Economic and Market Research

Morning Sheet

27 October 2011

MARKET SNAPSHOT OVERVIEW

USD/ZAR
EUR/ZAR
3m JIBAR
R157
R186
All Share
Gold $/oz
Brent $/bbl

Change
0.25%
0.00%
0 bp
0 bp
2 bp
0.23%
1.17%
0.80%

Close
7.94
1.39
5.58%
6.65%
8.34%
31736
1725
111.1

Rationale

DATA RELEASE CALENDAR

Country
South Africa

Data
SA: Producer Price Inflation (PPI)

SA Time
11:30

Period
Sep

Latest
9.6

Forecast
10.4

MONEY MARKET
General

SARB Repo
Prime Rate

Last
27-Oct-11
5.500%
9.000%

Previous
26-Oct-11
5.500%
9.000%

Chart: JIBAR Curve Comparison (weekly change)

Last change date

18-Nov-10
18-Nov-10

6.000%
5.800%

Johannesburg Interbank Agreed Rates (JIBAR)

Term
SAFEX O/N
1M
3M
6M
12M

Last
27-Oct-11
5.240%
5.440%
5.575%
5.740%
5.909%

Previous
26-Oct-11
5.240%
5.440%
5.575%
5.740%
5.909%

Change (bps)
0.0
0.0
0.0
0.0
0.0

5.600%
5.400%
5.200%
1 Month

3 Month

20-Oct-11

Negotiable Certificates of Deposit (NCDs)

Term
1 Month
3 Month
6 Month
9 Month
12 Month

Last
27-Oct-11
5.425%
5.650%
5.750%
5.813%
5.913%

Previous
26-Oct-11
5.400%
5.650%
5.750%
5.825%
5.925%

6 Month

12 Month

27-Oct-11

Chart: NCDs Curve Comparison (weekly change)

Change (bps)
2.5
0.0
0.0
-1.3
-1.3

9 Month

6.000%

5.800%
5.600%

5.400%
5.200%

Chart: SARB Repo Rate and 3-month JIBAR

SAFEX O/N

1M

7.00

3M

20-Oct-11

6M

12M

27-Oct-11

Chart: FRA Curve Comparison (weekly change)

6.50
5.55

6.00

5.50
5.45

5.50

5.40

5.00
Jul-10

5.35

Oct-10

Jan-11
SARB Repo

27-Oct-11

Apr-11
3M JIBAR

Jul-11

Oct-11

5.30
5.25

1X4

2X5

3X6

4X7

5X8

6X9

7X10

8X11

9X12 12X15

20/10/2011

5.50

5.48

5.43

5.38

5.36

5.32

5.32

5.34

5.43

5.54

27/10/2011

5.49

5.46

5.39

5.36

5.32

5.30

5.30

5.32

5.33

5.45

Page 1

Economic and Market Research

Morning Sheet

27 October 2011

INTEREST RATES
General

Chart: ALBI Clean Price Index

TRI Average
Yield
8.06
7.88
8.77

Index
ALBI
GOVI
OTHI

Modified
Duration
5.87
5.59
7.39

Convexity

174.00

57.10
50.90
91.00

172.00

168.00

All Bond Index: Term Split

Term
1-3 Years
3-7 Years
7-12 Years
> 12 Years

170.00

Clean Price
Index
112.61
166.25
201.11
194.78

Interest
Yield
7.27%
9.17%
7.82%
8.72%

TRI Average Yield

5.96
7.04
8.00
8.62

166.00

164.00
162.00
160.00
Jul-2011

Aug-2011

Sep-2011

Oct-2011

Government Primary Dealer Bonds: Trading Statistics

Bond Code
R206
R201
R157
R203
R204
R207
R208
R186
R213
R214

Maturity
15-Jan-2014
21-Dec-2014
15-Sep-2015
15-Sep-2017
21-Dec-2018
15-Jan-2020
31-Mar-2021
21-Dec-2026
28-Feb-2031
28-Feb-2041

Coupon
7.50%
8.75%
13.50%
8.25%
8.00%
7.25%
6.75%
10.50%
7.00%
6.50%

Open
5.950
6.220
6.629
7.415
7.780
7.879
7.949
8.300
8.721
No

High
5.982
6.325
6.775
8.143
7.808
7.990
8.075
8.460
8.770
Spot

Low
5.948
6.210
6.615
7.405
7.675
7.879
7.940
7.797
8.720
Trade

Last
5.982
6.250
6.630
7.420
7.690
7.900
7.970
8.335
8.770

Coupon
13.00%
9.97%
12.50%
10.50%
10.70%
10.00%

Companion Bond
R 206
R 208
R 157
R 208
R 208
R 208

Spread (bps)
56.5
145.0
36.0
110.0
150.0
56.0

MTM
6.525
9.420
7.010
9.070
9.470
8.530

All-in-price
107.889
103.664
126.416
109.842
109.221
113.128

Rand Water and Peer Bonds

Bond Code
RW02
RW21
WS04
TN20
UG21
ES23

Maturity
31-Jul-2012
21-Apr-2021
30-May-2016
17-Sep-2020
02-Mar-2021
25-Jan-2023

Chart: RW02 vs R206 Companion Bond Yield

Chart: RW21 vs R208 Companion Bond Yield

10.00

Clean Price
104.613
103.391
121.142
108.576
107.492
110.443

8.00

9.00
7.00

8.00
6.00

7.00
6.00
Jul-2011

Aug-2011

Sep-2011

RW21

Oct-2011

1Y
2Y
3Y
5Y
7Y
9Y
10Y

27-Oct-11

Aug-2011

Sep-2011
RW02

R 208

SA Swap Rates
Term

5.00
Jul-2011

Oct-2011

R 206

Chart: SA Swap Curve Comparison (weekly change)

Last
27-Oct-11
5.39
5.55
5.87
6.60
7.11
7.40
7.47

Previous
26-Oct-11
5.42
5.62
5.95
6.69
7.20
7.49
7.56

Change

8.00

-0.03
-0.07
-0.08
-0.09
-0.09
-0.09
-0.09

7.00
6.00
5.00

1Y

2Y

3Y

5Y

7Y

9Y

10Y

20/10/2011

5.43

5.61

5.94

6.69

7.23

7.50

7.59

27/10/2011

5.39

5.55

5.87

6.60

7.11

7.40

7.47

Page 2

Economic and Market Research

Morning Sheet

27 October 2011

FOREIGN EXCHANGE
Forex Spots
Unit
USD
GBP
EUR
JPY
CHF
AUD

USD
1.00
1.60
1.39
76.18
0.88
1.04

Change
-0.16%
-0.01%
-0.12%
-0.34%
-0.28%

ZAR
7.940
12.684
11.041
9.593
9.011
8.257

Change
-0.22%
-0.06%
-0.19%
-0.12%
0.15%
0.06%

Last
0.037
0.108
0.203
0.297
0.388

Previous

Change
0.037
0.108
0.203
0.297
0.388

Outright
7.977
8.048
8.143
8.237
8.328

Rand Forwards
Term
1 Month
3 Month
6 Month
9 Month
12 Month

Chart: USD/ZAR Exchange Rate

Chart: EUR/ZAR Exchange Rate

11.5
11.3

8.5

11.1
10.9

10.7
7.5

10.5

10.3
7

10.1
9.9

6.5

9.7

6
Jul-2011

Aug-2011

Sep-2011

9.5
Jul-2011

Oct-2011

Aug-2011

Sep-2011

Oct-2011

GLOBAL MARKETS OVERVIEW

Emerging Markets Market View (B.R.I.C.S.)
Primary Equity Index
Value
Change
58,926.54
3.12
1,524.99
1.68
17,288.83
0.20
2,435.61
0.34
32,354.73
1.95

Country
Brazil
Russia
India
China
South Africa

Currency (USD)
Change
Value
-1.48
1.733
-1.93
30.000
-0.63
49.510
0.08
6.360
-2.68
7.727

Credit Default Swap (CDS)

Value
Change
138.12
-19.51
189.75
-38.25
125.14
-23.81
159.49
-21.50

Currency (USD)
Change
1.64
1.64
1.64
1.64
-

Credit Default Swap (CDS)

Value
Change
995.74
-114.90
409.54
-47.29
325.67
-54.33
39.63
-1.13

Developed Markets Market View (P.I.G.S.)

Primary Equity Index
Value
Change
5,986.56
2.51
16,786.59
4.45
811.11
4.82
9,210.80
4.28
1,267.98
2.09

Country
Portugal
Italy
Greece
Spain
USA

Value
1.413
1.413
1.413
1.413
1.000

Chart: Emerging Markets CDS Change

Brazil

Russia

China

Chart: Developed Markets CDS Change

South Africa

Portugal

0.00

0.000

-20.00

-50.000

-40.00

-100.000

-60.00

Spain

USA

-150.000
Daily Change

27-Oct-11

Italy

Weekly Change

Daily Change

Weekly Change

Page 3

Prepared by: D Kokke

Treasury Administrator

Authorised by: S Budhoo

Treasury Manager: Front Office