Treasury Market Update.........

29th September 2016.........

FOREIGN EXCHANGE MARKET

News
> The Australian dollar rallied to a three week high of 0.7710 against the USD
bolstered by a renewed risk-on wave after the OPEC clinched a first output cut
deal in eight years and restored investors confidence back into markets.
Moreover, the Norwegian crown and the Canadian dollar also gained across the
board on the OPEC deal

> The Japanese Yen edged lower to 101.45 against the greenback in Asian trade
this morning after the release of disappointing retail sales data for the month of
August.

> The US dollar had a relatively quiet session against a basket of major currencies,
with EURUSD trapped within its recent narrow ranges. The greenback had only
little support from US economic data releases yesterday, even though US
durable goods orders came out better than expected in August.

> Yesterday the Bank of Mauritius intervened on the domestic foreign exchange
market at the bid rate of MUR 35.48 per USD.

> The Pound initially dropped to a low of 1.2980 against the USD yesterday after
BoE Deputy Governor Minouche Shafik indicated that more stimulus was
necessary. However, the price staged a short-covering and rebounded to 1.3024
in New York session ahead of the release UK GDP reading due for later today.

> The South African Rand weakened to USD 13.61 on the back of better than
expected US durable goods sales data.

> The Canadian dollar is the clear winner this morning on the local market
posting a gain of nearly 40 cents as it benefits from the boost in oil prices,
which has also pushed the Australian and New Zealand dollar higher.
> The US dollar trades higher versus the rupee after the local Central bank
intervened on the market providing some support as well for the two other
major currencies, namely the euro and the pound sterling.

Daily Technical View

Commodity-linked currencies surged yesterday after OPEC reached an agreement to limit production levels, boosting oil prices . EURUSD was again confined to narrow
ranges, finding support at 1.1180 before climbing to a high of 1.1236. Intraday, price action at the key resistance of 1.1260/80 should be closely monitored as a convincing
break above would shift focus to 1.1345/65. As long as 1.1260 holds, a re-test of 1.1180 support level cannot be ruled out. 1.1120/40 should be strong enough to hold
any further decline.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.91

0.15

28.18

0.16

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.88

26.88

26.85

28.20

28.26

28.35
41.70

CNYMUR

5.21

0.01

5.48

0.01

EURMUR

39.54

39.70

39.92

41.14

41.36

EURMUR

39.49

0.19

41.05

0.20

ZARMUR

2.57

2.54

2.50

2.69

2.67

2.64

JPYMUR

34.58

(0.19)

36.12

(0.19)

USDMUR

35.16

35.23

35.27

36.60

36.71

36.86

GBPMUR

45.80

45.93

46.09

47.66

47.85

48.17

ZARMUR

2.58

(0.02)

2.70

(0.02)

USDMUR

35.15

0.09

36.54

0.10

GBPMUR

45.77

0.20

47.58

0.21

EURMUR

EURUSD

GBPMUR

USDMUR

GBPUSD

USD INDEX

1.3550

36.85

98.00

41.30

1.1400

48.80

1.3400

36.70

97.00

41.00

1.1250

48.30

1.3250

36.55

96.00

40.70

1.1100

47.80

1.3100

36.40

95.00

40.40

1.0950

47.30

1.2950

36.25

94.00

1.0800

46.80

1.2800

36.10

4-Sep

9-Sep

14-Sep

19-Sep

24-Sep

29-Sep

4-Sep

Previous Day Trading Levels

9-Sep

14-Sep

19-Sep

24-Sep

GBPUSD

40.10

USDMUR

49.30

GBPMUR

1.1550

29-Sep

USD INDEX

41.60

EURUSD

EURMUR

Offer

Today

93.00
3-Sep

8-Sep

13-Sep

18-Sep

23-Sep

28-Sep

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,228.30

0.61

AUDUSD

0.7691

0.7710

0.7684

0.7688

S&P 500

2,171.37

0.53

EURUSD

1.1215

1.1236

1.1212

1.1230

FTSE 100

6,849.38

0.61

GBPUSD

1.3014

1.3058

1.3012

1.3021

DAX

10,438.34

0.75

USDJPY

100.67

101.61

100.66

101.64

NIKKEI 225*

16,738.31

1.66

USDCHF

0.9705

0.9717

0.9702

0.9716

HANGSENG*

23,696.69

0.33

USDCNH

6.68

6.69

6.68

6.68

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

Prior

29-Sep

12 30

US

Initial Jobless Claims

Sep

260K

252K

29-Sep

12 30

US

GDP Annualized

Q2

1.3%

1.1%

29-Sep

14 00

US

Pending Home Sales (MoM)

Aug

0.0%

1.3%

29-Sep

20 00

US

Fed's Yellen speech

This commentary is for information only, and the comments and forecasts are intended to be of a general nature, and are current at the date of issue. This document is not intended as an offer, solicitation, or recommendation to buy or
sell financial instruments or for any individual investment.
Source: MCB Treasury, Reuters, Bloomberg, Bank of Mauritius

Treasury Market Update.........

29th September 2016.........

FIXED INCOME
News
> Treasury yields ended higher yesterday after the OPEC agreed on the need to
cap oil production sent sparked a late-day rally in stocks.
> Members of the group reached an understanding that a cut in production was
needed to lift oil prices, but will wait until November to complete a plan.

> From the auction for the Re-Opening of the 3.40 percent Three Year
Government of Mauritius Treasury Notes, the Bank of Mauritius received a
total of 28 bids from which 16 were accepted at the weighted yield of 3.20
percent and nominal value of MUR 1,500.0 Mio.
> Tomorrow the Bank of Mauritius will hold auction for Treasury Bills with
maturities of 91, 182 and 364 days and nominal value of MUR 2,000.0 Mio.

> Higher oil prices tend to push down bond prices by fueling risk appetite and
raising inflation expectations.
> The yield on the two-year note was up 0.8 basis point at 0.754 percent, while
that on the 10-year note rose one basis point to 1.567 percent.

Market Highlights
Local Secondary Market

Government Benchmark Bond Yields (%)

Bid (%)

Offer (%)

91 to 135

2.35

2.15

US Bonds

Key Central Bank Rates

2 Year

5 Year

10 Year

0.766

1.146

1.587

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.105

0.177

0.680

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.58

2.38

German Bonds

-0.695

-0.591

-0.133

BoE Bank Rate

0.25

0.50

241 to 300

2.60

2.40

ECB Ref. Rate

0.0

0.0

301 to 364

2.65

2.45

RBA Cash Rate

1.50

1.75

Local Treasury bills Market

Money Market Rates

4.00

Weighted Average Yield

3.50
364

3.00
2.50

182

LIBOR (%)

1 Week

1 Month

3 Months

6 Months

EUR

-0.389

-0.378

-0.325

-0.216

USD

0.448

0.524

0.838

1.234

GBP

0.242

0.266

0.376

0.526

EURIBOR

-0.379

-0.371

-0.301

-0.201

JIBAR

n/a

7.117

7.358

7.958

2.00
91

Indicative Generic Swap Rates* (%)

1.50

2yr

5yr

7yr

10yr

EURIBOR - 3m

-0.337

-0.303

-0.159

0.126

USD LIBOR - 3m

1.012

1.159

1.287

1.439

Tenor
1.00
Mar-16

Apr-16

May-16

Jun-16

Jul-16

Aug-16

Sep-16

*Pay fixed and receive floating swap

COMMODITIES
Rolling Gold & Oil Prices

News
> Crude prices rallied more than 6 percent after OPEC members reached a
consensus on oil output cut for the first time in eight years at Algiers
meeting to help lift prices and rebalance the market. According to
ministers, output will be reduced to between 32.5m and 33m b/d barrels a
day.

Oil Price

1400

54.00

1380

52.00

1360

50.00

1340

48.00

1320

46.00

Oil Price (USD)

Gold Price (USD)

Gold Price

> The agreement surprised market players as they thought a consensus

would be difficult because of divisions between two of the largest and most
influential OPEC members, Saudi Arabia and Iran.
> Gold prices initially fell before steadying during the Asian session as the
dollar was sagged post OPEC agreement.

Spot Market

1300

44.00

1280

42.00
4-Sep

9-Sep

14-Sep

19-Sep

24-Sep

29-Sep

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

45.90

0.54

48.71

2.49

WTI Crude Oil ($)

47.12

2.35

47.12

2.35

Gold ($)

1,324.08

(1.86)

1,322.40

(3.50)

Silver ($)

19.22

0.09

19.23

0.17

This commentary is for information only, and the comments and forecasts are intended to be of a general nature, and are current at the date of issue. This document is not intended as an offer, solicitation, or recommendation to buy or
sell financial instruments or for any individual investment.
Source: MCB Treasury, Reuters, Bloomberg, Bank of Mauritius