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%.

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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).
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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:
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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

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.
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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 10.450% 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.
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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.
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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

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