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%.
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 | 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).
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 (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:
If data are not all visible, swipe table left
| 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 |
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 | 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.
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 10.230% 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.
If data are not all visible, swipe table left
| 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.
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 | 11.270% | 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 | |||