EFTA01379421.pdf

22 December 2017 EM Currency Handbook 2018: Still Fuel in the Tank Regulatory framework and approach ▪ The South African Reserve Bank regulates exchange rate policy and is responsible for implementing monetary Policy (bitzammy..Le_semkenEse_ael. ▪ The official policy rate is the 7-day repo rate. To ensure that the repo rate is effective, the SARB drains liquidity from the market in order to compel the banks to borrow from the SARB at the repo rate. The SARB drain liquidity using the issuance of SARB debentures, long-term reverse repos and FX swaps. Repo and SARB debenture auctions are conducted on a Wednesday. Long-term-reverse repo operations are conducted on Mondays. The SARB also holds supplementary 1-day (reverse-) repo tenders at the repo rate and has a standing facility at the repo rate +/-50bp. The statutory reserve requirement is set at 2.5%. ▪ The South African rand is a fully accessible, fully convertible currency for non-resident investors. There are residual controls on the actions of residents, but these mostly refer to the lending of rand. ▪ ZAR transactions can be settled in CLS. Onshore ZAR products FX spot Avg. ticket size: USD 10mn Bid/ask spread: ZAR 100 pips Avg. daily volume: USD 4bn Ref. source: Reuters Page <ZAR=> F.< forwalCilSW8p Avg. ticket size: USD 50mn (FX forwards); USD 100mn (FX swaps up to 1Y) Liquid tenors: <1Y Bid/ask spread: ZAR 0.0:3 - 0.05 Avg. daily volume: USD 1 bn (FX forwards); USD 9bn (FX swaps) FY options Avg. ticket size: USD 30mn Liquid tenors: <1Y Bid/ask spread: 0.5 vols fiS + IRA Avg. ticket size: USD 5k DV01 Liquid tenors: 1 - 10Y IRS; to 21X24 FRA Bid/ask spread: 3 bps Fixing: 3M JIBAR Ref. source: Reuters Page <DBMIN/1> Government T-bills and bonds Regulatory: Spot bonds are exchange-traded. In 1996, control of the market passed from the Bond Exchange of South Africa (BESA) to JSE. Currently more than 375 government and corporate bonds are listed on BESA. Bond settlement and custody are managed locally at the Central Securities Depository. There are no restrictions on non-resident ownership of South African government bonds or T-bills. Liquid tenors: 2Y - 30Y Avg. ticket size: USD 5k DV01 Bid/ask spread: 2 bps Deutsche Bank Securities Inc. Page 83 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076886 CONFIDENTIAL SDNY_GM_00223070 EFTA01379421