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Fixed-income analysis

  • This topic has 0 replies, 1 voice, and was last updated Sep-18 by JackLaw.
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      Assume there are 2 SA bond traders. Trader A has a short bond position of R50m nominal in R2048’s (selling for 9.36%) and trader B has a long position of R50m nominal in R2023’s (selling for 8.43%). Indicate (i) the likely 3 month repo rates in the current market; (ii) P/L and return they can expect if market rates had to increase or decrease by 50 basis point at the end of the 3 month period; and (iii) if A and B were USA traders and rates remained the same, what would be the P/L and return outcome if the current $/ZAR 14.40 exchange rate were to change to 15 or 14?

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