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

14th October 2016.........

FOREIGN EXCHANGE MARKET

News
> The European Single currency traded briefly below the USD 1.10 level for the
first time in three months before recovering to USD 1.1060 as the dollar
traded mixed ahead of key economic reports later in the session.

> The USD/JPY pair rebounded to 104.10 on the back of a stronger dollar
but remains undermined by stronger Chinese CPI data.

> Markets will eye US retail sales data and remarks from Fed Chair Janet Yellen and
Boston Fed governor Eric Rosengren today.

> The Singapore dollar dropped to 1.3892 from a high of 1.3780 against the US
dollar after the Central Bank of Singapore kept policy unchanged, stating that
the current policy band for the local currency provided some flexibility to
accommodate the near-term weakness in inflation and growth.

> Despite the bearish sentiment on the pound sterling, comments by PM

Theresa May have mitigated concerns over the likeliness of a hard Brexit, helping
the Pound to rebound from its recent lows, ahead of the speech by Bank of
England governor Mark Carney this evening.

> The euro recovers slightly versus the rupee from a 2-month low while the
australian and canadian dollar, having been through choppy trades the recent
days, end the week higher.

> The Aussie rallied to USD 0.7605 on the back of better than expected Chinese
inflation figures which increased for the first time in 55 months to 1.9 percent
in September against a forecast of 1.6 percent.

> The pound sterling breaks its multi-year low level and manages to trade a few
cents up this morning on the local market but sentiment remains bearish
across the board.

Daily Technical View

EURUSD recovered from the 1.0985 low yesterday and climbed to 1.1060 amidst the US dollar retreat across the board. The pair is trading around 1.1025 this morning
and we continue to monitor the 1.0985/1.1000 support level. Only a daily close below it would trigger a sustained directional move down to 1.0950. Intraday, resistance
lies at 1.1055/65. The upside should be capped at 1.1100/20.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.60

0.18

27.85

0.18

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.57

26.57

26.54

27.87

27.93

28.02
41.05

CNYMUR

5.18

5.45

EURMUR

38.91

39.07

39.30

40.50

40.71

EURMUR

38.87

0.02

40.41

0.03

ZARMUR

2.46

2.43

2.39

2.58

2.56

2.53

JPYMUR

33.81

(0.09)

35.31

(0.09)

USDMUR

35.27

35.34

35.38

36.71

36.82

36.97

GBPMUR

43.09

43.21

43.37

44.84

45.02

45.31

ZARMUR

2.47

2.59

USDMUR

35.26

36.65

GBPMUR

43.06

0.10

44.76

0.10

EURMUR

EURUSD

GBPMUR

USDMUR

GBPUSD

USD INDEX

49.00

1.3400

36.80

40.95

1.1240

48.00

1.3100

36.70

40.80

1.1170

47.00

1.2800

36.60

96.70

40.65

1.1100

46.00

1.2500

36.50

96.00

40.50

1.1030

45.00

1.2200

36.40

95.30

1.0960

44.00

1.1900

36.30

24-Sep

29-Sep

4-Oct

9-Oct

14-Oct

19-Sep

Previous Day Trading Levels

24-Sep

29-Sep

4-Oct

9-Oct

14-Oct

98.10

97.40

USD INDEX

19-Sep

GBPUSD

40.35

USDMUR

1.1310

GBPMUR

41.10

EURUSD

EURMUR

Offer

Today

94.60
19-Sep

24-Sep

29-Sep

4-Oct

9-Oct

14-Oct

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,144.20

(0.25)

AUDUSD

0.7567

0.7607

0.7557

0.7578

S&P 500

2,132.55

(0.31)

EURUSD

1.1054

1.1060

1.1023

1.1027

FTSE 100

6,977.74

(0.66)

GBPUSD

1.2257

1.2261

1.2191

1.2193

DAX

10,414.07

(1.03)

USDJPY

103.69

104.15

103.62

104.05

NIKKEI 225*

16,865.85

0.55

USDCHF

0.9857

0.9880

0.9857

0.9882

HANGSENG*

23,180.36

0.65

USDCNH

6.73

6.74

6.73

6.74

Prior

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

13-Oct

12 30

US

Initial Jobless Claims

Oct

246K

254K

246K

14-Oct

12 30

US

Retail Sales (MoM)

Sep

0.6%

-0.3%

14-Oct

n/a

UK

BoE Governor Carney speech

14-Oct

16 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.........

14th October 2016.........

FIXED INCOME
News
> Treasury prices firmed yesterday, pushing yields south after data showed that
Chinese exports fell more steeply than expected last month, highlighting the
persistent weakness in global demand that is weighing on the world secondlargest economy.

> In Europe, the yield on the 10-year German bund retreated to 0.03 percent.

> September trade report showed a 10 percent drop in Chinese exports.

Meanwhile, the reaction to weekly US jobless claims and import and export price
data was minimal.
> The two-year US bond yield declined 3.2 basis points to 0.838 percent, while the
yield on the benchmark 10 year security slid to 1.739 percent, giving up 3.90
basis points.

> The market-implied probability that the Fed will increase rates by its December
meeting is about 65 percent, the lowest this week, according to fed fund futures
data. The calculation is based on the assumption that the effective fed funds rate
will trade at the middle of the new Federal Open Market Committee target range
after the next increase.
> Today the Bank of Mauritius will hold auction for Treasury Bills with maturities
of 91, 182 and 364 days and nominal value of MUR 1,000.0 Mio.

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

0.863

1.287

1.770

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.55

2.35

UK Bonds

0.206

0.408

1.021

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.60

2.40

German Bonds

-0.664

-0.487

0.034

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

-0.389

-0.377

-0.325

-0.216

USD

0.459

0.535

0.880

1.262

GBP

0.250

0.269

0.398

0.559

EURIBOR

-0.381

-0.371

-0.309

-0.204

JIBAR

n/a

7.117

7.358

7.983

2.00
91

Indicative Generic Swap Rates* (%)

1.50

2yr

5yr

7yr

10yr

EURIBOR - 3m

-0.294

-0.206

-0.033

0.283

USD LIBOR - 3m

1.085

1.302

1.442

1.606

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 initially ticked up before retreating in Asia on the firmer US
dollar and higher equities.

Oil Price

1345

54.00

1330

52.50

1315

51.00

1300

49.50

1285

48.00

1270

46.50

1255

45.00

1240

43.50
19-Sep

24-Sep

29-Sep

4-Oct

9-Oct

14-Oct

> Oil prices rose as the US Energy Information Administration (EIA) reported
a heavy decline in diesel and gasoline stocks, offsetting the first crude
inventory rise in 1 month.

Oil Price (USD)

Gold Price (USD)

Gold Price

> The US government report showed crude stocks ballooned 4.9 million
barrels in the week ending October 7, distillates fell 3.7 million barrels
while gasoline dropped 1.9 million barrels.

Spot Market

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

48.55

(0.24)

52.11

0.72

WTI Crude Oil ($)

50.76

1.01

50.76

1.01

Gold ($)

1,254.82

(5.38)

1,253.90

(4.60)

Silver ($)

17.44

(0.19)

17.41

(0.05)

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