Data room

Closing-price methodology

Version v1.1, 14 October 2026

What the daily close in the closing-prices file is, where it comes from, how it is checked and how it is corrected. The file header names this page and its version, so a valuation record can show which method produced each figure.

What a close is

• One close per bond per session: a clean bid and ask price per 100 of the face value still outstanding, with the yields quoted alongside them.
• A session is a working day in England and Wales. Weekends and UK bank holidays have no close, even when another market was open.
• The close is recorded at 19:30 UTC, after the London close. It is the last value the site holds for that day, taken in the order of sources below.
• The close is indicative: not a traded price, not a quote and not an offer to deal. A bond may not be tradable at or near it.

Where a close comes from

• For each bond and session the site takes the first of these that exists, and the basis column of the file says which one it was.
• market — end-of-day dealer pricing, received as a price table on each business day and matched to each bond by ISIN. When more than one table arrives in a day, the end-of-day table ranks above an afternoon one, and an afternoon one above a morning one. A close entered by hand by the site’s operator is also recorded as market.
• dmo — the closing price published by the Nigeria Debt Management Office, for Nigeria’s Eurobonds only. It ranks below a market close. The DMO publishes one to four days late, after the session’s close has been recorded, so it has not been the close for any session up to this version; since 28 July 2026 it serves as a cross-check.
• model — the site’s own model close, used only on a session with no market close for that bond. It starts from the bond’s last market (or, for Nigeria, DMO) price and moves it by what has happened since to US Treasury yields at the bond’s maturity, to market volatility (the VIX index) and to a spread factor for African sovereign bonds. For a euro bond the Treasury move is not applied. A model close more than 5 points away from the bond’s previous close is withheld, and the bond has no close that day.
• not recorded — a close taken before 3 September 2026, when the site began storing the source of each close.

How a close is checked

• Each market price table is checked line by line before it is stored. A line is refused if a price lies outside 1 to 200, if the bid is above the ask or if the bid–ask gap is wider than 5 points.
• Each quoted yield is checked against its price. A missing or implausible yield is left blank, with the reason in yield_note; a yield is never estimated to fill the gap.
• A whole table is refused if it is empty, unreadable, out of date or dated on a holiday.
• The operator is alerted to any bond without a close for five business days or more and to any close more than 5 points away from the previous one.
• A bond whose yields are not published (a price-only line) has a price and blank yields, with the reason in yield_note.

Conventions

• Prices are clean (without accrued interest), per 100 of the face value still outstanding, so they remain comparable after an amortising bond repays part of its principal.
• Yields are in percent and kept exactly as quoted with the close, to the date the quote is worked to — maturity or a call date. yield_to gives that date (recorded since 1 October 2026).
• Settlement is two business days after the trade (T+2), one business day (T+1) for South Africa’s US-registered bonds.
• Dates are ISO 8601 (YYYY-MM-DD) and times are UTC.

Corrections

• A close found to be wrong after it is stored is corrected or removed. The corrected figure replaces the old one; the site keeps one close per bond per session.
• A file already downloaded is not changed. Because the file ID is computed from the price rows, a file downloaded after a correction carries a different ID from one downloaded before it, so the two can be told apart.
• The record starts on 10 June 2026. Some closes in June 2026 were corrected or removed when the first checks were introduced.

Limits

• A close is indicative dealer pricing. It is not a composite or consensus price, and not evaluated pricing by a regulated pricing agent.
• Whether these prices may be used in a valuation is for the user, its valuation policy, its auditors and its regulator to decide. See Terms, clause 13.

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