Markets and Commodity figures

17 September 2017

Total Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Deals Nominal Consideration Deals Nominal Consideration
Current Day 1 144 26.46 bn Rbn 28.11 175 22.42 bn Rbn 20.83
Week to Date 4 724 132.35 bn Rbn 139.60 1 662 192.13 bn Rbn 185.18
Month to Date 14 304 314.35 bn Rbn 326.59 3 574 411.19 bn Rbn 398.30
Year to Date 200 115 5 184.05 bn Rbn 5 456.23 55 207 6 784.71 bn Rbn 6 624.16

Foreign Client Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Party Deals Nominal Consideration Deals Nominal Consideration
Buy 76 3.95 bn Rbn 4.33 17 1.27 bn Rbn 1.13
Current Day Sell 66 2.64 bn Rbn 2.81 7 1.18 bn Rbn 1.22
Net 10 1.31 bn Rbn 1.52 10 0.09 bn Rbn -0.09
Buy 351 21.18 bn Rbn 22.53 110 8.51 bn Rbn 7.95
Week to Date Sell 272 14.00 bn Rbn 14.98 81 18.39 bn Rbn 18.25
Net 79 7.18 bn Rbn 7.55 29 -9.87 bn Rbn -10.31
Buy 900 48.21 bn Rbn 50.46 276 24.66 bn Rbn 23.78
Month to Date Sell 662 34.85 bn Rbn 36.65 184 38.01 bn Rbn 38.12
Net 238 13.36 bn Rbn 13.81 92 -13.35 bn Rbn -14.33
Buy 16 418 711.02 bn Rbn 735.44 4 039 357.45 bn Rbn 340.20
Year to Date Sell 13 396 643.66 bn Rbn 671.75 1 847 356.32 bn Rbn 361.92
Net 3 022 67.36 bn Rbn 63.69 2 192 1.13 bn Rbn -21.72

Index Levels

Code Index Yield Index Previous Return MTD Return YTD

ALBI20 8.885%
All Bond Index Top 576.694
20 Composite 575.758 1.37% 8.10%
GOVI 8.795%Split - 575.453
ALBI20 Issuer Class GOVI 574.551 1.37% 8.29%
OTHI 9.123%
ALBI20 Issuer Class Split - 585.898
OTHI 584.856 1.38% 7.61%
CILI15 2.533%
Composite Inflation 248.710
Linked Index Top 15 248.640 0.50% 1.24%
ICOR 3.552%
CILI15 Issuer Class 264.738
Split - ICOR 264.696 0.60% 6.48%
IGOV 2.489%
CILI15 Issuer Class 247.842
Split - IGOV 247.770 0.50% 1.01%
ISOE 3.098%
CILI15 Issuer Class 246.295
Split - ISOE 246.258 0.39% 4.31%
MMI JSE Money Market Index
0 227.109 227.063 0.30% 5.58%

ALBI Constituent Bonds

Bond Issuer Maturity MTM Previous YTD Low YTD High

R159 REPUBLIC OF SOUTH
Dec 2018
AFRICA 6.830% 6.845% 6.83% 7.97%
R203 REPUBLIC OF SOUTH
Jan 2020
AFRICA 7.070% 7.090% 7.07% 8.15%
ES18 ESKOM HOLDINGS
MarLIMITED
2021 7.270% 7.295% 7.27% 8.31%
R204 REPUBLIC OF SOUTH
Jan 2023
AFRICA 8.740% 8.760% 8.72% 9.46%
R207 REPUBLIC OF SOUTH
Feb 2023
AFRICA 9.160% 9.180% 9.16% 10.27%
R208 REPUBLIC OF SOUTH
Feb 2023
AFRICA 7.710% 7.730% 7.70% 8.65%
ES23 ESKOM HOLDINGSAprLIMITED
2026 9.560% 9.575% 9.30% 10.09%
DV23 DEVELOPMENT DecBANK
2026
OF SOUTHERN
8.395% AFRICA 8.410% 8.31% 9.00%
R2023 REPUBLIC OF SOUTH
Jan 2030
AFRICA 8.990% 9.000% 8.70% 9.47%
ES26 ESKOM HOLDINGSFebLIMITED
2031 9.080% 9.095% 8.74% 9.55%
R186 REPUBLIC OF SOUTH
Mar 2032
AFRICA 9.215% 9.230% 8.84% 9.66%
R2030 REPUBLIC OF SOUTH
Sep 2033
AFRICA 10.620% 10.655% 10.05% 11.01%
R213 REPUBLIC OF SOUTH
Feb 2035
AFRICA 9.450% 9.485% 9.04% 9.83%
R2032 REPUBLIC OF SOUTH
Mar 2036
AFRICA 9.415% 9.450% 9.03% 9.80%
ES33 ESKOM HOLDINGSJanLIMITED
2037 9.575% 9.600% 9.12% 9.91%
R209 REPUBLIC OF SOUTH
Jan 2040
AFRICA 9.710% 9.725% 9.14% 10.00%
R2037 REPUBLIC OF SOUTH
Feb 2041
AFRICA 9.605% 9.625% 9.10% 9.92%
R214 REPUBLIC OF SOUTH
Apr 2042
AFRICA 10.905% 10.925% 10.18% 11.18%
R2044 REPUBLIC OF SOUTH
Jan 2044
AFRICA 9.725% 9.745% 9.17% 10.03%
R2048 REPUBLIC OF SOUTH
Feb 2048
AFRICA 9.700% 9.715% 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 7.033% 7.042% 7.03% 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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