OVERVIEW
OIS PRICER
JIBAR CURVE
OIS/JIBAR BASIS
IMPLIED FORWARDS
REPO / SARB
SCENARIO
FRN PRICER ⟳
🇿🇦 MIGRATION GUIDE
⚡ ZARONIA INDEX
📡 MARKET DATA
OIS Swap Strip — Fair NACQ vs ZARONIA Daily Compounded, Paid Quarterly
JIBAR Vanilla Swap Strip — Fair NACQ
OIS Fair Rate Curve (%)
JIBAR Fair Rate Curve (%)
OIS/JIBAR Basis Spread — Full Term Structure (bp)
Implied Forward ZARONIA vs JIBAR (%)
Single Swap Valuation
Rate Sensitivity
Discount Factor — OIS Curve
NPV vs Rate Shift (ZAR m)
Cashflow Profile — Fixed & Float
PV01 / CS01 Attribution by Quarter
Full Cashflow Schedule
| Qtr | Leg | Start | End | DCF | Fwd NACC% | Comp Factor | Cashflow (ZAR) | DF | PV (ZAR) | CS01 |
|---|
JIBAR Discount Factor
JIBAR Zero Rate NACC (%)
JIBAR Forward Rate NACC (%)
JIBAR Bootstrapped Curve — Full Term Structure
| Period | Tenor(y) | Instrument | Mkt Rate% | Fwd NACC% | Zero NACC% | DF | Par Rate% |
|---|
📈 JIBAR Forward Curve — Understanding the Step at Q21 (5Y→10Y)
The forward rate chart shows a visible step up at the 5Y→10Y segment. This is structurally correct and expected:Why the step? The JIBAR curve is bootstrapped from annual par swap pillars: SASW1, SASW2, SASW3, SASW5, and SASW10. Between Q20 (5Y) and Q40 (10Y), the curve is log-linearly interpolated from SASW5 (7.26%) to SASW10 (7.90%) — a 64bp upward slope over 5 years. This creates a forward curve that is above the zero curve in this segment (as the term structure is upward sloping). The "jump" is the transition from the SASW5 pillar to the first interpolated quarter at a rate consistent with SASW10.
Is it correct? Yes. The NACC forward rate between Q20 and Q40 is: fwd(5Y→10Y) = [ln(DF[20]) − ln(DF[40])] / (10−5) ≈ NACC equivalent of ~8.5–9% This is higher than the 5Y zero rate (~7.5%) because the par swap at 7.9% for 10Y implies that rates are expected to be higher beyond 5Y. This is standard term-structure behaviour — the forward rate exceeds the zero rate when the curve is upward sloping. Ref: Fabozzi (2012) §Term Structure; QuantLib PiecewiseYieldCurve log-linear interpolation
ZARONIA / JIBAR Basis — OIS vs JIBAR Fair NACQ Swap Rates
📐 OIS / IBOR Basis Theory
Post-2008, OIS and IBOR rates diverged due to credit and liquidity risk embedded in panel-bank IBOR fixings (Mercurio, 2009; Bianchetti, 2010). This gave rise to multi-curve pricing. Basis (bp) = Fair_OIS_NACQ − Fair_JIBAR_NACQ) × 100 In ZAR: ZARONIA (risk-free, overnight compounded) trades below JIBAR 3M (credit-risky, term rate) — hence negative basis is normal. The spread represents the JIBAR term/credit premium. Ref: Mercurio (2009) "Interest Rates and the Credit Crunch"; Bianchetti (2010)🔁 QuantLib Multi-Curve Bootstrap
QuantLib separates discounting curve (OIS/CSA) from projection curve (JIBAR): oisCurve → discounts all cashflows via DF_ois(t) jibarCurve → projects JIBAR 3M forwards via DF_jib(t) Fair NACQ rate for OIS tenor T: r_fair = [ N·(1−DF_ois(T)) / (N·Σᵢ DF_ois(tᵢ)) ] × 4 Fair NACQ for JIBAR swap (same formula, JIBAR DFs): r_fair = [ (1−DF_jib(T)) / Σᵢ DF_jib(tᵢ) ] × 4 Ref: QuantLib MakeVanillaSwap; Ametrano & Bianchetti (2013)OIS vs JIBAR Fair Rates (%)
OIS/JIBAR Basis Spread by Tenor (bp) — negative = OIS below JIBAR
Basis Detail Table — All Spreads in Basis Points · bp = (OIS−JIBAR)×100
| Tenor | JIBAR Fair NACQ% | OIS Fair NACQ% | Basis (bp) | JIBAR DF(T) | OIS DF(T) | JIBAR PV01 (ZAR) | OIS PV01 (ZAR) | DF Spread (bp) |
|---|
Implied ZARONIA Forward Rates (3M×3M, NACC%)
Implied JIBAR Forward Rates (3M×3M, NACC%)
Implied SARB Repo Path (NACM→NACC, %)
OIS vs JIBAR vs Repo Forward Comparison
Implied Forward Rate Table — OIS, JIBAR, Repo
| Period | Start(y) | End(y) | OIS Fwd NACC% | OIS Comp Rate% | JIBAR Fwd NACC% | JIBAR Comp Rate% | Repo Implied% | OIS-Repo Spread (bp) | JIBAR-OIS Spread (bp) |
|---|
SARB Repo Analysis — Rate Convention Mathematics
📐 Compounding Convention Theory
All nominal rate conventions are equivalent representations of the same effective annual rate (EAR). The no-arbitrage identity (Hull, 2022; Brigo & Mercurio, 2006): (1 + r_m/m)^m = (1 + r_q/4)^4 = (1 + r_a) = e^(r_c) where m = compounding frequency. SARB quotes repo as NACM (m=12) — monthly. Conversions are exact — no approximation. Ref: SARB Monetary Policy Framework; ISDA 2006 Definitions §6.2🔄 NACM → Other Conventions
Given repo rate r_m (NACM, as quoted by SARB): NACC: r_c = 12 · ln(1 + r_m/12) NACQ: r_q = 4 · (e^(r_c/4) − 1) Eff Ann: r_a = (1 + r_m/12)^12 − 1 Key insight: NACM < NACQ < NACC < Eff Annual for positive rates — higher compounding frequency requires a lower nominal rate to achieve the same effective return. Ref: Fabozzi (2012), Fixed Income Mathematics §2; QuantLib ActualActual📊 Spread to Swap Rates (basis points)
Spread is computed on comparable conventions (NACQ), since swap fixed rates are NACQ: Spread (bp) = (r_swap_NACQ − r_repo_NACQ) × 100 A positive spread means swap rates exceed the repo rate — the market prices credit/liquidity/term premium over the policy rate. The OIS rate should trade above repo by the OIS-repo spread (historically ~15–25bp in ZAR), reflecting the difference between overnight compounding and the monthly repo fixing. Ref: SARB Working Paper WP/23/01; Duffie & Stein (2015)🏦 QuantLib Implementation
In QuantLib, the SARB repo maps to: ql.SimpleQuote(repoNACM) ql.FlatForward(today, repoHandle, ql.Actual365Fixed(), ql.Monthly) The OvernightIndex (ZARONIA) uses: ql.OvernightIndex("ZARONIA", 0, ql.ZARCurrency(), cal, ql.Actual365Fixed()) OIS swap pricing via MakeOIS: ql.MakeOIS(tenor, oisIndex, fixedRate, ql.Period("0D")) Ref: QuantLib docs §InterestRateSwap; Ametrano & Bianchetti (2013)Repo Rate Conversions — All Conventions (%)
Spread of OIS & JIBAR over Repo NACQ across Term (bp)
Repo Rate Convention Table — All Spreads in Basis Points
| Convention | Rate% | Eff Annual% | Spread to OIS 1Y (bp) | Spread to JIBAR 3M (bp) | Mathematical Definition & Notes |
|---|
NPV Heatmap — OIS Swap · Curve Shift (rows) × Fixed Rate (cols) · ZAR m
NPV Sensitivity — OIS Swap (ZAR m)
OIS Fair Rate Sensitivity to Curve Shifts
Scenario Strip
JIBAR Clean Px
—
vs par
JIBAR Dirty Px
—
settlement price
Fair ZARONIA Spread
—
XIRR-equalised
XIRR Delta
—
ZARONIA − JIBAR
CS01 (spread)
—
per 1bp DM shift
▶ PRICING METHODOLOGY — QuantLib / JSE Convention
📋 JIBAR FRN Pricing — QuantLib FloatingRateBond Methodology
A JIBAR-linked FRN pays quarterly coupons = (JIBAR₃M_reset + spread) × N × DCF. The current coupon is locked in at the last reset date's JIBAR fixing; future coupons are projected using the JIBAR forward curve. Dirty Price = Σᵢ [ CF_i × DF_jibar(tᵢ) / (1 + DM × τᵢ) ] + N × DF_jibar(T) / (1 + DM × T) where dm = discount margin above JIBAR curve, τᵢ = ACT/365 tenor to payment date. Accrued Interest = (days_since_reset / days_in_period) × coupon_rate × N Clean Price = Dirty Price − Accrued Interest The ZARONIA equivalent note replaces remaining JIBAR-projected coupons with ZARONIA overnight-compounded coupons, using ZARONIA_spread = issue_spread + OIS/JIBAR_basis and OIS discount factors from the ZARONIA curve. Ref: QuantLib FloatingRateBond; Fabozzi (2012) §FRN Valuation; ISDA 2006 §6.2 Reset Convention; JSE Debt Listing Requirements §11.3Bond Terms
Face Value (ZAR)
Issue Date
Maturity Date
Issue Spread
bp
Day Count
Trading / Settlement
Settle Date
Trading Spread
bp
Last Reset JIBAR
%
Last Reset Date
Next Reset Date
ZARONIA Conversion
Conversion Date
OIS/JIBAR Basis
bp
ZARONIA spread = Issue spread + Basis.
Remaining cashflows re-projected on OIS curve.
Equivalent note shows OIS-discounted dirty/clean price.
Remaining cashflows re-projected on OIS curve.
Equivalent note shows OIS-discounted dirty/clean price.
JIBAR FRN — Valuation at Settle Date
ZARONIA Equivalent Note — Valuation from Conversion Date
XIRR Analysis — Internal Rate of Return on Cashflow Streams
Cashflow Comparison — JIBAR vs ZARONIA (ZAR per period)
Cumulative Cashflow — JIBAR vs ZARONIA (ZAR)
PV Profile — JIBAR vs ZARONIA per Period (ZAR)
Clean Price Sensitivity to Trading Spread
JIBAR Projected Coupon Strip (% p.a.)
Coupon Differential: JIBAR CF − ZARONIA CF (ZAR)
⚠ Prototype Simplifications Active
▸ SA holidays 2026-2027 ✓ — gazetted JSE public holidays applied with Modified Following convention. Production: extend to full
ql.SouthAfrica() calendar.▸ Log-linear DF interpolation — produces piecewise-constant forwards. Market practice uses monotone convex for tenors beyond 2Y.
▸ ZARONIA lookback approximated — the 5 Johannesburg business day lookback period is modelled as a DF ratio approximation, not exact daily compounding with calendar-adjusted observation dates.
▸ OIS/JIBAR basis user-input — in production, the tenor basis strip is bootstrapped from quoted ZARONIA/JIBAR basis swaps (SARB MPG addendum).
Full Cashflow Schedule — JIBAR vs ZARONIA: Period-by-Period Comparison
| Prd | Reset | Start | Pay Date | Days | JIBAR% | JIBAR CF | JIBAR PV | ZARONIA% | OIS CF | OIS PV | CF Diff (ZAR) | PV Diff | Status |
|---|
🇿🇦 JIBAR → ZARONIA TRANSITION — SOUTH AFRICAN RATES DESK REFERENCE
IBOR REFORM 2026
LIVE MARKET DATA · AUTO-REPRICING
South Africa is migrating from JIBAR 3M — a term rate based on panel-bank submissions embedding credit and liquidity premia — to ZARONIA (ZAR Overnight Index Average), the SARB-administered transaction-based risk-free rate. This tool prices both instruments simultaneously, constructs the full dual-curve term structure, and calculates the exact fair conversion value for FRN holders being offered a switch. Every input reprices instantly. Every number is live.
⬛ ZARONIA — THE NEW STANDARD
What: ZAR Overnight Index Average. SARB-published since 2021. Transaction-weighted overnight unsecured interbank rate.
Structure: Overnight rate compounded daily in arrears. Backward-looking — coupon only known at END of period. Near risk-free.
No embedded premia: Pure funding rate. No credit, no term. Globally aligned with SOFR (USD), SONIA (GBP), €STR (EUR).
OIS convention: Fixed NACQ vs ZARONIA daily compounded, paid quarterly. FRNs: overnight geometric compounding.
CF = N × [∏ᵢ(1 + rᵢ·δᵢ) − 1] + spread·DCF
Structure: Overnight rate compounded daily in arrears. Backward-looking — coupon only known at END of period. Near risk-free.
No embedded premia: Pure funding rate. No credit, no term. Globally aligned with SOFR (USD), SONIA (GBP), €STR (EUR).
OIS convention: Fixed NACQ vs ZARONIA daily compounded, paid quarterly. FRNs: overnight geometric compounding.
CF = N × [∏ᵢ(1 + rᵢ·δᵢ) − 1] + spread·DCF
✓ ISDA 2021 fallback protocol: JIBAR instruments fallback to ZARONIA + spread adjustment. Recommended: proactive conversion rather than waiting for fallback trigger.
⬛ THE BASIS — KEY TO CONVERSION
Why the gap exists: ZARONIA < JIBAR because JIBAR embeds credit and term premia that ZARONIA does not. The spread is ~12–20bp depending on market conditions.
Conversion rule: When converting a JIBAR FRN to ZARONIA, the ZARONIA spread must be set wider to compensate the holder for the lost credit premium in JIBAR. ZARONIA_spread = JIBAR_spread + basis_adj Example: If basis = −15bp and you hold JIBAR + 85bp:
Fair ZARONIA spread = 85 + (−15) = 70bp
Conversion rule: When converting a JIBAR FRN to ZARONIA, the ZARONIA spread must be set wider to compensate the holder for the lost credit premium in JIBAR. ZARONIA_spread = JIBAR_spread + basis_adj Example: If basis = −15bp and you hold JIBAR + 85bp:
Fair ZARONIA spread = 85 + (−15) = 70bp
⚠ The basis is not constant. It widens during stress (more credit fear → JIBAR jumps). Set your basis assumption conservatively. Use the sidebar O/N→1Y+ basis inputs to stress-test.
💼 FRN HOLDER DECISION FRAMEWORK — HOW TO EVALUATE A CONVERSION OFFER
STEP 1 — CALCULATE JIBAR PRICE
Use the FRN PRICER tab. Enter your bond terms (issue date, maturity, issue spread), your settlement date, trading spread, and the last reset JIBAR fixing.
The tool calculates your exact clean price, dirty price, and accrued interest with full day-count breakdown.
STEP 2 — PRICE THE ZARONIA EQUIVALENT
Set the Conversion Date to the proposed conversion settlement. Enter the offered ZARONIA spread.
The tool recalculates all remaining cashflows on the OIS curve. Compare OIS Clean Price vs JIBAR Clean Price.
The difference in bp is your conversion gain/loss.
STEP 3 — NEGOTIATE
If OIS clean > JIBAR clean: The offered ZARONIA spread overcompensates — take it or use as leverage.If OIS clean < JIBAR clean: You're being offered below fair value. Demand a wider ZARONIA spread. Fair spread = JIBAR_spread − basis. Never accept basis = 0.
Pricing Formulae — Full Reference
JIBAR FRN Dirty Price
P = Σᵢ CFᵢ·DFⱼᵢᵦ(tᵢ)·e⁻ᵈᵐ·τᵢ + N·DFⱼᵢᵦ(T)
dm = discount margin over JIBAR curve
CFᵢ = (JIBAR_reset + spread) × N × DCFᵢ
CFᵢ = (JIBAR_reset + spread) × N × DCFᵢ
OIS FRN (ZARONIA) Dirty Price
P = Σᵢ CF_oisᵢ·DFₒᵢₛ(tᵢ) + N·DFₒᵢₛ(T)
CF_oisᵢ = N·[DF_ois(tᵢ₋₁)/DF_ois(tᵢ) − 1] + N·spread·DCFᵢ
Accrued Interest (ACT/365)
AI = N × r_cpn × (days_accrued / 365)
days_accrued = settle − last_reset
r_cpn = JIBAR_reset + issue_spread
r_cpn = JIBAR_reset + issue_spread
Modified Duration (FRN)
ModDur = Σᵢ [τᵢ × PVᵢ] / P_dirty
DV01 = ModDur × P_dirty × 0.0001
CS01 = [Dirty(dm+1bp) − Dirty(dm−1bp)] / 2
CS01 = [Dirty(dm+1bp) − Dirty(dm−1bp)] / 2
OIS Par Swap Bootstrap
DF[Q] = (1 − r/4·Σprev) / (1 + r/4)
Newton-Raphson with log-linear intermediates
Par condition: r/4 × ΣDF = 1 − DF[T]
Par condition: r/4 × ΣDF = 1 − DF[T]
OIS/JIBAR Basis
Basis(bp) = [r_ois − r_jibar] × 100
Negative = ZARONIA below JIBAR
Short end from ZARONIA O/N anchor, long end from par swap quotes
Short end from ZARONIA O/N anchor, long end from par swap quotes
Technical Audit — What This Tool Does
✓ IMPLEMENTED CORRECTLY
Dual-curve bootstrap: OIS anchored at ZARONIA O/N, JIBAR at JIBAR 3M — basis present from day 1. No shared short-end anchoring.
OIS float leg: DF(t₋)/DF(t₊)−1 per period — exact QuantLib OvernightIndexedSwap. PV telescopes to N×(1−DF(T)).
Par swap NR bootstrap: Correct objective f(d) = r₄·(annKnown + annInterp + d) + d − 1 = 0. Par rates recover exactly to 4dp.
Rate conventions: Repo NACM→NACC→NACQ exact. ACT/365F day count throughout. NACQ fixed rate convention.
FRN pricing: Locked current coupon (JIBAR reset at period start), JIBAR forward projection for future coupons, exact ACT/365 actual day count for AI.
Greeks: PV01 central difference (full curve), CS01 finite-diff on spread (frozen projections), DV01 via modified duration. All three clearly explained and distinct.
Basis: Term structure by tenor (O/N, 3M, 6M, 9M, 1Y+). OIS/JIBAR diverges from the overnight point. Short-end panel shows implied ZARONIA rates.
OIS float leg: DF(t₋)/DF(t₊)−1 per period — exact QuantLib OvernightIndexedSwap. PV telescopes to N×(1−DF(T)).
Par swap NR bootstrap: Correct objective f(d) = r₄·(annKnown + annInterp + d) + d − 1 = 0. Par rates recover exactly to 4dp.
Rate conventions: Repo NACM→NACC→NACQ exact. ACT/365F day count throughout. NACQ fixed rate convention.
FRN pricing: Locked current coupon (JIBAR reset at period start), JIBAR forward projection for future coupons, exact ACT/365 actual day count for AI.
Greeks: PV01 central difference (full curve), CS01 finite-diff on spread (frozen projections), DV01 via modified duration. All three clearly explained and distinct.
Basis: Term structure by tenor (O/N, 3M, 6M, 9M, 1Y+). OIS/JIBAR diverges from the overnight point. Short-end panel shows implied ZARONIA rates.
⚠ PRODUCTION CAVEATS
Holiday calendar: SA public holidays 2026-2027 now active with Modified Following adjustment. Production extends to
Basis term structure: Uses constant basis per tenor bucket from sidebar. Production basis should be bootstrapped from quoted ZARONIA/JIBAR basis swaps (3M, 6M, 1Y, 2Y, 5Y).
Interpolation: Log-linear DF interpolation between annual pillars. QuantLib production uses LogLinearDiscount with exact day-count-adjusted pillar dates.
FRN stub handling: Assumes clean quarterly schedule from issue date. Non-standard stubs (first short, first long) not handled.
ZARONIA term rate: SARB publishes a 1M, 3M ZARONIA term rate monthly. This tool uses overnight compounding approximation rather than the published term rate.
XVA/CVA: No credit valuation adjustment, bilateral initial margin, or funding valuation adjustment computed. Add via QuantLib XVA framework for bilateral risk.
Convexity adjustment: CMS-style convexity for in-arrears ZARONIA compounding vs simple JIBAR not explicitly modelled.
ql.SouthAfrica() for all dates.Basis term structure: Uses constant basis per tenor bucket from sidebar. Production basis should be bootstrapped from quoted ZARONIA/JIBAR basis swaps (3M, 6M, 1Y, 2Y, 5Y).
Interpolation: Log-linear DF interpolation between annual pillars. QuantLib production uses LogLinearDiscount with exact day-count-adjusted pillar dates.
FRN stub handling: Assumes clean quarterly schedule from issue date. Non-standard stubs (first short, first long) not handled.
ZARONIA term rate: SARB publishes a 1M, 3M ZARONIA term rate monthly. This tool uses overnight compounding approximation rather than the published term rate.
XVA/CVA: No credit valuation adjustment, bilateral initial margin, or funding valuation adjustment computed. Add via QuantLib XVA framework for bilateral risk.
Convexity adjustment: CMS-style convexity for in-arrears ZARONIA compounding vs simple JIBAR not explicitly modelled.
Quick Reference — JIBAR vs ZARONIA Side-by-Side
| Attribute | JIBAR 3M | ZARONIA O/N | Implication for Desk |
|---|---|---|---|
| Rate type | Term (3M forward-looking) | Overnight (backward-looking) | Coupon known at start vs end of period |
| Administrator | BASA (panel submissions) | SARB (transaction-weighted) | ZARONIA manipulation-resistant |
| Credit premium | Embedded (~12–20bp) | None — risk-free | ZARONIA spread must be wider to compensate |
| Compounding | Simple, set at reset | Daily overnight geometric | ZARONIA FRN CF unknown until period end |
| Swap day count | ACT/365F NACQ fixed | ACT/365F NACQ fixed | Same fixed leg convention — easy to compare |
| Discount curve | JIBAR curve (projection=discount) | OIS curve (CSA-consistent) | Dual curve required — this tool implements it |
| Fallback | → ZARONIA + spread adj | N/A (is the fallback) | ISDA 2021 protocol; proactive conversion preferred |
| Current SA level | 6.7600% | 6.6000% | Basis: −16.0bp |
| Liquidity | Deep (FRAs, swaps, bonds) | Growing (OIS market developing) | JIBAR hedges still more liquid short-term |
| Cessation risk | HIGH — FSCA 2026 target | None — SARB committed | Convert proactively; avoid fallback trigger |
ZARONIA O/N (SARB fixing)
—
ZAR Overnight Index Average · ACT/365F · T+0 settlement
ZARONIA NACC
—
continuous equiv
ZARONIA NACQ
—
quarterly equiv
vs JIBAR 3M
—
credit/term spread
vs Repo NACM
—
ZARONIA/repo spread
Term ZARONIA Compounding Calculator
ZARONIA O/N Rate (%)
Period (days)
Rate Volatility (σ, bp/day)
Lookback (business days)
📐 ZARONIA Daily Compounding — Convexity Adjustment vs JIBAR Simple Rate
ZARONIA compounds daily overnight fixings geometrically over the coupon period. JIBAR is a simple forward-looking term rate set at period start. The difference in compounding convention creates a convexity adjustment (Jensen's inequality): ZARONIA_term = ∏ᵢ(1 + r_ON_i × δᵢ) − 1 ≈ r_ON × T + ½ × σ² × T² (approx) For a flat rate r_ON over T days: ZARONIA_term ≈ r_ON × T/365 + ½ × σ²(T/365)² Convexity adj (bp) ≈ ½ × σ²(daily) × T² / 365² × 10000 where σ is the daily rate volatility. For σ=2.5bp/day, T=91 days: adj ≈ —bp Credit spread: JIBAR − ZARONIA ≈ Term credit premium + Liquidity premium + Convexity adj JIBAR embeds: (1) bank credit risk over 3M horizon, (2) 3M liquidity premium, (3) panel fixing methodology risk. ZARONIA embeds: (1) overnight risk-free rate only, (2) no term premium, (3) near risk-free. Ref: ISDA OIS compounding; Mercurio (2009); SARB MPG ZARONIA conventions; Hull & White (2022) convexityJIBAR → ZARONIA Credit Spread Decomposition
Rate Convention Cross-Reference
ZARONIA Compound Growth over Quarter (flat rate assumption)
JIBAR vs ZARONIA Spread — Credit + Convexity Decomposition (bp)
⏱ ZARONIA Lookback Period — 5 Johannesburg Business Days
SARB/MPG convention for ZARONIA-linked FRNs: the observation period ends 5 Johannesburg business days before the coupon payment date. This means: Observation period: [reset_date, pay_date − 5bd] (5bd lookback, no shift) The last 5 overnight fixings before payment are excluded from compounding. The coupon is therefore known 5 business days before payment, allowing settlement processing. Lookback effect (bp) ≈ ZARONIA_change_over_5bd × 5/365 × 10000 For a 25bp rate move over the lookback period: lookback effect ≈ —bp on the coupon. Practical impact: In a falling rate environment, lookback gives a higher coupon than spot ZARONIA. In a rising environment, it gives a lower coupon. This is the lookback basis risk. Ref: SARB MPG Working Paper on ZARONIA Conventions (2023); ISDA IBOR Fallback SupplementSA Government Bonds — Live from api.theyield.co.za
SA GOVERNMENT BONDS
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SA Bond Yield Curve (%)
1-Day Yield Change (bp)
FX Rates — Live
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Bond Detail
| Bond | Yield% | 1D Chg (bp) | YTM (y) | Spread to R2030 | Updated |
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FX Detail
| Pair | Rate | 1D Change | 1D Chg% | Direction | Updated |
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