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

5th October 2016.........

FOREIGN EXCHANGE MARKET

News
> The euro initially fell to a near two-week low of USD 1.1135 before recovering
its losses on speculation that the European Central Bank might taper its assetpurchase program.
> The US dollar hovered near a two-month high against a basket of currencies,
supported by the recent upbeat US economic data and hawkish comments from
Richmond Federal Reserve President Jeffrey Lacker who signaled that there was
a strong case for raising US interest rates.
> The British pound tumbled to a fresh 31-year low yesterday trading to 1.2718 as
uncertainty over the economic future of Britain fuelled the decline, and not even
a strong rebound in the construction sector was able to interrupt the slide.
> The Aussie failed to recover and remained around the USD 0.7635 level despite
strong retail sales figures for the month of August which showed a 0.4 percent
gain.

> The NZD/USD pair extended losses trading around the 0.7174 levels following
disappointing Global Dairy Trade (GDT) auction results which showed a drop
of 3 percent in the GDT Price Index.
> The Japanese yen fell against all major currencies undermined by persistent risk
appetite and the US dollar strength with the USD/JPY pair rising up to 102.96,
its highest in 3-weeks while the focus today is on the US ISM nonmanufacturing report.
> On the local market the pound sterling slumps once more and trades at multiyear low (4 years) with on-going talks about the impact of the Brexit while
the US dollar posts no change.
> Elsewhere the Australian dollar loses few cents versus the rupee, despite
release of good retail sales data, very early in the morning and the japanese yen
drops to a 3-week low.

Daily Technical View

The euro strengthened across the board in yesterdays US session amid reports the ECB will wind down its bond buying program. Selling pressure in the London session
pulled the EURUSD down to 1.1135 before it staged a strong reversal to reach a high of 1.1238. The pair is trading at 1.1220 this morning and focus shifts on a flurry of
Eurozone and US data today. Intraday, 1.1255/65 remains a strong resistance and only a clear breakout above will see a run to 1.1300/15. Immediate support lies at
1.1170/80.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.71

(0.12)

27.97

(0.12)

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.68

26.68

26.65

27.99

28.05

28.14
41.65

CNYMUR

5.20

(0.01)

5.47

(0.01)

EURMUR

39.49

39.65

39.87

41.09

41.31

EURMUR

39.44

0.07

41.00

0.08

ZARMUR

2.54

2.51

2.47

2.66

2.64

2.61

JPYMUR

34.12

(0.22)

35.63

(0.23)

USDMUR

35.16

35.23

35.27

36.60

36.71

36.86

GBPMUR

44.79

44.91

45.08

46.61

46.80

47.10

ZARMUR

2.55

(0.03)

2.67

(0.03)

USDMUR

35.15

36.54

GBPMUR

44.76

(0.38)

46.53

(0.39)

EURMUR

EURUSD

GBPMUR

USDMUR

GBPUSD

USD INDEX

1.3600

36.60

97.00

41.05

1.1250

48.80

1.3400

36.55

96.50

40.90

1.1200

48.10

1.3200

36.50

96.00

40.75

1.1150

47.40

1.3000

36.45

95.50

40.60

1.1100

46.70

1.2800

36.40

95.00

1.1050

46.00

1.2600

36.35

10-Sep

15-Sep

20-Sep

25-Sep

30-Sep

5-Oct

10-Sep

Previous Day Trading Levels

15-Sep

20-Sep

25-Sep

30-Sep

GBPUSD

40.45

USDMUR

49.50

GBPMUR

1.1300

5-Oct

USD INDEX

41.20

EURUSD

EURMUR

Offer

Today

94.50
10-Sep

15-Sep

20-Sep

25-Sep

30-Sep

5-Oct

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,253.85

(0.47)

AUDUSD

0.7620

0.7644

0.7607

0.7628

S&P 500

2,150.49

(0.50)

EURUSD

1.1202

1.1228

1.1201

1.1214

FTSE 100

7,074.34

1.30

GBPUSD

1.2727

1.2746

1.2721

1.2735

DAX

10,619.61

1.03

USDJPY

102.87

102.92

102.68

102.89

NIKKEI 225*

16,810.26

0.45

USDCHF

0.9787

0.9796

0.9772

0.9787

HANGSENG*

23,781.93

0.39

USDCNH

6.69

6.70

6.69

6.69

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

Prior

05-Oct

00 30

AU

Retail Sales (MoM)

Aug

0.4%

0.2%

0.0%

05-Oct

08 00

EU

Markit Services PMI

Sep

52.0

52.1

05-Oct

13 45

US

Markit Services PMI

Sep

51.9

05-Oct

14 00

US

Factory Orders (MoM)

Aug

-0.1%

1.9%

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.........

5th October 2016.........

FIXED INCOME
News
> Treasury yields edged higher yesterday, rising for a third straight day following a
news report that the European Central Bank might gradually wind down its
bond-buying program ahead of its scheduled conclusion in March.

> Government bond yields in the eurozone and the UK also firmed yesterday.
The yield on the 10-year German bund was -0.053 percent in late Tuesday,
compared with -0.094 percent on Monday.

> Yields rose to their highest level in two weeks, with the 10-year US bond yield
rising 5.9 basis points to 1.683 percent. The 2-year Treasury yield gained 2.2
basis points to 0.821 percent, while the 30-year Treasury bond yield edged up
6.9 basis points to 2.405 percent.

> The yield on 10-year Japanese government bonds rose 0.9 basis points to
minus 0.063 percent during the Asian session, while the yield on equivalent
Australian government bonds was up 5.9 basis points at 2.128 per cent a day
after the Reserve Bank kept interest rates on hold.

Market Highlights
Local Secondary Market

Government Benchmark Bond Yields (%)

Bid (%)

Offer (%)

91 to 135

2.45

2.25

US Bonds

Key Central Bank Rates

2 Year

5 Year

10 Year

0.822

1.219

1.678

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.136

0.232

0.778

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.60

2.40

German Bonds

-0.687

-0.552

-0.046

BoE Bank Rate

0.25

0.50

241 to 300

2.70

2.50

ECB Ref. Rate

0.0

0.0

301 to 364

2.80

2.60

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

-0.377

-0.321

-0.212

USD

0.458

0.527

0.864

1.251

GBP

0.244

0.267

0.383

0.535

EURIBOR

-0.381

-0.371

-0.301

-0.203

JIBAR

n/a

7.117

7.358

7.967

2.00
91

Indicative Generic Swap Rates* (%)

1.50

2yr

5yr

7yr

10yr

EURIBOR - 3m

-0.310

-0.257

-0.100

0.201

USD LIBOR - 3m

1.055

1.221

1.362

1.524

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

1360

53.00

1345

51.50

1330

50.00

1315

48.50

1300

47.00

1285

45.50

1270

44.00

1255

42.50
10-Sep

15-Sep

20-Sep

> Oil prices initially traded lower as the stronger US dollar outweighed
optimism over the planned OPEC production cuts. Prices were later
supported by the American Petroleum Institute (API) trade group report,
showing crude inventories likely fell for a fifth straight week by 7.6 million
barrels. The US government Energy Information Administration (EIA) will
release official inventory data later today, with markets expecting a build of
2.6 million barrels for the week ended September 30.

Oil Price

25-Sep

30-Sep

5-Oct

Oil Price (USD)

Gold Price (USD)

Gold Price

> Gold prices hit their lowest level in more than three months, dragged
down by the stronger dollar following the recent upbeat US data which
triggered a break of key support USD 1,300 an ounce.

Spot Market

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

48.81

0.04

51.31

0.61

WTI Crude Oil ($)

49.16

0.61

49.16

0.61

Gold ($)

1,273.32

(38.88)

1,272.10

(38.10)

Silver ($)

17.98

(0.93)

17.71

(1.09)

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