South Africa Government Bonds - Yields Curve

COUNTRY • SUMMARY
SOUTH AFRICA
Last Update: 14 Apr 2024 2:15 GMT+0

The South Africa 10Y Government Bond has a 11.016% yield.

Central Bank Rate is 8.25% (last modification in May 2023).

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

Current 5-Years Credit Default Swap quotation is 253.39 and implied probability of default is 4.22%.

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South Africa Yield Curve

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
3 months 8.400% -10.0 bp -35.0 bp 12 Apr
5 years 9.642% +60.7 bp +30.2 bp 63.11 -2.74 % -1.38 % 12 Apr
10 years 11.016% +76.1 bp +28.6 bp 35.17 -6.64 % -2.55 % 12 Apr
12 years 11.905% +80.5 bp +28.5 bp 25.93 -8.31 % -3.03 % 12 Apr
20 years 13.423% +73.8 bp +54.8 bp 8.05 -12.31 % -9.24 % 12 Apr
25 years 13.508% +71.3 bp +57.3 bp 4.21 -14.60 % -11.92 % 12 Apr
30 years 13.415% +70.0 bp +57.0 bp 2.29 -17.03 % -13.91 % 12 Apr
Last Update: 14 Apr 2024 2:15 GMT+0

South Africa Yield 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 (8.25%)
3 months 5 years 10 years
30 years 13.415% 516.5 bp
10 years 11.016%
276.6 bp
5 years 9.642%
139.2 bp
3 months 8.400%
15.0 bp

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- -
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 8.25%

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 253.39 +3.18 % +11.89 % -7.39 % 4.22 %
(*) 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 11.016% yield.

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 Compare
Countries
vs Japan 10Y 1017.5 bp +69.0 bp +20.3 bp
vs China 10Y 872.5 bp +82.4 bp +71.5 bp
vs Germany 10Y 865.6 bp +83.5 bp +65.0 bp
vs France 10Y 815.2 bp +78.2 bp +73.4 bp
vs Spain 10Y 781.8 bp +79.7 bp +96.4 bp
vs Canada 10Y 733.6 bp +64.0 bp +61.6 bp
vs Italy 10Y 728.7 bp +75.7 bp +136.9 bp
vs United Kingdom 10Y 684.9 bp +73.0 bp +50.0 bp
vs Australia 10Y 675.7 bp +64.9 bp +46.2 bp
vs United States 10Y 649.9 bp +53.6 bp +38.5 bp
vs India 10Y 383.7 bp +62.3 bp +42.7 bp
vs Brazil 10Y -36.2 bp +13.3 bp +72.9 bp
vs Russia 10Y -331.4 bp -13.9 bp -182.4 bp

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 13.415% 2.29 9.57 24.14 38.71 53.28 67.84
25 years 13.508% 4.21 11.30 25.48 39.67 53.85 68.03
20 years 13.423% 8.05 14.90 28.60 42.30 56.00 69.70
12 years 11.905% 25.93 32.15 44.60 57.04 69.48 81.93
10 years 11.016% 35.17 41.05 52.82 64.59 76.36 88.14
5 years 9.642% 63.11 66.94 74.59 82.24 89.89 97.54
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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