It is also difficult to extrapolate a reliable credit curve from the spread between Jibar and Treasury bills, as the latter tend to be relatively illiquid due to their use as high-quality liquid assets (HQLA). Nonetheless, a crude measure for the risk premium would be to look at the spread between ZARONIA and the SARB’s policy repo rate.
It would be reasonable to expect that ZARONIA, as an unsecured rate, would be above the repo rate (secured rate) but remain very close to it. On average, the ZARONIA repo rate spread is about -15.5 basis points10, meaning that not only is ZARONIA close to the policy repo rate, but it is usually priced below the secured policy rate.