Introduction. Please read carefully the important disclaimer at the end of this publication. Money Market Index

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Steven Weaver
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1 Moe Make Iex Ma 2008

2 Iouco The ake expesse a ee fo a pove ex agas whch oe ake pofolos coul be bechake as he accual ehoolog apple avalable ces ae ffcul fo asse aages o ach he ex. The esg a coposo of he ces coveg a age of sho e ees ae aues, s he esul of he collaboao bewee he Bo Exchage of Souh Afca Le (BESA) a he Ivese Maagee Assocao of Souh Afca (IMASA). Po o he esg, he ees of he vesos wee full eseache. Please ea caefull he poa sclae a he e of hs publcao Moe Make Iex 0

The esg a coposo of he ces coveg a age of sho e ees ae aues, s he esul of he collaboao bewee he Bo Exchage of

3 Objecves of he Iex BESA a IMASA jol pepae a quesoae a sbue o a goup of fu aages fo copleo. The pupose of hs quesoae was o pese a se of opos fo whch he ake ca ake a seleco such ha a boa cosesus ca be eache fo he cosuco of a ew oe ake ex. The Exchage cosolae he esposes eceve fo he fu aages a esge he Moe Make Iex (MMI) wh he objecve o pove a bechak fo he oe ake vesos Souh Afca ha eplcaes o cs ake behavo. To acheve hs objecve, he ex was esge o pove: A 9 Moh JIBOR ae; ao o he exsg Da, Moh, 6 Mohs a 2 Mohs aes. Duao of 90 as le wh oe ake equees. Dal fequec of ag. Dae coveo of ofe followg. JIBOR ae as pu aa. Cash flows scoue off he BESA Moe Make (BMM) Cuve. Iex Cosuco Mehoolog The MMI wll be cosuce fo fve aes, a ovegh, 3 oh, 6 oh, 9 oh a 2 oh JIBOR aes. Pape s bough a he JIBOR ae o busess as a he above eoe aues a hel o au. As such, fve sub-ces ae aae wh he ex. Each sue he gve ex s ake-o-ake al off he BMM Cuve. The sub-ces wll be weghe accog o ake capalsao base o log e ake suppl. The aveage eu s he calculae ove sequeal as a lke o he pevous a s ex value o geeae he cue a s ex value. A copose ex, calculae as he weghe aveage of hese sub-ces, wll also be geeae. Iex Chaacescs Base Dae 03 Jaua 2006 Base Iex 00 Pcg Publshg Fequec Re-Weghg Fequec Each sue he gve ex s ake-o-ake al off he BMM Cuve. The ex wll be publshe al afe a. Weghgs wll be ooe a chages wll be ae accog o ake coos b BESA cosulao wh ake pacpas. Calea + Da Cou Coveo The Iex s calculae eve Souh Afca busess a subjec o he ofe followg a cou coveo. 02 Moe Make Iex Moe Make Iex 03

The Exchage cosolae he esposes eceve fo he fu aages a esge he Moe Make Iex (MMI) wh he objecve o pove a bechak fo he oe ake vesos Souh Afca ha eplcaes o cs ake behavo.

4 Ipu Raes The ew ex wll use JIBOR as he pu aes, whch s a flee aveage of he e-bak epos aes offee b esgae cobuo baks fo aues agg fo ovegh o ea. The JIBOR cosuco ehoolog ocue ca be owloae fo he BESA webse. The shoe aes ae usuall que elable a e o accuael eflec ake coos a easuee e.. Souh Afca Bechak Ovegh ae Whee: A Aveage eu Mohl eu assue o a Nube of as 3 b Sep 4: Calculae, a bewee successve busess as.. 3 Moh Johaesbug Ie-Bak Offe Rae (JIBOR) 6 Moh JIBOR b v. 9 Moh JIBOR v. 2 Moh JIBOR Seps fo calculao of Ovegh Depos Sub-Iex Sep : Sep 2: Souce Souh Afca Bechak Ovegh ae (SABOR) Calculae ohl eu Whee: Valuao ae Pevous busess a Sep 5: The eu, ove as b + b 3 ( A) Whee: Expece ohl eu o a SABOR o a, ( expesse as peceage) Sep 6: The level of he sub-ex, o valuao ae s I I ( ) I + Sep 3: Fo valuao a, calculae aveage eu ove he pas 3 busess as A. hp:// 04 Moe Make Iex Moe Make Iex 05

. Souh Afca Bechak Ovegh ae Whee: A Aveage eu Mohl eu assue o a Nube of as 3 b Sep 4: Calculae, a bewee successve busess as.. 3 Moh Johaesbug Ie-Bak Offe Rae (JIBOR) 6 Moh JIBOR b v. 9 Moh JIBOR v.

5 Seps fo calculao of a Sub-Iex wh -Moh Maxu Mau The followg able lss he sub-ces wh -oh au a he geeag sues: Sub-Ices Isue 3 Moh 3 Moh JIBOR 6 Moh 6 Moh JIBOR 9 Moh 9 Moh JIBOR 2 Moh 2 Moh JIBOR O a gve valuao ae, pape s bough a hel o au.the fuue cash flow s scoue al usg he BMM Cuve. The chage pese value ove cosecuve busess as s easue as eu. Ths ehoolog s apple ul we aa a pofolo such ha pape s bough a eu s easue eve cosecuve busess a. The aveage of he eu bewee busess as fo pape ha aues o o afe valuao a bu befoe he au of pape bough o valuao ae s calculae. Sep: O a pape s bough a hel o au. The fuue value faco of pape bough o fo au bo s gve b: Whee FV, Mau of pape ( ohs he fuue ofe followg) Tae ae ( ) ( + * ) 365 x JIBOR ae coespog o au {3 Moh, 6 Moh, 9 Moh, 2 Moh}; expesse as peceage. Dscou Faco Sep 2: The scou faco o valuao ae fo au s efe b: Whee Valuao ae Mau ae JIBAR ae o valuao ae fo au ; expesse as peceage Sep 3: Fo valuao a, he pese value of pape wh au, bough o ae ae s gve b Whee: Sep 4:,, FV ', ( +, *( ) 365 PV FV,, Dscou faco o valuao ae fo au Reepo aou of pape bough o ae ae The eu s he easue b he ao of he pese value of pape o valuao a elave o valuao a. PV PV, ( Whee: PV Reu o valuao a Pese value of pape o valuao a PV Pese value of pape o valuao a 06 Moe Make Iex Moe Make Iex 07

Ths ehoolog s apple ul we aa a pofolo such ha pape s bough a eu s easue eve cosecuve busess a.

6 Sep 5: The aveage eu s he calculae fo a pofolo of sues whch aue o o afe valuao ae bu befoe he au of he sue bough o valuao ae Copose Iex A copose ex s calculae fo he weghe su of he fve ces. R, I w Ovegh Depos Sub-Iex 5 % 3 Moh Sub-Iex 25 % Whee: R The ex o a fo a Aveage al eu fo a gve pofolo o valuao ae Nube of sues cue pofolo. Ths s equal o he ube of cosecuve busess as ove he aveagg peo. (Sce pape s bough o ae as a hel o x ohs he fuue (ofe followg), s possble ha oe ha oe pape aues o a gve busess a) oh pofolo s: I ( ) I R + 6 Moh Sub-Iex 25 % 9 Moh Sub-Iex 5 % 2 Moh Sub-Iex 20 % The weghe su s calculae b: I cop,, The above weghs wee eee b ake pacpas a wll be closel ooe a chage accog o ake coos b BESA cosulao wh ake pacpas. 5 wi Pecso a Roug All values ae calculae a hel o IEEE ouble pecso (5 sgfca gs) excep fo he ex values whch wll be publshe oue o hee ecal places. 08 Moe Make Iex Moe Make Iex 09

Ths s equal o he ube of cosecuve busess as ove he aveagg peo.

7 Appex BESA Moe Make Yel Cuve Calculaos. Iouco BESA has bul a ew oe ake cuve whch wll be use fo scoug cash flows of he Moe Make Iex as well as seve as a saase cuve o be use fo pcg ak-o-ake pofolos o a al bass. To f he scou facos of a pa ae el cuve, a echque calle boosappg s followe. The boosap echque s use o eee scou facos fo ake aes of facal sues ha pa eeae coupos befoe fal au. I hs ae a cosse se of scou facos wll be eee ha wll fall esul o he sae els o au as sae b he ake aes. 2. Daa Colleco The aes use fo he el cuve cosuco wll be ae avalable a eques. 3. Calculao of Dscou Facos Cash flows a ffee es ae o ecl copaable. To copae cash flows, s assue ha ecevg a fuue pae s equvale o ecevg a salle pae oa a vesg a zeo coupo sue. The pese value of a fuue cash flow s efe b: Whee : PV FV pese value of cash flow fuue value of cash flow ees ae PV a cou faco FV ( + ) The a cou faco s he ao of ube of as peo ue coseao ove ube of as ea epeg upo he a cou coveo. The scou faco s efe b: Cose a sgle sue wh pese value, scou facos a cash flows o such ha: whch clues a epae of he ooal aou a au. The equao cao be solve uquel a heefoe a sse of equaos ca be evelope o solve he scou facos uquel. Ths s acheve b solvg he scou faco of he ex au es of he peceg au s scou faco. Defe: coupo ae fo he au. k k h assue coupos ae pa se-auall. ube of as pe ea. k ube of ees as coupo peo fo he au The he cash flow fo he au s gve b: h C C k h Ck, k /2 The scou facos fo aues ha pa o eeae coupos s gve b: Whle he scou facos fo aues ha pa eeae coupos s boosappe b eas of he followg equao: ( + ) N N (, ) N / N + / k k k ( ) N C+ C C + N + C k N k C k, ( N + Ckk, ) k h o 0 Moe Make Iex Moe Make Iex

To f he scou facos of a pa ae el cuve, a echque calle boosappg s followe. The boosap echque s use o eee scou facos fo ake aes of facal sues ha pa eeae coupos befoe fal au.

8 Fo a sgle sue of au wh pese value of he he above equaos s eplace wh. 4. Iepolao The valuao of os poucs wll eque he calculao of scou facos fo aes bewee he saa el cuve aes. The followg eho uses lea epolao of couous copoue zeo-coupo aes z cc,.e. he sceel copoue zeo-coupo aes ae covee o couous-copoug equvales: Theefoe, A + Y e e zcc zcc N Abou BESA Bo Exchage of Souh Afca Le (BESA) s a epee, lcese exchage, cosue as a publc copa, a esposble fo opeag a egulag he eb secues a eesae evaves akes Souh Afca. BESA was gae s exchage lcece 996 a ove he pas e eas has bee a he foefo of ake evelopes Souh Afca. I Decebe 2007 BESA eee a ew ea, successfull coveg fo a uual assocao o a publc copa. As he ec egulao of he bo ake, BESA opeaes wh he faewok of he Secues Sevces Ac 2004 a a se of ules a ecves appove b he Facal Sevces Boa. The Souh Afca bo ake s a leae aog eegg-ake ecooes. Tuove epoe o BESA 2007 eache a eco R3.8 llo. A Decebe 2007 BESA ha lse soe 967 eb secues, ssue b 04 soveeg a copoae boowes, wh a oal ake capalsao of R862 bllo. Abou IMASA The Ivese Maagee Assocao of Souh Afca (IMASA) s a ae assocao, esablshe Sepebe 2002, epeseg he eess of vese aagee copaes of Souh Afca. Mebeshp of IMASA copses he cou s lages, a a salle, Isuoal Asse Maages a Pvae Cle Asse Maages. As a 30 Jue 2007, 25 asse aages ae ebes of IMASA, aagg oe ha R2 llo of asses. Ove he pas fve eas ebeshp of IMASA has expae a he Assocao has a eocac sucue allowg all ebes o have boa epeseao, especve of he sze of he ebe copa. A copa egsee wh he Facal Sevces Boa ha aages oe (.e. akes asse allocao a sock seleco ecsos) o behalf of h paes ca becoe a ebe of IMASA. z cc ( ) L z z2 If we have a pa of zeo aes a wh kow scou facos a we ca solve fo a ohe eeae po : 2 z cc ( ) L Lea epolao o he couous copoue zeo aes leas o he followg foula; Dsclae Alhough all easoable cae has bee execse o esue ha he coe of he bookle s coec a accuae, he Bo Exchage of Souh Afca Le (BESA) a Ivese Maagee Assocao of Souh Afca (IMASA) o o accep labl of whasoeve aue of a loss, aage o expese ha a be cue as a ec o ec cosequece of elace place upo he coe of hs bookle. Use of coes of hs bookle s a use s ow sk. The foao coae hee s o ee as a eosee of a pacula vese. Ths bookle a be epouce o sbue, subjec o ackowlegg BESA as he souce. BESA eas copgh o all aeal coae hee. 2 Moe Make Iex

Le (BESA) s a epee, lcese exchage, cosue as a publc copa, a esposble fo opeag a egulag he eb secues a eesae evaves akes Souh Afca.

9 Iex coacs Bo Exchage of Souh Afca Le Reg o. 2007/03444/06 Bea Classes Bo Exchage of Souh Afca Le Wfe Mooa Bo Exchage of Souh Afca Le Ivese Maagee Assocao of Souh Afca Leo Caphe lcaphe@asa.co.za Bulg bee akes

co.za Wfe Mooa Bo Exchage of Souh Afca Le +27 25 444 wfe@boexchage.co.za www.

- Models: - Classical: : Mastermodel (clay( Curves. - Example: - Independent variable t

- Models: - Classical: : Mastermodel (clay( Curves. - Example: - Independent variable t Compue Gaphcs Geomec Moelg Iouco - Geomec Moelg (GM) sce e of 96 - Compue asssace fo - Desg: CAD - Maufacug: : CAM - Moels: - Classcal: : Masemoel (cla( cla, poopes,, Mock-up) - GM: mahemacal escpo fo