COUNTRY •
SOUTH AFRICA
Last Update: 28 Jun 2022 11:15 GMT+0
The South Africa 10Y Government Bond has a 10.450% yield.
10 Years vs 2 Years bond spread is 454.5 bp. Normal Convexity in Long-Term vs Short-Term Maturities.
Central Bank Rate is 4.75% (last modification in May 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%.
If data are not all visible, swipe table left
| Residual Maturity |
Yield | ZC Price | Last Change |
||||||
|---|---|---|---|---|---|---|---|---|---|
| Last | Chg 1M | Chg 6M | Last | Chg 1M | Chg 6M | ||||
| 3 months | 5.650% | +10.0 bp | +44.0 bp | 28 Jun | |||||
| 2 years | 5.905% | +25.5 bp | +78.5 bp | 89.16 | -0.48 % | -1.48 % | 28 Jun | ||
| 5 years | 8.930% | +69.5 bp | +116.5 bp | 65.20 | -3.15 % | -5.23 % | 28 Jun | ||
| 10 years | 10.450% | +73.0 bp | +105.0 bp | 37.01 | -6.42 % | -9.11 % | 28 Jun | ||
| 12 years | 10.905% | +73.5 bp | +105.0 bp | 28.88 | -7.67 % | -10.78 % | 28 Jun | ||
| 20 years | 11.545% | +62.5 bp | +100.5 bp | 11.25 | -10.57 % | -16.54 % | 28 Jun | ||
| 25 years | 11.560% | +62.0 bp | +96.5 bp | 6.49 | -13.00 % | -19.58 % | 28 Jun | ||
| 30 years | 11.510% | +63.5 bp | +97.5 bp | 3.81 | -15.71 % | -23.03 % | 28 Jun | ||
Last Update: 28 Jun 2022 11:15 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).
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
If data are not all visible, swipe table left
| Residual Maturity |
Yield | Spread vs Bond | Spread vs Central Bank Rate (4.75%) |
||||
|---|---|---|---|---|---|---|---|
| 3 months | 2 years | 5 years | 10 years | ||||
| 30 years | 11.510% | 676.0 bp | |||||
| 10 years | 10.450% | 570.0 bp | |||||
| 5 years | 8.930% | 418.0 bp | |||||
| 2 years | 5.905% | 115.5 bp | |||||
| 3 months | 5.650% | 90.0 bp | |||||
Focusing on 2 years Government Bond:
If data are not all visible, swipe table left
| 5Y vs 2Y | 302.5 bp | Normal Convexity in Mid-Term vs Short-Term Maturities | ||
| 10Y vs 2Y | 454.5 bp | Normal Convexity in Long-Term vs Short-Term Maturities |
Readings that may interest you
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 | 4.75% |
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.
If data are not all visible, swipe table left
| 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 10.450% 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.
If data are not all visible, swipe table left
| South Africa 10Y vs | Current Spread | Chg 1M | Chg 6M | ||
|---|---|---|---|---|---|
| Japan 10Y | 1022.0 bp | +72.3 bp | +87.9 bp | Compare | |
| Germany 10Y | 879.5 bp | +5.1 bp | -84.1 bp | Compare | |
| France 10Y | 825.9 bp | +3.3 bp | -101.0 bp | Compare | |
| United Kingdom 10Y | 796.3 bp | +16.7 bp | -51.4 bp | Compare | |
| Spain 10Y | 770.8 bp | +7.6 bp | -118.2 bp | Compare | |
| China 10Y | 759.3 bp | +62.3 bp | +101.3 bp | Compare | |
| United States 10Y | 720.1 bp | +22.4 bp | -71.5 bp | Compare | |
| Canada 10Y | 699.2 bp | +6.2 bp | -93.2 bp | Compare | |
| Italy 10Y | 676.6 bp | -5.8 bp | -153.9 bp | Compare | |
| Australia 10Y | 663.1 bp | +16.0 bp | -118.2 bp | Compare | |
| India 10Y | 299.3 bp | +62.3 bp | +7.1 bp | Compare | |
| Russia 10Y | 183.0 bp | +162.0 bp | +84.5 bp | Compare | |
| Brazil 10Y | -233.2 bp | +38.1 bp | -102.5 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.
If data are not all visible, swipe table left
| Residual Maturity |
Yield | Bond Price - with different Coupon Rates | Fx | ||||||
|---|---|---|---|---|---|---|---|---|---|
| 0% | 1% | 3% | 5% | 7% | 9% | ||||
| 30 years | 11.510% | 3.81 | 12.16 | 28.88 | 45.59 | 62.31 | 79.02 | ||
| 25 years | 11.560% | 6.49 | 14.58 | 30.76 | 46.94 | 63.11 | 79.29 | ||
| 20 years | 11.545% | 11.25 | 18.93 | 34.31 | 49.68 | 65.06 | 80.43 | ||
| 12 years | 10.905% | 28.88 | 35.40 | 48.44 | 61.49 | 74.53 | 87.58 | ||
| 10 years | 10.450% | 37.01 | 43.04 | 55.09 | 67.15 | 79.20 | 91.26 | ||
| 5 years | 8.930% | 65.20 | 69.10 | 76.89 | 84.69 | 92.48 | 100.27 | ||
| 2 years | 5.905% | 89.16 | 91.00 | 94.67 | 98.34 | 102.01 | 105.68 | ||
| Maturity Date | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | |||