COUNTRY • SOUTH AFRICA
Last Update: 27 Nov 2022 12:15 GMT+0

The South Africa 10Y Government Bond has a 10.230% yield.

10 Years vs 2 Years bond spread is 306.5 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 7.00% (last modification in November 2022).

The South Africa credit rating is BB-, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 313.76 and implied probability of default is 5.23%.

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
3 months 7.100% +1.0 bp +155.0 bp 27 Nov
2 years 7.165% -8.5 bp +151.5 bp 87.08 +0.16 % -2.80 % 27 Nov
5 years 8.700% -21.5 bp +46.5 bp 65.89 +0.98 % -2.12 % 27 Nov
10 years 10.230% -44.0 bp +51.0 bp 37.76 +4.08 % -4.53 % 27 Nov
12 years 10.775% -39.5 bp +60.5 bp 29.29 +4.38 % -6.36 % 27 Nov
20 years 11.435% -29.5 bp +51.5 bp 11.47 +5.42 % -8.82 % 27 Nov
25 years 11.370% -32.0 bp +43.0 bp 6.77 +7.46 % -9.25 % 27 Nov
30 years 11.270% -34.0 bp +39.5 bp 4.06 +9.43 % -10.18 % 27 Nov
Last Update: 27 Nov 2022 12:15 GMT+0

South Africa Yield Curve Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
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Residual
Maturity
Yield Spread vs Bond Spread vs
Central Bank
Rate (7.00%)
3 months 2 years 5 years 10 years
30 years 11.270% 427.0 bp
10 years 10.230%
323.0 bp
5 years 8.700%
170.0 bp
2 years 7.165%
16.5 bp
3 months 7.100%
10.0 bp
Focusing on 2 years Government Bond:
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5Y vs 2Y 153.5 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 306.5 bp Normal Convexity in Long-Term vs Short-Term Maturities

South Africa Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation). For a deeper analysis of credit ratings, click here South Africa Credit Ratings History
Rating Agency Rating Outlook
Standard & Poor's
BB-
positive
Moody's Investors Service
Ba2
-
Fitch Ratings
BB-
-
DBRS
-
-

South Africa Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.
Interest Rates Value
Central Bank Rate 7.00%

South Africa Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.
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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 313.76 +2.33 % +10.04 % +64.72 % 5.23 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

South Africa 10Y Bond Yield Spread

The South Africa 10Y Government Bond has a 10.230% yield. Click on Spread value for the historical serie.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle.

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
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South Africa 10Y vs Current Spread Chg 1M Chg 6M
Japan 10Y 997.5 bp -45.0 bp +47.8 bp Compare
Germany 10Y 826.0 bp -44.7 bp -48.4 bp Compare
France 10Y 779.6 bp -40.2 bp -43.0 bp Compare
China 10Y 738.9 bp -58.0 bp +41.9 bp Compare
Canada 10Y 729.2 bp -17.9 bp +36.2 bp Compare
Spain 10Y 727.5 bp -38.7 bp -35.7 bp Compare
United Kingdom 10Y 711.9 bp -10.2 bp -67.7 bp Compare
Australia 10Y 663.8 bp -26.2 bp +16.7 bp Compare
United States 10Y 653.9 bp -20.2 bp -43.8 bp Compare
Italy 10Y 638.1 bp -31.1 bp -44.3 bp Compare
India 10Y 292.9 bp -32.9 bp +55.9 bp Compare
Russia 10Y 16.0 bp -68.0 bp -5.0 bp Compare
Brazil 10Y -342.6 bp -197.3 bp -71.3 bp Compare

South Africa Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates. The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
30 years 11.270% 4.06 12.57 29.60 46.63 63.65 80.68
25 years 11.370% 6.77 14.97 31.37 47.77 64.17 80.57
20 years 11.435% 11.47 19.21 34.70 50.18 65.66 81.15
12 years 10.775% 29.29 35.85 48.98 62.10 75.23 88.35
10 years 10.230% 37.76 43.84 56.01 68.18 80.35 92.52
5 years 8.700% 65.89 69.82 77.66 85.50 93.34 101.18
2 years 7.165% 87.08 88.88 92.49 96.09 99.70 103.31
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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