2025-06-09-花旗集团-中东欧_中东和非洲外汇及利率_收取南非兰特2年期对2年期掉期利率与美国2年期对2年期掉期利率_9页_201kb

Citi Research: ZAR 2y2y vs US 2y2y Swap Analysis

Key Trade Details

• Citi received the 2y2y ZAR vs. US 2y2y swap trade, which rolls down positively at +6bp/month.
• Current spread stands at 383bp (7.44% for ZAR vs. 3.61% US).
• Target levels: 320bp and 415 bp. A sell order could be considered if rates reach 320bp, while buying might be optimal at 415bp.
• Trade size is $16k Dv01.

Market Condition and Rate Regime

• SA interest rates are entering a new regime characterized by gradual medium-term CPI convergence (inflation targeting reinforced by new levels), supported by underperforming growth.
• Analysts believe that term-structure "receivers," particularly the belly of the curve, are currently appropriate.
• There is discussion of the SARB adopting a 3% inflation target by H2 2025, with signs of closer alignment between SARB and National Treasury.

Economic Growth and ReER Trends

• Monetary conditions suggest slightly looser monetary impulses over the last six months, primarily due to a small drop in real effective exchange rate (REER).
• Energy price increases in local currency boosted the South African terms of trade significantly in 2025.
• Growth remains constrained, potentially leading to further negative inflation surprises down the line.

Inflation and Outlook

• Food inflation pressures are not materializing; maize futures show a 13.3% YTD drop.
• Forecasts indicate headline inflation may rise slightly toward 3.5% by year-end, though uncertainty remains due to evolving macro risks.
• CP views indicate staying overweight on ZAR based on the current risk-balanced setup.

Risk Areas

• Potential macro risks include foreign policy events such as FATF grey listing, the AGOA Forum, and a July BRICS summit.
• FX pass-through effects have returned to elevated levels due to global shifts since 2022, though SARB models show minimal change from recent levels.
• After a high political risk period, the current government is expected to stabilize ahead of the October budget.

Investment Position

• Staying overweight on ZAR while monitoring inflation data and upcoming events for potential trade adjustments.