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Markets and Commodity figures

12 December 2017

Total Market Turnover Statistics

Standard Turnover REPO 1 Turnover


Deals Nominal Consideration Deals Nominal Consideration
Current Day 782 19.65 bn Rbn 18.61 707 76.31 bn Rbn 72.52
Week to Date 1 866 42.78 bn Rbn 41.91 848 107.71 bn Rbn 102.95
Month to Date 8 772 218.45 bn Rbn 224.20 2 186 310.86 bn Rbn 300.43
Year to Date 282 958 7 602.66 bn Rbn 7 923.39 75 526 9 354.36 bn Rbn 9 100.06

Foreign Client Market Turnover Statistics

Standard Turnover REPO 1 Turnover


Party Deals Nominal Consideration Deals Nominal Consideration
Buy 42 1.35 bn Rbn 1.32 35 2.57 bn Rbn 2.27
Current Day Sell 41 1.80 bn Rbn 1.77 23 8.21 bn Rbn 8.55
Net 1 -0.45 bn Rbn -0.45 12 -5.64 bn Rbn -6.28
Buy 108 3.91 bn Rbn 3.93 47 2.97 bn Rbn 2.65
Week to Date Sell 98 5.96 bn Rbn 5.93 30 13.30 bn Rbn 13.96
Net 10 -2.05 bn Rbn -2.00 17 -10.33 bn Rbn -11.31
Buy 802 31.64 bn Rbn 31.35 189 14.69 bn Rbn 13.28
Month to Date Sell 721 36.19 bn Rbn 36.08 105 56.09 bn Rbn 60.89
Net 81 -4.55 bn Rbn -4.72 84 -41.40 bn Rbn -47.61
Buy 23 243 1 027.39 bn Rbn 1 055.19 5 702 505.52 bn Rbn 474.06
Year to Date Sell 19 111 978.65 bn Rbn 1 010.28 2 861 707.54 bn Rbn 739.28
Net 4 132 48.74 bn Rbn 44.91 2 841 -202.02 bn Rbn -265.22

Index Levels

Code Index Yield Index Previous Return MTD Return YTD


ALBI20 9.360%
All Bond Index Top 563.280
20 Composite 564.810 1.22% 5.59%
GOVI 9.360%Split - 561.444
ALBI20 Issuer Class GOVI 563.005 1.21% 5.65%
OTHI 9.361%
ALBI20 Issuer Class Split - 574.011
OTHI 575.453 1.25% 5.43%
CILI15 2.789%
Composite Inflation 244.385
Linked Index Top 15 244.072 1.48% -0.52%
ICOR 3.692%
CILI15 Issuer Class 266.311
Split - ICOR 265.924 0.87% 7.11%
IGOV 2.748%
CILI15 Issuer Class 243.251
Split - IGOV 242.939 1.51% -0.86%
ISOE 3.320%
CILI15 Issuer Class 246.240
Split - ISOE 245.947 0.95% 4.29%
MMI JSE Money Market Index
0 230.929 230.884 0.24% 7.36%

ALBI Constituent Bonds

Bond Issuer Maturity MTM Previous YTD Low YTD High


R159 REPUBLIC OF SOUTH
Jan 2020
AFRICA 8.105% 8.065% 7.03% 8.19%
R203 REPUBLIC OF SOUTH
Feb 2020
AFRICA 9.195% 9.155% 8.33% 9.75%
ES18 ESKOM HOLDINGS
MarLIMITED
2021 8.345% 8.315% 7.25% 8.43%
R204 REPUBLIC OF SOUTH
Jan 2023
AFRICA 9.685% 9.650% 8.71% 9.83%
R207 REPUBLIC OF SOUTH
Feb 2023
AFRICA 9.895% 9.860% 9.13% 10.27%
R208 REPUBLIC OF SOUTH
Feb 2023
AFRICA 8.645% 8.610% 7.68% 8.79%
ES23 ESKOM HOLDINGSAprLIMITED
2026 10.450% 10.405% 9.30% 10.65%
DV23 DEVELOPMENT DecBANK
2026
OF SOUTHERN
9.260% AFRICA 9.215% 8.31% 9.47%
R2023 REPUBLIC OF SOUTH
Jan 2030
AFRICA 9.720% 9.675% 8.70% 9.95%
ES26 ESKOM HOLDINGSFebLIMITED
2031 9.785% 9.740% 8.74% 10.02%
R186 REPUBLIC OF SOUTH
Mar 2032
AFRICA 9.895% 9.850% 8.84% 10.14%
R2030 REPUBLIC OF SOUTH
Sep 2033
AFRICA 11.190% 11.145% 10.05% 11.49%
R213 REPUBLIC OF SOUTH
Feb 2035
AFRICA 10.015% 9.970% 9.04% 10.33%
R2032 REPUBLIC OF SOUTH
Mar 2036
AFRICA 9.950% 9.905% 9.03% 10.25%
ES33 ESKOM HOLDINGSJanLIMITED
2037 10.105% 10.060% 9.12% 10.41%
R209 REPUBLIC OF SOUTH
Jan 2040
AFRICA 10.190% 10.150% 9.14% 10.51%
R2037 REPUBLIC OF SOUTH
Feb 2041
AFRICA 10.125% 10.085% 9.10% 10.43%
R214 REPUBLIC OF SOUTH
Apr 2042
AFRICA 11.435% 11.395% 10.18% 11.74%
R2044 REPUBLIC OF SOUTH
Jan 2044
AFRICA 10.240% 10.200% 9.17% 10.55%
R2048 REPUBLIC OF SOUTH
Feb 2048
AFRICA 10.190% 10.150% 9.16% 10.50%

Other Rates

Code Description Rate Previous YTD Low YTD High


SAFEX SAFEX Overnight Deposit Rate6.550% 6.550% 6.50% 6.83%
JIBAR1 JIBAR 1 Month 6.875% 6.875% 6.79% 7.12%
JIBAR3 JIBAR 3 Month 7.125% 7.125% 6.98% 7.38%
JIBAR6 JIBAR 6 Month 7.733% 7.733% 7.32% 8.00%
RSA 2 year retail bond 8.25% 0 0 0
RSA 3 year retail bond 8.50% 0 0 0
RSA 5 year retail bond 9.00% 0 0 0
RSA 3 year inflation linked retail
3.00%
bond 0 0 0
RSA 5 year inflation linked retail
3.25%
bond 0 0 0
RSA 10 year inflation linked retail
3.50%
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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