Markets and Commodity figures

20 February 2017

Total Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Deals Nominal Consideration Deals Nominal Consideration
Current Day 1 020 30.66 bn Rbn 32.65 190 21.53 bn Rbn 21.88
Week to Date 1 020 30.66 bn Rbn 32.65 190 21.53 bn Rbn 21.88
Month to Date 14 728 438.90 bn Rbn 465.58 4 218 471.46 bn Rbn 462.91
Year to Date 36 855 955.77 bn Rbn 1 015.23 10 440 1 062.16 bn Rbn 1 051.61

Foreign Client Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Party Deals Nominal Consideration Deals Nominal Consideration
Buy 76 3.98 bn Rbn 4.29 20 2.87 bn Rbn 2.93
Current Day Sell 70 3.71 bn Rbn 3.88 10 1.68 bn Rbn 1.59
Net 6 0.27 bn Rbn 0.41 10 1.20 bn Rbn 1.34
Buy 76 3.98 bn Rbn 4.29 20 2.87 bn Rbn 2.93
Week to Date Sell 70 3.71 bn Rbn 3.88 10 1.68 bn Rbn 1.59
Net 6 0.27 bn Rbn 0.41 10 1.20 bn Rbn 1.34
Buy 1 240 53.39 bn Rbn 55.07 341 46.23 bn Rbn 46.12
Month to Date Sell 973 48.98 bn Rbn 51.31 97 9.44 bn Rbn 9.09
Net 267 4.41 bn Rbn 3.76 244 36.79 bn Rbn 37.03
Buy 2 884 116.65 bn Rbn 120.39 707 71.64 bn Rbn 71.31
Year to Date Sell 2 422 117.62 bn Rbn 122.05 251 25.96 bn Rbn 25.39
Net 462 -0.97 bn Rbn -1.65 456 45.68 bn Rbn 45.93

Index Levels

Code Index Yield Index Previous Return MTD Return YTD

ALBI20 8.902%
All Bond Index Top 545.328
20 Composite 548.330 0.88% 2.22%
GOVI 8.834%Split - 543.106
ALBI20 Issuer Class GOVI 546.099 0.86% 2.20%
OTHI 9.081%
ALBI20 Issuer Class Split - 556.881
OTHI 559.937 0.91% 2.28%
CILI15 2.109%
Composite Inflation 250.389
Linked Index Top 15 250.451 0.36% 1.92%
ICOR 3.320%
CILI15 Issuer Class 252.882
Split - ICOR 252.830 0.76% 1.71%
IGOV 2.053%
CILI15 Issuer Class 250.150
Split - IGOV 250.220 0.35% 1.95%
ISOE 2.774%
CILI15 Issuer Class 239.881
Split - ISOE 239.835 0.45% 1.60%
MMI JSE Money Market Index
0 217.472 217.338 0.43% 1.10%

ALBI Constituent Bonds

Bond Issuer Maturity MTM Previous YTD Low YTD High

R159 REPUBLIC OF SOUTH
Dec 2018
AFRICA 7.675% 7.580% 7.54% 7.97%
R203 REPUBLIC OF SOUTH
Jan 2020
AFRICA 7.865% 7.785% 7.71% 8.15%
ES18 ESKOM HOLDINGS
MarLIMITED
2021 8.020% 7.940% 7.87% 8.31%
R204 REPUBLIC OF SOUTH
Jan 2023
AFRICA 9.180% 9.105% 9.03% 9.46%
R207 REPUBLIC OF SOUTH
Feb 2023
AFRICA 9.900% 9.825% 9.75% 10.27%
R208 REPUBLIC OF SOUTH
Feb 2023
AFRICA 8.340% 8.265% 8.19% 8.65%
ES23 ESKOM HOLDINGSAprLIMITED
2026 9.750% 9.670% 9.56% 9.93%
DV23 DEVELOPMENT DecBANK
2026
OF SOUTHERN
8.760% AFRICA 8.680% 8.57% 8.96%
R2023 REPUBLIC OF SOUTH
Jan 2030
AFRICA 9.150% 9.070% 8.96% 9.38%
ES26 ESKOM HOLDINGSFebLIMITED
2031 9.190% 9.110% 8.99% 9.40%
R186 REPUBLIC OF SOUTH
Mar 2032
AFRICA 9.295% 9.215% 9.10% 9.53%
R2030 REPUBLIC OF SOUTH
Sep 2033
AFRICA 10.430% 10.350% 10.23% 10.58%
R213 REPUBLIC OF SOUTH
Feb 2035
AFRICA 9.415% 9.335% 9.23% 9.64%
R2032 REPUBLIC OF SOUTH
Mar 2036
AFRICA 9.410% 9.330% 9.21% 9.58%
ES33 ESKOM HOLDINGSJanLIMITED
2037 9.525% 9.445% 9.32% 9.70%
R209 REPUBLIC OF SOUTH
Jan 2040
AFRICA 9.530% 9.450% 9.33% 9.69%
R2037 REPUBLIC OF SOUTH
Feb 2041
AFRICA 9.490% 9.410% 9.29% 9.63%
R214 REPUBLIC OF SOUTH
Apr 2042
AFRICA 10.575% 10.495% 10.37% 10.71%
R2044 REPUBLIC OF SOUTH
Jan 2044
AFRICA 9.570% 9.490% 9.37% 9.70%
R2048 REPUBLIC OF SOUTH
Feb 2048
AFRICA 9.570% 9.490% 9.36% 9.68%

Other Rates

Code Description Rate Previous YTD Low YTD High

SAFEX SAFEX Overnight Deposit Rate6.800% 6.800% 6.77% 6.80%
JIBAR1 JIBAR 1 Month 7.083% 7.083% 7.08% 7.12%
JIBAR3 JIBAR 3 Month 7.325% 7.325% 7.33% 7.37%
JIBAR6 JIBAR 6 Month 7.892% 7.883% 7.88% 7.97%
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 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
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