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Instrument Pricing Specifications

The process of calculating the market price of a listed interest-rate security is complex. The documents available on this page for downloading describ​e how to price the various types of security, and how they are independently priced each day for the benefit of  issuers and investors.

Report-only-trading Pricing Class

Instrument Type

Code
Amortising Floating Rate Notes AFRN
Amortising Instruments AI
Commercial Paper CP
CPI  CPI
Credit Linked Note CLN
Customised Instruments CI
Equity Structured Note ESN
Floating Rate Note FRN
Negotiable Certificate of Deposit NCD
Perpetuity P
Vanilla  V
Weighted Floating Rate Note FRNW

 Related Documents

 

 

New MTM Valuation RulesNew MTM Valuation Ruleshttps://www.jse.co.za/content/JSEPricingItems/New MTM Valuation Rules - 2016 July.pdfpdf
Money Market Subcommittee (MMS) Floating Rate Note Pricing SpecificationMoney Market Subcommittee (MMS) Floating Rate Note Pricing Specificationhttps://www.jse.co.za/content/JSEPricingItems/FloatingRateNotePricingV3.pdfpdf
Interest Rate Pricing StructureInterest Rate Pricing Structurehttps://www.jse.co.za/content/JSEPricingItems/InterestRatePricingStructure.pdfpdf
Pricing Methodology for Inflation Indexed bondsPricing Methodology for Inflation Indexed bondshttps://www.jse.co.za/content/JSEPricingItems/PricingMethodologyforInflationIndexedbonds.pdfpdf
pricing frn's specification finalpricing frn's specification finalhttps://www.jse.co.za/content/JSEPricingItems/pricing frn's specification final.pdfpdf
Bond Pricing Formula - SpecificationsBond Pricing Formula - Specificationshttps://www.jse.co.za/content/JSEPricingItems/BondPricingFormulaFinal.pdfpdf
BESA Pricing ClassBESA Pricing Classhttps://www.jse.co.za/content/JSEPricingItems/BesaPricingClassMay2007.pdfpdf
Pricing Buy/Sell-Backs in South AfricaPricing Buy/Sell-Backs in South Africahttps://www.jse.co.za/content/JSEPricingItems/PricingBuyAndSellBacksInSA.pdfpdf