Markets and Commodity figures

19 December 2017

Total Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Deals Nominal Consideration Deals Nominal Consideration
Current Day 1 183 43.41 bn Rbn 43.36 306 55.23 bn Rbn 53.49
Week to Date 2 063 59.12 bn Rbn 59.69 436 85.36 bn Rbn 82.52
Month to Date 13 738 404.82 bn Rbn 409.52 2 927 457.63 bn Rbn 443.88
Year to Date 287 924 7 789.03 bn Rbn 8 108.71 76 267 9 501.13 bn Rbn 9 243.50

Foreign Client Market Turnover Statistics

Standard Turnover REPO 1 Turnover

Party Deals Nominal Consideration Deals Nominal Consideration
Buy 150 8.60 bn Rbn 8.73 26 2.10 bn Rbn 2.02
Current Day Sell 115 5.82 bn Rbn 5.88 12 5.67 bn Rbn 6.01
Net 35 2.78 bn Rbn 2.85 14 -3.57 bn Rbn -3.99
Buy 232 11.94 bn Rbn 12.20 47 3.81 bn Rbn 3.68
Week to Date Sell 182 8.64 bn Rbn 8.85 20 11.15 bn Rbn 11.98
Net 50 3.31 bn Rbn 3.35 27 -7.33 bn Rbn -8.30
Buy 1 286 61.91 bn Rbn 61.62 304 24.10 bn Rbn 22.30
Month to Date Sell 1 187 64.52 bn Rbn 64.51 155 82.12 bn Rbn 88.60
Net 99 -2.61 bn Rbn -2.88 149 -58.02 bn Rbn -66.30
Buy 23 727 1 057.66 bn Rbn 1 085.46 5 817 514.93 bn Rbn 483.08
Year to Date Sell 19 577 1 006.99 bn Rbn 1 038.71 2 911 733.56 bn Rbn 766.99
Net 4 150 50.67 bn Rbn 46.75 2 906 -218.63 bn Rbn -283.91

Index Levels

Code Index Yield Index Previous Return MTD Return YTD

ALBI20 8.993%
All Bond Index Top 586.622
20 Composite 576.780 5.41% 9.96%
GOVI 8.988%Split - 585.010
ALBI20 Issuer Class GOVI 574.996 5.46% 10.09%
OTHI 9.010%
ALBI20 Issuer Class Split - 596.823
OTHI 587.455 5.27% 9.61%
CILI15 2.717%
Composite Inflation 247.199
Linked Index Top 15 246.940 2.65% 0.63%
ICOR 3.660%
CILI15 Issuer Class 267.316
Split - ICOR 267.248 1.25% 7.51%
IGOV 2.674%
CILI15 Issuer Class 246.155
Split - IGOV 245.886 2.73% 0.32%
ISOE 3.286%
CILI15 Issuer Class 247.240
Split - ISOE 247.180 1.36% 4.71%
MMI JSE Money Market Index
0 231.279 231.226 0.39% 7.52%

ALBI Constituent Bonds

Bond Issuer Maturity MTM Previous YTD Low YTD High

R159 REPUBLIC OF SOUTH
Jan 2020
AFRICA 7.500% 7.765% 7.03% 8.19%
R203 REPUBLIC OF SOUTH
Feb 2020
AFRICA 8.590% 8.855% 8.33% 9.75%
ES18 ESKOM HOLDINGS
MarLIMITED
2021 7.755% 8.020% 7.25% 8.43%
R204 REPUBLIC OF SOUTH
Jan 2023
AFRICA 9.110% 9.375% 8.71% 9.83%
R207 REPUBLIC OF SOUTH
Feb 2023
AFRICA 9.320% 9.585% 9.13% 10.27%
R208 REPUBLIC OF SOUTH
Feb 2023
AFRICA 8.070% 8.335% 7.68% 8.79%
ES23 ESKOM HOLDINGSAprLIMITED
2026 9.875% 10.140% 9.30% 10.65%
DV23 DEVELOPMENT DecBANK
2026
OF SOUTHERN
8.685% AFRICA 8.950% 8.31% 9.47%
R2023 REPUBLIC OF SOUTH
Jan 2030
AFRICA 9.170% 9.420% 8.70% 9.95%
ES26 ESKOM HOLDINGSFebLIMITED
2031 9.225% 9.475% 8.74% 10.02%
R186 REPUBLIC OF SOUTH
Mar 2032
AFRICA 9.340% 9.585% 8.84% 10.14%
R2030 REPUBLIC OF SOUTH
Sep 2033
AFRICA 10.655% 10.880% 10.05% 11.49%
R213 REPUBLIC OF SOUTH
Feb 2035
AFRICA 9.480% 9.705% 9.04% 10.33%
R2032 REPUBLIC OF SOUTH
Mar 2036
AFRICA 9.415% 9.640% 9.03% 10.25%
ES33 ESKOM HOLDINGSJanLIMITED
2037 9.565% 9.790% 9.12% 10.41%
R209 REPUBLIC OF SOUTH
Jan 2040
AFRICA 9.655% 9.865% 9.14% 10.51%
R2037 REPUBLIC OF SOUTH
Feb 2041
AFRICA 9.600% 9.810% 9.10% 10.43%
R214 REPUBLIC OF SOUTH
Apr 2042
AFRICA 10.910% 11.120% 10.18% 11.74%
R2044 REPUBLIC OF SOUTH
Jan 2044
AFRICA 9.705% 9.910% 9.17% 10.55%
R2048 REPUBLIC OF SOUTH
Feb 2048
AFRICA 9.660% 9.865% 9.16% 10.50%

Other Rates

Code Description Rate Previous YTD Low YTD High

SAFEX SAFEX Overnight Deposit Rate6.540% 6.540% 6.50% 6.83%
JIBAR1 JIBAR 1 Month 6.883% 6.883% 6.79% 7.12%
JIBAR3 JIBAR 3 Month 7.142% 7.142% 6.98% 7.38%
JIBAR6 JIBAR 6 Month 7.708% 7.717% 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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