The document discusses a correlation swap and analyzes historical periods where USDZAR-EURZAR correlation realized at lower levels, specifically during 2010-2011 and 2015. It highlights the impact of EURUSD spot rates and volatility on the correlation with ZAR.
doj/DataSet10/EFTA01387685.pdf
{"document_type":"correspondence","reference_numbers":["DB-SDNY-0090763","SDNY_GM_00236947","EFTA01387685"]}