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

4th October 2016.........

FOREIGN EXCHANGE MARKET

News
> The US dollar gained versus a basket of currencies, taking the Euro back below
the USD 1.12 level, after the release of ISM US factory index which revealed the
manufacturing sector grew by more than expected in September. The greenback
enjoyed a modest rise in thin trading as Germany and China were closed for
holidays.
> The British pound slumped to USD 1.2817 yesterday after UK Prime Minister
Theresa May set a March date to begin exiting from the European Union and
announced that controlling immigration was a higher priority than maintaining
full access to the largest trading partner of the country.

> Aussie dollar shed few pips, pushing the AUDUSD pair slightly lower at 0.7659
from 0.7691 after the Reserve Bank of Australia (RBA) decided to leave the
cash rate unchanged at 1.5 percent and maintained neutral stance as expected.
> The JPY lost ground to its US counterpart during the Asian session hurt by a
broadly stronger greenback and upbeat US ISM data which showed that the
manufacturing sector had returned to expansion in September.
> The Japanese Yen and the pound sterling tumble on the local market with the
latter trading at a 3 year low versus the rupee while the US dollar is
still flat in four days despite release of positive US data yesterday.

> The ZAR firmed to 13.55 per USD yesterday boosted by upbeat Chinese
manufacturing data.

Daily Technical View

The Greenback strengthened against its counterparts yesterday as upbeat manufacturing data from the US boosted prospects of a December rate hike. EURUSD
retreated from a high of 1.1243 to make a low of 1.1200 this morning. The pair has now failed to hold above 1.1250 for 5 consecutive sessions and focus is now shifted
on the downside. 1.1160/70 remains the immediate support; in case this gives way the pair should drift down to 1.1120. Intraday, resistance lies at 1.1225/40. The upside
has so far remained constricted by 1.1280.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.83

0.08

28.09

0.08

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.80

26.80

26.77

28.11

28.17

28.26
41.57

CNYMUR

5.21

(0.01)

5.48

(0.01)

EURMUR

39.41

39.58

39.80

41.01

41.23

EURMUR

39.37

(0.11)

40.92

(0.12)

ZARMUR

2.57

2.54

2.50

2.69

2.67

2.64

JPYMUR

34.34

(0.24)

35.86

(0.26)

USDMUR

35.16

35.23

35.27

36.60

36.71

36.86

GBPMUR

45.17

45.29

45.46

47.00

47.19

47.50

ZARMUR

2.58

0.02

2.70

0.02

USDMUR

35.15

36.54

GBPMUR

45.14

(0.35)

46.92

(0.37)

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

9-Sep

14-Sep

19-Sep

24-Sep

29-Sep

4-Oct

9-Sep

Previous Day Trading Levels

14-Sep

19-Sep

24-Sep

29-Sep

GBPUSD

40.10

USDMUR

49.30

GBPMUR

1.1550

4-Oct

USD INDEX

41.60

EURUSD

EURMUR

Offer

Today

93.00
9-Sep

14-Sep

19-Sep

24-Sep

29-Sep

4-Oct

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,308.15

(0.30)

AUDUSD

0.7666

0.7691

0.7661

0.7676

S&P 500

2,161.20

(0.33)

EURUSD

1.1208

1.1219

1.1196

1.1200

FTSE 100

6,983.52

1.22

GBPUSD

1.2840

1.2860

1.2817

1.2850

DAX

10,511.02

USDJPY

101.62

102.38

101.58

102.08

NIKKEI 225*

16,695.42

0.58

USDCHF

0.9733

0.9753

0.9728

0.9753

HANGSENG*

23,610.06

0.11

USDCNH

6.68

6.68

6.68

6.68

Prior

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

03-Oct

14 00

US

ISM Manufacturing PMI

Sep

51.5

50.3

49.4

04-Oct

03 30

AU

RBA Interest Rate decision

1.5%

1.5%

1.5%

04-Oct

08 30

UK

PMI Construction

Sep

49.0

49.2

04-Oct

09 00

EU

PPI (MoM)

Aug

0.1%

0.1%

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.........

4th October 2016.........

FIXED INCOME
News
> A bout of selling hit the US government security market yesterday as fresh signs
of a resilient US economy bolstered the Federal Reserve case to raise interest
rates before the end of this year.

> Selling concentrated in short-term notes as their yields are highly sensitive to
changes in the Federal Reserve rate policy outlook. The yield on the two-year
note firmed to 0.800 percent, compared with 0.764 percent on Friday.

> The catalyst was a rebound in a closely tracked index measuring the health of
the manufacturing sector. After dipping into contradictory territory in August,
the monthly index from the Institute for Supply Management were back to the
expansionary zone in September, allaying some worries that the growth
momentum was fading away.

> The yield premium investors demanded to hold the 10-year note relative to
the two-year note shrank to 0.824 percent, near the smallest gap since 2007,
from 0.841 percentage point on Friday.

> The yield on the benchmark 10-year treasury note rose at a more subdued pace.
It settled at 1.624 percent, compared with 1.605 percent on Friday.

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

0.798

1.185

1.627

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.098

0.206

0.729

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.60

2.40

German Bonds

-0.692

-0.559

-0.092

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

-0.376

-0.322

-0.212

USD

0.463

0.528

0.858

1.248

GBP

0.243

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

-0.315

-0.272

-0.121

0.169

USD LIBOR - 3m

1.040

1.207

1.332

1.485

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

1400

54.00

> Brent settled above USD 50 a barrel yesterday for the first time since
August while US crude hit three-month highs, after Iran encouraged other
oil producers to join OPEC in supporting the market.

1380

52.00

> Oil prices retreated this morning, dragged lower by higher Iranian exports
that added to an already oversupplied market.

1360

50.00

> The yellow metal edged lower as the greenback rose on stronger-thanexpected US manufacturing figures.

1340

48.00

1320

46.00

Oil Price

Oil Price (USD)

Gold Price (USD)

Gold Price

Spot Market

1300

44.00

1280

42.00
9-Sep

14-Sep

19-Sep

24-Sep

29-Sep

4-Oct

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

48.77

0.12

50.70

0.75

WTI Crude Oil ($)

48.55

0.65

48.55

0.65

Gold ($)

1,312.20

(2.70)

1,310.20

(3.10)

Silver ($)

18.91

(0.20)

18.80

(0.34)

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