TreasuryOne Market Data Report Time: 08:19 Date: 2015/09/11

Currencies USD/ZAR EUR/ZAR GBP/ZAR AUD/ZAR EUR/USD ZAR/JPY

Prior Day Closing (2015/09/10) 13.6302 15.3527 21.0443 9.6333 1.1263 8.8481

Current (2015/09/11) 13.6542 15.4218 21.0955 9.6394 1.1295 8.8429

Libor Rates (2015/09/09) 1 Month 2 Month 3 Month 6 Month 12 Month

FRA Rates Interest Rates Safex O/N 1 Month Jibar 3 Month Jibar 6 Month Jibar 12 Month Jibar Repo Rate Prime Rate

Prior Month Closing (2015/08/28) 5.790 6.125 6.300 6.892 7.508 6.000 9.500

Prior Day Closing (2015/09/10) 5.790 6.133 6.300 6.933 7.642 6.000 9.500

3x6 FRA 6x9 FRA 9x12 FRA 12x15 FRA 15x18 FRA 18x21 FRA 21x24 FRA

Swap Rates Gold Gold USD/oz Gold ZAR/oz Gold ZAR/kg

Prior Month Closing (2015/08/28) 1 133.60 15 106.16 485 663.11

Current (2015/09/11) 1 111.10 15 172.05 487 781.56

Gold Forwards Gold 1Y FWD USD/oz Gold 2Y FWD USD/oz Gold 3Y FWD USD/oz

Prior Month Closing (2015/08/28) 1 133.86 1 134.30 1 134.57

Current (2015/09/11) 1 111.31 1 111.80 1 112.07

Gold Forwards Gold 1Y FWD ZAR/oz Gold 2Y FWD ZAR/oz Gold 3Y FWD ZAR/oz

Prior Month Closing (2015/08/28) 16 106.59 17 226.73 18 387.18

Current (2015/09/11) 16 211.81 17 364.87 18 615.43

R186 R158 R207

Prior Month Closing (2015/08/28) 8.32 5.872 7.816

Prior Day Closing (2015/09/10) 8.464 2.799 7.994

10 Year Treasury Yields USD EUR JPY

Prior Month Closing (2015/08/28) 2.182 1.962 0.379

Prior Day Closing (2015/09/10) 2.223 1.873 0.350

Bond Rates

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 12Y 15Y 20Y 25Y

Other Commodities Brent Crude Oil per barrel Uranium per lb Copper per ton Silver Platinum Rhodium Iridium Rhutenium Nickel per ton

USD Libor 0.2040 0.2686 0.3330 0.5390 0.8546

EUR Libor -0.1114 -0.0700 -0.0429 0.0363 0.1446

Prior Month Closing (2015/08/28) 6.600 6.790 7.070 7.240 7.440 7.590 7.700

Prior Day Closing (2015/09/10) 6.680 6.890 7.210 7.390 7.640 7.790 7.930

Prior Month Closing (2015/08/28)

EURIBOR -0.1040 -0.0630 -0.0350 0.0380 0.1580

Prior Day Closing (2015/09/10)

6.6693 7.0444 7.3690 7.5850 7.7650 7.9080 8.0200 8.1200 8.2000 8.2750 8.4130 8.5600 8.6000 8.5650

6.7572 7.1992 7.5170 7.7400 7.9150 8.0550 8.1700 8.2650 8.3450 8.4150 8.5390 8.6900 8.7300 8.6900

Prior Month Closing (2015/08/28) 50.05 36.90 5 095.00 14.60 1 018.05 815.00 500.00

Current (2015/09/11) 48.79 37.25 5 400.00 14.71 984.03 780.00 500.00

42.00 10 033.00

42.00 10 419.50

Market Commentary

Brazil: The BRL fell 1.8% to 3.8496 to the USD, the most among EM currencies, after the nation lost its investment-grade rating at Standard & Poor’s. The Ibovespa stock index dropped 0.3% to 46,503.99, trimming an earlier slump of 2.3%. Their state-owned oil producer Petroleo Brasileiro SA, which was also downgraded to junk, extended this year’s massive plunge. Yields on Brazil’s $4.3bn of bonds due in 2025 rose to the highest since they were first issued in 2013. So frankly speaking Brazil is rather pressured at the moment from both international markets as well as the continued heating in local Brazilian politics that has been causing a mass unrest throughout RSA’s fellow BRICS member since Rousseff's re-election. From a ZAR perspective, this has seemed to have aided weakening across the board against the majors yesterday which saw the USD/ZAR trade around the 13.90 level. However, the ZAR overnight actually pulled back somewhat which was in line with some renewed faith in Asia as a good investment option as well as some potential reshuffling of EM portfolios out of Brazil and into the RSA market. Yesterday’s sharp ZAR broad weakness was not purely driven by a further decrease in EM investor appetites but also more fears that China is slowing down at a faster pace. The strange this is that China is not going into a deflationary period by any means but it’s just simply not going to reach its target of 7% growth and that is causing investors to threw a tantrum thus psychological aspects of the market is that people are simply scared of the fact that China may not be sprinting anymore but rather jogging. Today we expect the market to follow on from the Asian session and see the ZAR trading somewhat stronger to end the week on a positive note. Today’s light economic data releases will make no difference to the underlying issues currently circulating around global markets, but could provide intraday turning points and some volatility should there be breaks of critical levels. All focus now is on next week’s meeting of the Fed meeting, and some still believe the Fed could go ahead with its first rate hike, even though the consensus expects a hike at a later date.

11 Sept TreasuryOne Daily.pdf

Page 1 of 1. TreasuryOne Market Data Report. Time: 08:19. Date: 2015/09/11. Libor Rates (2015/09/09) USD Libor EUR Libor EURIBOR. 1 Month 0.2040 ...

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