South Africa Government Bonds - Yields Curve

COUNTRY • SUMMARY
SOUTH AFRICA
Last Update: 3 Dec 2023 0:15 GMT+0

The South Africa 10Y Government Bond has a 9.980% 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 235.40 and implied probability of default is 3.92%.

Table of contents

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 8.600% +70.0 bp -55.0 bp 02 Dec
5 years 8.780% -21.0 bp -97.5 bp 65.65 +0.97 % +4.55 % 01 Dec
10 years 9.980% -31.5 bp -127.0 bp 38.62 +2.88 % +12.17 % 01 Dec
12 years 10.855% -35.0 bp -99.5 bp 29.04 +3.86 % +11.35 % 01 Dec
20 years 12.185% -19.5 bp -53.5 bp 10.03 +3.51 % +9.98 % 01 Dec
25 years 12.255% -20.0 bp -49.0 bp 5.56 +4.51 % +11.65 % 01 Dec
30 years 12.160% -20.5 bp -52.0 bp 3.20 +5.61 % +15.11 % 01 Dec
Last Update: 3 Dec 2023 0:15 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 12.160% 391.0 bp
10 years 9.980%
173.0 bp
5 years 8.780%
53.0 bp
3 months 8.600%
35.0 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 235.40 -1.93 % -11.69 % -10.74 % 3.92 %
(*) 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 9.980% 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.
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South Africa 10Y vs Current Spread Chg 1M Chg 6M Compare
Countries
vs Japan 10Y 927.4 bp -10.6 bp -156.6 bp
vs Germany 10Y 762.1 bp -1.7 bp -130.1 bp
vs China 10Y 728.2 bp -33.5 bp -123.4 bp
vs France 10Y 705.9 bp +0.4 bp -132.4 bp
vs Spain 10Y 662.7 bp +2.6 bp -130.4 bp
vs Canada 10Y 653.1 bp +1.3 bp -146.6 bp
vs Italy 10Y 589.0 bp +3.7 bp -138.0 bp
vs United Kingdom 10Y 584.0 bp -12.6 bp -125.7 bp
vs United States 10Y 577.1 bp +5.2 bp -178.1 bp
vs Australia 10Y 558.3 bp -3.3 bp -193.0 bp
vs India 10Y 269.0 bp -28.8 bp -157.6 bp
vs Brazil 10Y -83.2 bp +40.6 bp -70.5 bp
vs Russia 10Y -223.0 bp -45.5 bp -271.0 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.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
30 years 12.160% 3.20 11.16 27.08 43.00 58.92 74.84
25 years 12.255% 5.56 13.26 28.68 44.09 59.50 74.92
20 years 12.185% 10.03 17.41 32.18 46.95 61.72 76.48
12 years 10.855% 29.04 35.57 48.65 61.72 74.80 87.87
10 years 9.980% 38.62 44.77 57.07 69.37 81.67 93.97
5 years 8.780% 65.65 69.56 77.39 85.21 93.04 100.86
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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