6.83%
JIBAR1 JIBAR 1 Month 6.817% 6.817% 6.82% 7.12%
JIBAR3 JIBAR 3 Month 7.042% 7.042% 7.04% 7.38%
JIBAR6 JIBAR 6 Month 7.333% 7.333% 7.33% 8.00%
RSA 2 year retail bond 7.50% 0 0 0
RSA 3 year retail bond 7.75% 0 0 0
RSA 5 year retail bond 8.25% 0 0 0
RSA 3 year inflation linked retail
3.00%
bond 0 0 0
RSA 5 year inflation linked retail
2.50%
bond 0 0 0
RSA 10 year inflation linked retail
2.50%
bond 0 0 0
 Nominal Bond Curves (NACS)
9.62
9.12
8.62
8.12
7.62
7.12 Zero
6.62 Par/Swap
6.12
5.62
5.12
4.62
2015 2020 2026 2031 2037 2042 2048 2053 2059
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