JSE Actuaries Fixed Income Index Series – Quarterly Reconstitution
15 January 2014
The JSE Actuaries Fixed Income Index Advisory Committee met today (15 January 2014) to approve the
changes to the JSE Actuaries Fixed Income Index series. All constituent and weighting changes will be
applied at 12:00 noon on Thursday 6 February 2014.
All Bond Index (ALBI 20)
No additions or deletions this quarter.
Bonds with weight changes
Bond Code
ES18
ES23
R2023
ES26
R186
R213
ES33
R209
R214
R2048
Issuer
Eskom Holdings Limited
Eskom Holdings Limited
Republic of South Africa
Eskom Holdings Limited
Republic of South Africa
Republic of South Africa
Eskom Holdings Limited
Republic of South Africa
Republic of South Africa
Republic of South Africa
Term Split
3 to 7
7 to 12
7 to 12
12+
12+
12+
12+
12+
12+
12+
Current Weight
9,532
11,255
44,797
17,238
136,368
74,626
24,857
74,560
65,193
38,246
New Weight
9,533
11,252
46,973
17,230
137,869
75,827
24,860
75,867
66,403
39,574
Final Index Constituents
Sub
Index
Weight
R157
Republic of South Africa
SECTOR 3 TO 7 YEARS
GOVI
74,758
R203
Republic of South Africa
ES18
Eskom Holdings Limited
R204
Republic of South Africa
R207
Republic of South Africa
DV22
Development Bank of Southern Africa
TN20
Transnet Soc Limited
SECTOR 7 TO 12 YEARS
GOVI
OTHI
GOVI
GOVI
OTHI
OTHI
85,272
9,533
81,854
88,630
9,228
7,000
R208
Republic of South Africa
ES23
Eskom Holdings Limited
DV23
Development Bank of Southern Africa
R2023
Republic of South Africa
SECTOR 12 YEARS AND OVER
GOVI
OTHI
OTHI
GOVI
87,220
11,252
9,453
46,973
ES26
R186
TN27
R213
ES33
R209
R2037
R214
R2048
OTHI
GOVI
OTHI
GOVI
OTHI
GOVI
OTHI
GOVI
OTHI
17,230
137,869
7,000
75,827
24,860
75,867
13,152
66,403
39,574
Bond Code
Issuer
Current
Index
Weighting
Indicative
Index
Weighting
SECTOR 1 TO 3 YEARS
*
!
Eskom Holdings Limited
Republic of South Africa
Transnet Soc Limited
Republic of South Africa
Eskom Holdings Limited
Republic of South Africa
Republic of South Africa
Republic of South Africa
Republic of South Africa
Weight changed since last quarter
Bond will change term sector before the next re-selection
*
*
*
*
*
*
*
*
*
*
8.84%
8.77%
9.43%
1.07%
8.97%
9.30%
1.03%
0.81%
9.35%
1.07%
8.89%
9.22%
1.02%
0.80%
8.80%
1.32%
1.08%
4.71%
8.73%
1.30%
1.07%
4.90%
1.70%
17.14%
0.72%
6.70%
2.15%
5.86%
1.32%
5.15%
3.90%
1.69%
17.18%
0.71%
6.75%
2.13%
5.91%
1.31%
5.20%
4.00%
Composite Inflation Linked Index (CILI 15)
Bonds for inclusion to the index
Bond Code
I2046
Issuer
Republic of South Africa
Term Split
12+
Dual Rank
12
Weight
Term Split
12+
Dual Rank
16
Weight
5,940
Bonds for exclusion from the index
Bond Code
EL29
Issuer
Eskom Holdings Limited
3,000
Bonds with weight changes
Bond
Code
I2025
I2038
Issuer
Republic of South Africa
Republic of South Africa
Term
Split
3 to 7
12+
Current
Weight
12,390
14,535
New
Weight
13,205
15,710
Final Index Constituents
Issuer
Sub
Index
Weight
Current
Index
Weighting
Indicative
Index
Weighting
Eskom Holdings Limited
Republic of South Africa
ISOE
IGOV
5,000
21,062
1.84%
7.58%
1.80%
7.40%
ISOE
3,525
2.36%
2.30%
IGOV
ICORP
27,637
1,000
10.14%
0.74%
9.90%
0.72%
ISOE
1,176
0.88%
0.86%
IGOV
ICORP
IGOV
33,208
2,150
13,205
25.53%
1.58%
3.82%
24.95%
1.55%
3.98%
IGOV
ISOE
IGOV
IGOV
IGOV
IGOV
29,498
3,000
37,391
15,710
5,940
15,290
13.24%
0.97%
22.10%
4.37%
0.00%
4.85%
12.93%
0.95%
21.59%
4.62%
1.69%
4.74%
Bond Code
SECTOR 1 TO 3 YEARS
EL15
R211
SECTOR 3 TO 7 YEARS
WS05
Trans-Caledon Tunnel Authority
SECTOR 7 TO 12 YEARS
R212
ABSI2
Republic of South Africa
ABSA Bank Limited
South African National Roads Agency
Limited
Republic of South Africa
The Standard Bank of South Africa
Republic of South Africa
HWAY23
R197
SBSI11
I2025
*
SECTOR 12 YEARS AND OVER
R210
EL28
R202
I2038
I2046
I2050
#
*
!
#
Republic of South Africa
Eskom Holdings Limited
Republic of South Africa
Republic of South Africa
Republic of South Africa
Republic of South Africa
Addition this quarter
Weight changed since last quarter
Bond will change term sector before the next re-selection
*