The bond market impact of the South African Reserve Bank bond purchase programme

The trade-by-trade and quote data allow for a careful comparison of three separate categories of events and their effects: (i) the announce- ment of the decision of the South African Reserve Bank (SARB) to actively intervene in the bond market on 25 March 2020; (ii) the actual interventions by SARB; and (iii) the spillovers of the interventions of advanced economy central banks, particularly the F. [...] The R186 (maturing in 2026) is the current benchmark, and the R2030 (maturing in 2030) is the standard bullet 10-year bond;16 • The yield, quantity, price and total value of the trade; • The two parties to the trade. [...] A negative value of an impact estimate implies that over the time span, the event caused the spread, volatility of the spread, yield or volatility of the yield to decline compared to what it would have been in the absence of the event. [...] A negative value of an impact estimate implies that over the time span the event caused the spread, volatility of the spread, yield or volatility of the yield to decline compared to what it would have been in the absence of the event. [...] A positive value implies that the event caused the spread, volatility of the spread, yield or volatility of the yield to increase compared to what it would have been in the absence of the event.