Interest Rate Valuations

 

The role of the JSE Clearing and Settlement division - Interest Rate Valuations:

The division performs the role of providing daily mark to market and operations support for all listed bonds to members of the exchange.

 

The functions of the JSE Clearing and Settlement division - Interest Rate Valuations:

The team provides technical support to members of the exchange to ensure trades dealt on bonds are reported successfully on the Nutron trade reporting system.

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

The following valuations are done on every business day:

  1. JIBAR
  2. 2pm Zero Curve
  3. 3pm Zero Curve
  4. UTMTM Value today
  5. UTMTM T+1
  6. UTMTM T+3
  7. 3pm Derivatives MTM
  8.    -Currencies
  9.    -Bonds
  10. End of day MTM
    •    -Detailed MTM
    •    -MTM T+1
    •    -MTM Value Today
    •    ​-End of day Zero Curves

 

Additional Resources:

Instrument pricing specifications

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