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

30th September 2016.........

FOREIGN EXCHANGE MARKET

News
> The US dollar initially ticked up on upbeat initial jobless claims while US
second quarter gross domestic product showed growth of 1.4 percent
compared to an expectation of 1.3 percent. The gains in the greenback were
however limited by the disappointing US pending home sales data.
> The Pound edged lower to 1.2947 against the greenback yesterday despite the
release of upbeat UK data after the Bank of England reported that net lending to
individuals rose by 4.5 billion in August, compared to expectation for a 4.0
billion increase.
> The Australian dropped to USD 0.7625 on concerns about Deutsche Bank
health which undermined risk appetite globally while the China PMI for August
printed in line with the estimates.

> The Canadian dollar depreciated on Thursday erasing the gains from a day
earlier when the OPEC announced an oil output cut surprising the market who
was expecting a freeze. Doubts about the details of the agreement are keeping
the price of oil from rising higher and have put pressure on the CAD ahead of
the GDP figures for the month of July.
> The South African Rand weakened to USD 13.97 after data showed that credit
demand growth slowed more than expected in August.
> The Australian dollar drops from its 16-month high versus the rupee while
other major currencies tumble and surrender previous gains on the local
market. The US dollar is back into stable grounds even though some positive
US data were released yesterday.

Daily Technical View

The dollar staged a meek recovery in a mostly quiet market yesterday. EURUSD was under selling pressure following better than expected US GDP data but found
strong support at 1.1195 and climbed to a high of 1.1249. The pair is trading around 1.1220 this morning and a move to 1.1260/80 would be met with heavy offers. On
the downside, immediate support lies at 1.1180/1.1200. Any further decline should be capped around 1.1130/50.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.69

(0.22)

27.95

(0.23)

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.66

26.66

26.63

27.97

28.03

28.12
41.64

CNYMUR

5.21

5.48

EURMUR

39.48

39.64

39.86

41.08

41.30

EURMUR

39.43

(0.06)

40.99

(0.06)

ZARMUR

2.52

2.49

2.45

2.64

2.62

2.59

JPYMUR

34.60

0.02

36.14

0.02

USDMUR

35.16

35.23

35.27

36.60

36.71

36.86

GBPMUR

45.63

45.76

45.92

47.48

47.67

47.98

ZARMUR

2.53

(0.05)

2.65

(0.05)

USDMUR

35.15

36.54

GBPMUR

45.60

(0.17)

47.40

(0.18)

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

5-Sep

10-Sep

15-Sep

20-Sep

25-Sep

30-Sep

5-Sep

Previous Day Trading Levels

10-Sep

15-Sep

20-Sep

25-Sep

GBPUSD

40.10

USDMUR

49.30

GBPMUR

1.1550

30-Sep

USD INDEX

41.60

EURUSD

EURMUR

Offer

Today

93.00
5-Sep

10-Sep

15-Sep

20-Sep

25-Sep

30-Sep

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,339.24

(1.07)

AUDUSD

0.7634

0.7637

0.7616

0.7633

S&P 500

2,151.13

(0.93)

EURUSD

1.1222

1.1225

1.1205

1.1221

FTSE 100

6,919.42

1.02

GBPUSD

1.2967

1.2976

1.2947

1.2979

DAX

10,405.54

(0.31)

USDJPY

101.02

101.75

100.93

101.19

NIKKEI 225*

16,478.02

(1.29)

USDCHF

0.9656

0.9670

0.9656

0.9661

HANGSENG*

23,440.96

(1.26)

USDCNH

6.67

6.68

6.67

6.68

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

Prior

29-Sep

12 30

US

Initial Jobless Claims

Sep

254K

260K

252K

30-Sep

08 30

UK

GDP (QoQ)

Q2

0.6%

0.6%

30-Sep

09 00

EU

CPI (YoY)

Sep

0.4%

0.2%

30-Sep

13 45

US

Chicago PMI

Sep

52.5

51.5

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.........

30th September 2016.........

FIXED INCOME
News
> Treasury prices rebounded from early losses yesterday, pushing down yields, as
investors sought safety when concerns about German lender Deutsche Bank
sparked a selloff in stocks.

> This morning, the yield on benchmark 10-year Japanese government bonds
ticked higher as the Bank of Japan trimmed the amount of long-term debt it
buys at its regular market operations.

> Selling pressure had dominated earlier during the day on some encouraging
economic releases out of the eurozone and the US. But buyers jumped in up
after shares of big German banks sank and dragged down the US stock market.

> The BOJ announced that it had reduced its purchases of JGBs with five to 10
years of maturity to 410 billion yen (USD4.04 billion) from 430 billion on
Wednesday while data this morning has shown that deflation persists.

> The yield on the US two-year treasury note, which is most sensitive to rate
changes, fell 0.8 basis point to 0.746 percent, while that on the benchmark 10year security erased an earlier gain to end 1 basis point lower at 1.556 percent.

> Today 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.

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

0.726

1.101

1.543

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.053

0.190

0.720

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.58

2.38

German Bonds

-0.653

-0.589

-0.117

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

-0.388

-0.376

-0.322

-0.212

USD

0.449

0.527

0.846

1.238

GBP

0.245

0.266

0.379

0.530

EURIBOR

-0.378

-0.371

-0.302

-0.202

JIBAR

n/a

7.117

7.358

7.967

2.00
91

Indicative Generic Swap Rates* (%)

1.50

2yr

5yr

7yr

10yr

EURIBOR - 3m

-0.343

-0.302

-0.160

0.123

USD LIBOR - 3m

0.988

1.144

1.258

1.411

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
> Oil prices jumped further, with Brent trading near the USD 50 a barrel, as
OPEC agreed to remove around 700,000 bpd from the market but gains
were however capped by analysts' doubts that the OPEC plan would be
sufficient to wipe up the persistent global glut.

Oil Price

1400

54.00

1380

52.00

1360

50.00

1340

48.00

1320

46.00

> Oil prices dropped this morning on profit-taking, after rising 7 percent in
the past two sessions.
Oil Price (USD)

Gold Price (USD)

Gold Price

> Gold prices initially hit a fresh one-week low after better than expected
US economic figures, but rebounded in Asian trade as equities fell and
Caixin China manufacturing PMI came in line with forecast.

Spot Market

1300

44.00

1280

42.00
5-Sep

10-Sep

15-Sep

20-Sep

25-Sep

30-Sep

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

48.84

2.94

48.82

0.11

WTI Crude Oil ($)

47.53

0.41

47.53

0.41

Gold ($)

1,324.08

1,322.70

0.30

Silver ($)

19.16

(0.06)

19.12

(0.11)

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