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EFTA Document EFTA01387685
Title Matchefta-efta01387685
Case Filesd-10-EFTA01387685Dept. of JusticeEFTA Document EFTA01387685
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Case File
sd-10-EFTA01387685Dept. of JusticeEFTA Document EFTA01387685
Other
Following the call yesterday we have attached an example termsheet for a correlation swap. We have also looked at 2 historical periods where USDZAR-EURZAR correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the realized correlation during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower realized correlation is driven by significant trends and moves in EURUSD particularly relative to ZAR. This coincided
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Dept. of Justice
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sd-10-EFTA01387685
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