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

1st September 2016.........

FOREIGN EXCHANGE MARKET

News
> The greenback initially pushed up against some major peers as the US non-farm
payrolls report this Friday remains the key market focus for clues about the
timing of future interest rate hikes by the Fed. The dollar later gave up gains as
the Institute for Supply Management-Chicago report showed its business
barometer dropped 4.3 points to 51.5 in August.
> The Great Britain pound rallied to 1.3157 against the greenback yesterday on
the back of EUR and JPY weakness ahead of the release of Manufacturing PMI
scheduled for later today.
> USD/JPY briefly advanced to a one-month high of 103.540 on Wednesday
on a slightly stronger than expected U.S. ADP National Employment Report
for August, but its rise was tempered after the August Chicago PMI fell short
of expectations.
> Despite disappointing data retail sales data in Australia, the Aussie firmed to
0.7545 after official PMI data showed activity in China manufacturing sector
picked up unexpectedly in August.
> The Rand weakened to 14.69 against the USD on news that South African
fixed-income asset manager Future growth has stopped lending to some state-
owned local companies.
> On the local market, the Japanese yen and the South African rand drop to a
month low while the US dollar trades same as yesterday. The euro loses 3
cents versus the rupee and the pound sterling keeps on the upward trend
rising by 15 cents.

Daily Technical View

The US dollar had a mixed day yesterday, extending its rally against its counterparts in the London session before retreating after data from the US fell short of
expectations. EURUSD was again well supported by the 1.1120-30 levels and bounced up to 1.1165. Mild resistance lies at 1.1180 but any further upside move should be
contained by 1.1220-40 strong resistance area. As long as 1.1220-40 holds, we should see another attempt to test 1.1120, break below which will extend the decline to
1.1040-60 levels.

Market Highlights
Indicative Spot Rates Indicative Forward Rates
Bid Offer Bid Offer
Today Change (Rs.) Today Change (Rs.) 1m 3m 6m 1m 3m 6m
AUDMUR 26.33 0.06 27.57 0.06 AUDMUR 26.30 26.30 26.26 27.59 27.65 27.72
CNYMUR 5.20 - 5.47 - EURMUR 39.17 39.35 39.56 40.77 41.01 41.33
EURMUR 39.13 (0.03) 40.68 (0.03) ZARMUR 2.38 2.36 2.31 2.49 2.48 2.45
JPYMUR 33.91 (0.09) 35.42 (0.09) USDMUR 35.11 35.20 35.23 36.55 36.68 36.81
ZARMUR 2.39 (0.04) 2.50 (0.04) GBPMUR 46.18 46.33 46.48 48.05 48.27 48.56
USDMUR 35.10 - 36.49 -
GBPMUR 46.15 0.15 47.97 0.15

EURMUR EURUSD GBPMUR GBPUSD USDMUR USD INDEX

41.60 1.1650 49.00 1.3600 36.70 97.50

41.30 1.1500 48.50 1.3400 36.55 96.50

41.00 1.1350 48.00 1.3200 36.40 95.50

EURMUR

USD INDEX
USDMUR
GBPMUR
EURUSD

GBPUSD

40.70 1.1200 47.50 1.3000 36.25 94.50

40.40 1.1050 47.00 1.2800 36.10 93.50

40.10 1.0900 46.50 1.2600 35.95 92.50

7-Aug 12-Aug 17-Aug 22-Aug 27-Aug 1-Sep 7-Aug 12-Aug 17-Aug 22-Aug 27-Aug 1-Sep 7-Aug 12-Aug 17-Aug 22-Aug 27-Aug 1-Sep

Previous Day Trading Levels Today Major Indices Value at Close Day Change %
Opening High Low Latest DOW JONES 18,454.30 (0.29)
AUDUSD 0.7515 0.7547 0.7514 0.7542 S&P 500 2,170.95 (0.24)
EURUSD 1.1155 1.1165 1.1148 1.1151 FTSE 100 6,781.51 (0.58)
GBPUSD 1.3138 1.3153 1.3128 1.3146 DAX 10,592.69 (0.61)
USDJPY 103.41 103.44 103.07 103.31 NIKKEI 225* 16,902.82 0.09
USDCHF 0.9838 0.9845 0.9829 0.9842 HANGSENG* 23,107.22 0.57
USDCNH 6.69 6.69 6.69 6.69

Date Time Country Event Period Actual Expected Prior

01-Sep 08 00 EU Markit Manufacturing PMI Aug - 51.8 51.8
01-Sep 08 30 UK Markit Manufacturing PMI Aug - 49.0 48.2
01-Sep 12 30 US Initial Jobless Claims Aug - 265K 261K
01-Sep 14 00 US ISM Manufacturing PMI Aug - 52.0 52.6

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 September 2016.........
FIXED INCOME
News
> Treasury yields traded south for the third straight session yesterday, with short- > Meanwhile, the yield on the US 2-year treasury note, which is the most
term yields logging their largest three-day drop in August as investors weighed a sensitive to rate-hike expectations, lost 1.2 basis points on the day but gained
sharp drop in oil prices against a stronger-than-expected report on US private 12.6 over the month at 0.793 percent.
employment, which fuelled interest-rate hike expectations.
> Tomorrow The Bank of Mauritius will issue Government of Mauritius
> Bond prices were supported by typical month-end demand. On the last trading Treasury Bills for maturities of 91, 182 and 364 days and nominal value of
session of each month, newly minted bonds replace maturing debt in some bond MUR 1,500.0 Mio.
indexes, leading to buying among money managers who track the indexes.

> In late-afternoon trading, the yield on the benchmark US 10-year note was 1.568
percent, compared with 1.570 percent on Tuesday.

Market Highlights
Local Secondary Market Government Benchmark Bond Yields (%) Key Central Bank Rates
Current
Bid (%) Offer (%) 2 Year 5 Year 10 Year Previous (%)
Level (%)
91 to 135 2.45 2.25 US Bonds 0.809 1.199 1.583 BOM Repo Rate 4.00 4.40

136 to 180 2.58 2.38 UK Bonds 0.163 0.229 0.639 Feds Fund Rate 0.25 - 0.50 0 - 0.50

181 to 240 2.60 2.40 German Bonds -0.616 -0.504 -0.056 BoE Bank Rate 0.25 0.50

241 to 300 2.65 2.45 ECB Ref. Rate 0.0 0.0

301 to 364 2.70 2.50 RBA Cash Rate 1.50 1.75

Local Treasury bills Market Money Market Rates

4.00 LIBOR (%) 1 Week 1 Month 3 Months 6 Months

EUR -0.387 -0.374 -0.323 -0.205

3.50
USD 0.444 0.525 0.839 1.245
Weighted Average Yield

3.00 364 GBP 0.244 0.275 0.388 0.520

EURIBOR -0.379 -0.371 -0.299 -0.192

2.50
182
JIBAR n/a 7.117 7.358 8.050
2.00
91
Indicative Generic Swap Rates* (%)
1.50
Tenor 2yr 5yr 7yr 10yr
1.00 EURIBOR - 3m -0.332 -0.274 -0.132 0.149
Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16
USD LIBOR - 3m 1.055 1.228 1.330 1.438
*Pay fixed and receive floating swap

COMMODITIES
Rolling Gold & Oil Prices News
Gold Price Oil Price
> Oil prices tumbled after surprising data from the US Energy Information
Administration fueled fears of a supply glut.
1400 52.00

> As per the EIA, US crude inventories rose 2.3 million barrels to 1.221
billion barrels in the week to Aug. 26 compared with expectation of a
1380 50.00 921,000-barrel increase.

> Gold prices hit two-month lows overnight but rebounded this morning
1360 48.00 ahead of closely-watched manufacturing PMIs from China.
Gold Price (USD)

Oil Price (USD)

1340 46.00

Spot Market Futures Market

1320 44.00
Today Change ($) Today Change ($)

Brent Crude Oil ($) 46.22 (1.53) 47.15 (1.22)

1300 42.00
WTI Crude Oil ($) 44.95 (1.40) 44.95 (1.40)

Gold ($) 1,308.84 (5.46) 1,306.90 (6.80)

1280 40.00
7-Aug 12-Aug 17-Aug 22-Aug 27-Aug 1-Sep
Silver ($) 18.71 (0.09) 18.65 (0.15)

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