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

1st November 2016.........

FOREIGN EXCHANGE MARKET

News
> The European single currency traded in a tight range against the US dollar as
investors assessed the latest concerns over the US FBI probe into Hillary
Clintons, the former Secretary of State, use of a private email server.

> The AUD/USD pair spiked to 0.7658 after the RBA kept the cash rate
unchanged at 1.5 percent at its policy meeting held today. Moreover, the
Aussie remained underpinned on the back of upbeat Chinese manufacturing
PMI reports.

> In the run up to US Presidential election on November 8, Democratic candidate

Hillary Clinton leads the opinion poll over the Republican rival Donald Trump, but
slightly less prior to the announcement by the FBI.
> The Great British Pound rallied to 1.2250 against the greenback after the UK
released its money figures for September, showing that mortgage approvals for
house purchases rose to their highest in three months while Bank of England
Governor Mark Carney indicated that he would stay in his job for an extra year,
until the end of June 2019.

> The USD/JPY dropped to 104.70 after the steady policy decision announced by
the Bank of Japan this morning while leaving the growth forecasts unchanged
at 1 percent for FY 2016/17.
> The rand strengthened to 13.47 against the USD after the prosecutor dropped
fraud charges against Finance Minister Gordhan thus easing concerns about his
possible removal.
> On the local market the pound sterling and the australian dollar rise by 15
cents against the rupee while the dollar remains unchanged.

Daily Technical View

The dollar edged slightly higher against its counterparts ahead of tomorrows FOMC meeting. EURUSD was weak throughout the Asian and London session before finding
support at 1.0935 and recovered to a high of 1.0984. Intraday support lies at 1.0935/45, a break below which open the doors to 1.0900. The pair finds mild resistance at
1.0990, which is expected to eventually give way for a test of 1.1050 level.

Market Highlights
Indicative Spot Rates

Indicative Forward Rates

Bid
AUDMUR

Bid

Change (Rs.)

Today

Change (Rs.)

26.85

0.15

28.11

0.15

Offer

1m

3m

6m

1m

3m

6m

AUDMUR

26.82

26.82

26.79

28.13

28.19

28.28
40.83

CNYMUR

5.15

5.42

EURMUR

38.70

38.86

39.08

40.28

40.49

EURMUR

38.66

(0.01)

40.19

(0.01)

ZARMUR

2.61

2.58

2.54

2.73

2.71

2.68

JPYMUR

33.55

(0.02)

35.04

(0.02)

USDMUR

35.27

35.34

35.38

36.71

36.82

36.97

GBPMUR

43.16

43.28

43.44

44.91

45.09

45.38

ZARMUR

2.62

0.06

2.74

0.06

USDMUR

35.26

36.65

GBPMUR

43.13

0.15

44.83

0.15

EURUSD

GBPMUR

1.2650

36.70

98.60

45.60

1.2450

36.60

97.70

1.1000

44.90

1.2250

36.50

96.80

1.0900

44.20

1.2050

36.40

95.90

1.0800

43.50

1.1850

36.30

1.1100

40.30

39.90

12-Oct

17-Oct

22-Oct

27-Oct

1-Nov

7-Oct

Previous Day Trading Levels

12-Oct

17-Oct

22-Oct

27-Oct

GBPUSD

40.70

USDMUR

46.30

1.1200

1-Nov

USD INDEX

99.50

EURUSD

36.80

41.10

7-Oct

USD INDEX

1.2850

1.1300

39.50

USDMUR

GBPUSD

47.00

41.50

GBPMUR

EURMUR

EURMUR

Offer

Today

95.00
7-Oct

12-Oct

17-Oct

22-Oct

27-Oct

1-Nov

Today

Major Indices

Value at Close

Day Change %

Opening

High

Low

Latest

DOW JONES

18,161.19

(0.10)

AUDUSD

0.7608

0.7658

0.7599

0.7654

S&P 500

2,126.15

(0.01)

EURUSD

1.0979

1.0988

1.0960

1.0968

FTSE 100

6,954.22

(0.60)

GBPUSD

1.2235

1.2245

1.2213

1.2235

DAX

10,665.01

(0.29)

USDJPY

104.81

104.96

104.68

104.86

NIKKEI 225*

17,424.30

USDCHF

0.9883

0.9901

0.9880

0.9898

HANGSENG*

23,204.54

1.18

USDCNH

6.78

6.79

6.78

6.78

Major Economic Releases (at GMT)

Date

Time

Country

Event

Period

Actual

Expected

Prior

01-Nov

03 00

JP

BoJ Interest Rate decision

-0.1%

-0.1%

-0.1%

01-Nov

03 30

AU

RBA Interest Rate decision

1.5%

1.5%

1.5%

01-Nov

09 30

UK

Markit Manufacturing PMI

Oct

54.5

55.4

01-Nov

15 00

US

ISM Manufacturing PMI

Oct

51.7

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.........

1st November 2016.........

FIXED INCOME
News
> US Treasury prices fell in October, driving the 10-year yield to its largest monthly
rise in more than a year with a gain of 23 basis points, its largest increase since
June 2015.

> Japanese government bond prices were mostly steady this morning, trading in
narrow range after the Bank of Japan kept monetary policy unchanged as widely
expected and left the market short on immediate catalysts.

> Trading volume on Monday was subdued relative to last week, when yields on
long-term Treasuries rose to their highest levels since May, capping off a monthlong bond-market rout driven in part by concerns that the European Central
Bank will eventually pare.

> Its target on 10-year JGB yield target of around zero percent was left unchanged
while 2-year JGB and 10-year yield both stood unchanged at minus 0.245 percent
and minus 0.055 percent respectively while the 30-year yield inched down half a
basis point to 0.500 percent.

Market Highlights
Local Secondary Market

Government Benchmark Bond Yields (%)

Bid (%)

Offer (%)

91 to 135

2.60

2.40

US Bonds

Key Central Bank Rates

2 Year

5 Year

10 Year

0.853

1.325

1.849

Current
Level (%)

Previous (%)

BOM Repo Rate

4.00

4.40

136 to 180

2.65

2.45

UK Bonds

0.275

0.593

1.246

Feds Fund Rate

0.25 - 0.50

0 - 0.50

181 to 240

2.70

2.50

German Bonds

-0.625

-0.398

0.163

BoE Bank Rate

0.25

0.50

241 to 300

2.75

2.55

ECB Ref. Rate

0.0

0.0

301 to 364

2.85

2.65

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

-0.380

-0.321

-0.214

USD

0.460

0.534

0.884

1.256

GBP

0.247

0.265

0.404

0.566

EURIBOR

-0.380

-0.373

-0.313

-0.212

JIBAR

n/a

7.108

7.358

7.967

2.00
91

Indicative Generic Swap Rates* (%)

1.50

2yr

5yr

7yr

10yr

EURIBOR - 3m

-0.253

-0.119

0.071

0.389

USD LIBOR - 3m

1.097

1.330

1.514

1.702

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 settled at one-month lows yesterday on persisting doubts over
the implementation of OPEC output cut plans while fears of record
production in October also pressured the commodity prices.

Oil Price

1294

53.30

1285

52.40

1276

51.50

1267

50.60

1258

49.70

> Oil gained as much as 13 percent since the cartel announced a production
cut last September to lift prices.

Oil Price (USD)

Gold Price (USD)

Gold Price

> Gold prices initially fell in NY trade as the US dollar rebounded, but later
gained in Asia after China PMI data boosted demand outlook.

Spot Market

48.80

1249

1240

47.90
7-Oct

12-Oct

17-Oct

22-Oct

27-Oct

1-Nov

Futures Market

Today

Change ($)

Today

Change ($)

Brent Crude Oil ($)

45.61

(1.48)

48.91

(0.58)

WTI Crude Oil ($)

46.99

(1.53)

46.99

(1.53)

Gold ($)

1,277.54

0.16

1,271.50

(4.40)

Silver ($)

17.92

0.01

17.76

0.00

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