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JSE Fixed Income Indices

Published in Fixed Income Indices

JSE Limited (previously the JSE Securities Exchange and the Johannesburg Stock Exchange) is the largest stock exchange in Africa. It is situated at the corner of Maude Street and Gwen Lane in Sandton, Johannesburg, South Africa. The Fixed Income Indices measure the total return of representative bond portfolios and provide a benchmark for historical performance. The indices provide a standard against which investment performance in the bond market can be measured. Specifically, they provide:
  • A barometer for daily movements in the Bond Market.
  • A history of market levels and movements for technical analysis of the Bond Market.
  • A benchmark for measuring portfolio performance.
  • A means to analyse sub-sectors of the market.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 9300 bonds, 30 indices and 120 yield curve points. Index coverage includes the JSE Composite Inflation-linked Bond Index, Credit Composite, Credit Fixed, Credit Floating, Government Bond Index, etc.

Some of the items available for this database include the following:

  • Bond Items – Accrued Interest, Authorized Amount, Broken First Coupon, Ca Rating, Call Terms, Clean Market Value In Local Currency, Clean Volume 1 Month Companion, Convexity, Country Code, Coupon, Coupon Frequency, Coupon Rate, Coupon Type, Currency Code, Date, Delta, Dirty Price, Dirty Price Month End, Dollar Value Per Basis Point, Domain, Duration, Early Redeem, Ex Dividend Date 1-12, First Ex Dividend Date, First Pay Date, Fitch Rating, Float Coupon Cap Rate, Float Coupon, Floor Rate, Float Index Rate, Float Spread Rate, Guarantee Type, Information, Interest Date 1-12, Isin, Issuer, Issuer Class, Issuer Date, Mark To Market, Market Maker, Market Value, Market Value Clean, Market Value in LOC, Maturity, Modified Duration, Moody’s Rating, Price, Price Month End, S&P Rating, Settle Date, Shares Outstanding, Split Maturity, Split Maturity Date, Spread, Status, Symbol, Trade Type, Type Code, Volume 1 Month, Workout Date, Yearly Volume, Yield 1 Year High/Low, Yield To Date Total Return, etc.
  • Index Items – Average Convexity, Average Modified Duration, Average Yield, Curve Yield, Description, Price Index, Total Return, etc.
  • Current Yield Point Data Items – Tenor, Years

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