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

3rd October 2016.........

FOREIGN EXCHANGE MARKET

News
> The Euro recovered on improved sentiment after hitting a nine-day low of USD
1.1153 on Friday on concerns surrounding Deutsche Bank, with the possible
settlement of a fine of up to USD 14 billion from the US Department of Justice
related to the selling of mortgage-backed securities in 2008. The largest German
lender is negotiating a much smaller fine, which has supported the Euro.
> The Pound fell to a 6-week low of USD 1.2902 in early Asia this morning after
British Prime Minister Theresa May stated that she would trigger the process for
the UK to leave the European Union by the end of March.

> The Australian dollar rallied to USD 0.7660 as activity in the chinese
manufacturing sector expanded again in September while markets in China
are closed for the entire week. Focus now turns to the RBA decision due
tomorrow morning.
> The Bank of Mauritius intervened on the domestic foreign exchange market on
the 28th September 2016 and purchased a total amount of USD 43.2 Mio at
the rate of MUR 35.48 per USD.

> The canadian dollar strengthened against its US counterpart after data showed
that Canadian GDP grew by 0.5 percent in July above a forecast of 0.3 percent.

> Currencies on the local market start the week on a mixed note this morning
with the US dollar trading unchanged versus the rupee since the last trading
session.

> The USD/JPY has been range bound this morning after the Tankan survey
showed that manufacturers expect the yen to trade around the 107.92 for the
fiscal year March 2017.

> Market players will keep an eye on the release of key PMI data from the UK,
EU and the US later during the day along with key US non-farm payrolls on
Friday.

Daily Technical View

Renewed optimism surrounding the outlook for Deutsche Bank boosted the Euro on Friday. EURUSD found strong support at 1.1150 and edged higher to 1.1249. A
move above Fridays high would shift the focus to 1.1270/90, where heavy offers are expected to cap the rally. Immediate support lies at 1.1200 and a clear break out
below it would see a run to 1.1180.The broader 1.1120/1.1365 range is still in play and is expected to hold.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.75

0.06

28.01

0.06

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.72

26.72

26.69

28.03

28.09

28.18
41.69

CNYMUR

5.22

0.01

5.49

0.01

EURMUR

39.53

39.69

39.91

41.13

41.35

EURMUR

39.48

0.05

41.04

0.05

ZARMUR

2.55

2.52

2.48

2.67

2.65

2.62

JPYMUR

34.58

(0.02)

36.12

(0.02)

USDMUR

35.16

35.23

35.27

36.60

36.71

36.86

GBPMUR

45.52

45.65

45.81

47.37

47.56

47.87

ZARMUR

2.56

0.03

2.68

0.03

USDMUR

35.15

36.54

GBPMUR

45.49

(0.11)

47.29

(0.11)

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

8-Sep

13-Sep

18-Sep

23-Sep

28-Sep

3-Oct

8-Sep

Previous Day Trading Levels

13-Sep

18-Sep

23-Sep

28-Sep

GBPUSD

40.10

USDMUR

49.30

GBPMUR

1.1550

3-Oct

USD INDEX

41.60

EURUSD

EURMUR

Offer

Today

93.00
8-Sep

13-Sep

18-Sep

23-Sep

28-Sep

3-Oct

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,143.45

0.91

AUDUSD

0.7653

0.7663

0.7641

0.7654

S&P 500

2,168.27

0.80

EURUSD

1.1233

1.1243

1.1227

1.1232

FTSE 100

6,899.33

(0.29)

GBPUSD

1.2938

1.2946

1.2903

1.2943

DAX

10,511.02

1.01

USDJPY

101.35

101.61

101.22

101.49

NIKKEI 225*

16,600.42

0.92

USDCHF

0.9717

0.9728

0.9697

0.9728

HANGSENG*

23,555.51

1.11

USDCNH

6.68

6.68

6.67

6.68

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

Prior

03-Oct

08 00

EU

Markit Manufacturing PMI

Sep

52.6

52.6

03-Oct

08 30

UK

Markit Manufacturing PMI

Sep

52.1

53.3

03-Oct

13 45

US

Markit Manufacturing PMI

Sep

51.4

03-Oct

14 00

US

ISM Manufacturing PMI

Sep

50.5

49.4

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.........

3rd October 2016.........

FIXED INCOME
News
> Stocks gained and bond prices declined after Agence France-Press stated
that Deutsche Bank was nearing an agreement to settle a mortgage-securities
investigation by paying a USD 5.4 billion fine to the US, which is well below
the Justice Department original proposal of USD14 billion.

> Prices on US government bonds pulled back on Friday as a rally in financial

shares helped investors regain their appetite for risk at the expense of safe
haven debt.
> The yield on the benchmark 10-year US treasury note erased an earlier decline
to end 4.8 basis point higher at 1.605 percent, while that the two-year treasury
note which is the most sensitive to rate changes, gained 1.8 basis point on Friday
to 0.764 percent.
> In Europe, the yield on German10-year bund inched higher by 0.1 basis point
to negative 0.118 percent.

> From the auction for Treasury Bills, the Bank of Mauritius received a total of
38 bids from which 8 were accepted for 91-days maturity at the weighted
yield of 2.33 percent and nominal value of MUR 278.3 Mio. 3 bids were
accepted for 182-days maturity at the weighted yield of 2.56 percent and
nominal value of MUR 110.1 Mio and 5 bids were accepted for 364-days
maturity at the weighted yield of 2.78 percent and nominal value of MUR
211.6 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

0.782

1.164

1.610

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.125

0.240

0.756

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.58

2.38

German Bonds

-0.688

-0.571

-0.121

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

0.457

0.531

0.854

1.240

GBP

0.246

0.269

0.383

0.533

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

-0.337

-0.276

-0.127

0.161

USD LIBOR - 3m

1.028

1.199

1.314

1.467

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
> Gold prices ticked up this morning on short covering after falling in volatile
trade on Friday on reduced demand for safe havens as equities recovered.

Oil Price

1400

54.00

1380

52.00

1360

50.00

1340

48.00

1320

46.00

> Oil prices traded mixed on Friday, and ran into profit taking in Asia after
posting their second straight monthly gain after OPEC planned to cut
output, even if skepticism grew after data suggested another record high in
OPEC production as rival members Saudi Arabia, Iran and Iraq are
reluctant to give away market share.
Oil Price (USD)

Gold Price (USD)

Gold Price

> Year-over-year US oil demand fell in July for the first time in six months, as
gasoline sales could not offset weak distillate demand, as per the US Energy
Information Administration. Total oil demand in July fell by 267,000 barrels
per day from a year ago.

Spot Market

1300

44.00

1280

42.00
8-Sep

13-Sep

18-Sep

23-Sep

28-Sep

3-Oct

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

48.65

(0.19)

49.95

1.13

WTI Crude Oil ($)

47.90

0.37

47.90

0.37

Gold ($)

1,314.90

(9.18)

1,313.30

(9.40)

Silver ($)

19.11

(0.05)

19.14

0.02

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