Treasury Daily Market Report - Ahli United Bank

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Treasury Daily Market Report - Ahli United Bank

Treasury Daily Market Report - 12 February 2013 Page 1

Headline News

• Japan, Korea reopen; Japan consumer

confidence; India production due

• Fed dove Yellen: higher unemployment

mostly cyclical, justifying forceful Fed

stance

• ECB's Weidmann skeptical about jawing

euro lower, risks leading to inflation

• NY Fed Ops: purchased $1.45 bln bonds

from Feb 2036 - May 2042

Treasury yields below earlier highs as

stocks surrender some overnight gains

• CAD hit 2-week low after Fri's weak slate

of data, Canadas remained on firmer footing

• U.S. calendar quiet; $72 bln Feb refunding

auctions begin Tues with 3-year sale

• G7 drafting a statement to calm concerns

about a currency war

Daily Commentary

FX trade was mostly calm in N.Y. trade on Monday, with perhaps the

exception of a quick spike up in EUR-USD which was prompted by

ECB's Weidmann, who said the "latest indicators don't signal a serious

overvaluation of the euro despite its recent appreciation". EUR-USD

moved from 1.3375 to highs over 1.3425. Elsewhere, major dollar pairings

were range bound in relatively narrow and familiar trading bands.

There was no U.S. data to move markets, while the risk backdrop was

steady and fairly neutral overall.

EUR-USD spiked up from near 1.3375 to near 1.3425, as stops were

tripped at 1.3400, and again at 1.3415 (over the previous NY high) following

the Weidmann comments. He said "latest indicators don't signal a

serious overvaluation of the euro despite its recent appreciation" adding

that "politicians should hold on to the established division of labor" as "an

exchange rate policy to specifically weaken the euro would lead to higher

inflation in the end". Liquidity was lacking generally, which likely exacerbated

the move up. EUR-USD has been choppy since London got underway,

and it appears more of the same is in order for the N.Y. session.

The JPY consolidated European morning losses after USD-JPY ran into

a wall of offers from 93.50, leaving it around 93.25-30. EUR-JPY also

backed up and was trading under 125.00 after it topped out at 125.40

and is now taking its lead from EUR-USD movement. The EUR has

started to come under a bit of selling pressure as the eurogroup meeting

gets underway. There were some EUR related comments, but so far only

France is pushing for a more co-ordinated approach to stabilize forex

levels.

USD-CAD added to Friday's gains overnight, making its way over 1.0075

after closing around 1.0025. The moves largely mirrored the USD's

mostly firmer stance overnight, though offers from 1.0075 slowed

further upside momentum to just over 1.0080. Sellers were also

seen into 1.0100, while stops should be a factor above the figure.

The pairing pulled back to 1.0060 levels in very light afternoon trade.

Cable reached 1.5670 lows after light stops were tripped just under

1.5680. The pair is now 130 pips lower from early European levels.

Both sovereign names and short term macro accounts have been

heavy sellers ahead of inflation data on Tuesday and the BoE's

quarterly Inflation Report on Wednesday, where the growth outlook

is widely expected to be downgraded. The market is gearing up for

another test of trend line support around 1.5620-30, which held early

last week. A close below that level this week would be a major bearish

development for Cable and could result in more significant

losses.

Nymex crude is a touch easier around $95.50 bbl in quiet trade.

Market mostly consolidated recent moves after several centers were

closed in Asia and ahead of key event risks this week. Oil is still

being supported on dips after encouraging data out of Germany and

China last week. Cold weather in the U.S. Northeast and Europe

could also provide support amid a rise in heating fuel and other oil

related products. Nominal gold edged away from the $1669.50 region

to trade just under $1660. A pick up in the dollar was the main

driver in the absence of other leads. The lack of Asian market participants

this week could weigh on gold. They are usually strong

buyers related to physical demand and this could leave it vulnerable

to a move under $1650.

• USD consolidated after Fri's gains; JPY

lower on Japanese policy risk

• Norway Jan CPI above expectations, with

core measure at 1.2% from Nov's 1.1%

• Eurogroup meeting to discuss aid to Cyprus

and Greece, EUR may also be discussed

• NYMEX crude rebounded over $96 bbl

after Northeast cold snap; Gold plunged

Schedule of Forthcoming Key Economic Releases and Events

Tuesday, 12 th Feb

US– Redbook

US– JOLTS Job Opening

UK– CPI

UK– Retail Price Index

JP– Consumer Confidence Index

Wednesday, 13 th Feb

US– Retail Sales

US– MBA Mortgage Applications

Thursday, 14 th Feb

US– Initial Claims

US– Bloomberg Consumer Comfort Indx

US– Continuing Jobless Claims

EU– GDP

Friday, 15 th Feb

US– Empire State Index

US– Michigan Sentiment Prelim

EU– Trade Balance

UK– Retail Sales

JP– Industrial Production

Monday, 18 th Feb

US– Presidents Day - Mkts Closed

CA– Family Day Day - Mkts Closed

Tuesday, 19 th Feb

US– NAHB Housing Mkt Index

GER– ZEW Economic Sentiment

JP– Leading Index

This document has been prepared and issued by Ahli United Bank B.S.C. (“AUB”) which is regulated by the Central Bank of Bahrain. All recipients of this document should note that it is being furnished to them solely for information purposes and may not be

reproduced or redistributed to any other person without the permission of AUB. Although information has been obtained from and is based upon sources believed to be reliable, AUB does not warrant its accuracy and it may be incomplete or condensed. All

opinions and estimates constitute AUB’s judgement at the date of publication and are subject to change without notice. AUB does not advise as to the suitability or otherwise of this information and provides the information to recipients exclusively on the

basis that they have sufficient knowledge, experience and/or professional financial, legal, tax and other advice to make an independent assessment thereof.


Treasury Daily Market Report - 12 February 2013 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2013 High 2013 Low

USD TW Index 80.45 80.20 0.26 0.32% 80.631 79.218

EUR/USD 1.3387 1.3374 0.0013 0.10% 1.3711 1.2998

GBP/USD 1.5652 1.5802 -0.0150 -0.95% 1.6380 1.5652

USD/JPY 94.25 92.55 1.7000 1.84% 94.25 86.55

USD/CHF 0.9206 0.9187 0.0019 0.21% 0.9389 0.9023

EUR/GBP 0.8553 0.84655 0.0087 1.03% 0.8693 0.8459

AUD/USD 1.0245 1.0302 -0.0057 -0.55% 1.0598 1.0242

USD/CAD 1.0068 1.0047 0.0021 0.21% 1.0100 0.9815

USD/INR 53.89 53.71 0.18 0.34% 55.38 52.90

USD/IQD 1165.00 1165.00 0.00 0.00% 1167.00 1163.25

USD/SAR 3.7503 3.7503 -0.0000 0.00% 3.75050 3.7501

USD/BHD 0.37702 0.37702 0.00000 0.00% 0.37703 0.37700

USD/KWD 0.28224 0.28209 0.00015 0.05% 0.28305 0.28085

USD/QAR 3.6408 3.6410 -0.0002 -0.01% 3.6416 3.6402

USD/OMR 0.38500 0.38496 0.00004 0.01% 0.38502 0.38495

USD/AED 3.6730 3.6731 -0.0001 0.00% 3.6731 3.6728

USD/EGP 6.7182 6.7143 0.00390 0.06% 6.72550 6.34210

USD/LYD 1.2561 1.2552 0.0009 0.07% 1.2596 1.2502

Equity Market Snapshot

Index

Last

Close

Prev.

Close

Daily

Chg

% Daily

Chg

2013

% Chg

2013

High

Dow Jones 13,971 13,993 -21.73 -0.16% 6.62% 14,010 12,035

NASDAQ 3,192 3,194 -1.86 -0.06% 22.53% 3,514 2,545

FTSE 6,277 6,264 13.13 0.21% 6.39% 6,347 6,027

Nikkei 11,422 11,153 268.81 2.41% 9.88% 11,422 10,399

S&P 1,517 1,518 -0.92 -0.06% 6.37% 1,518 1,267

Kuw ait SE 6,321 6,293 28.00 0.44% -9.13% 6,338 5,933

Dubai SE 1,897 1900 -2.49 -0.13% 16.34% 1,900 1,623

Saudi SE 7,031 7,012 18.61 0.27% 5.63% 7,176 6,801

Qatar SE 8,770 8,770 0.00 0.00% -1.16% 8,799 8,344

Bahrain SE 1,086 1,086 0.41 0.04% -24.16% 1,100 1,055

Muscat SE 5,856 5,862 -6.36 -0.11% -13.96% 5,862 5,761

Egypt Hermes 572 573 -0.56 -0.10% -13.15% 584 550

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.615 0.615 0.000 0.00% -13.38% 0.640 0.570

AUB Stock - Kuw ait (Kw D) 0.176 0.178 -0.002 -1.12% -12.00% 0.196 0.150

AUB Stock - Kuw ait (US$ Eqv) 0.624 0.631 -0.007 -1.18% -12.54% 0.694 0.531

ALMUTAHED Stock - (Kw D) 0.830 0.820 0.010 1.22% 25.76% 0.860 0.810

ABQ Stock - (QAR) 54.20 54.20 0.000 0.00% -13.83% 58.90 50.00

Commercial Bank of Iraq (IQD) 1.27 1.27 0.000 0.00% -8.63% 1.27 1.27

Ahli Bank Oman Stock - (OMR) 0.179 0.179 0.000 0.00% -38.70% 0.185 0.175

KMEFIC Stock (Kw D) 0.047 0.047 0.000 0.00% -46.55% 0.047 0.039

US Discount Rate 0.75% 18-Feb-10 Fed Funds 0.25% 16-Dec-08

ECB Lending Rate 1.50% 08-Dec-11 ECB Repo 0.75% 08-Dec-11

BOE Lending Rate 0.50% 05-Mar-09 UK Base Rate 0.50% 05-Mar-09

Bahrain Repo 2.25% 15-Sep-09 Deposit Facility 0.25% 18-Dec-08

Qatar Repo 4.50% 10-Aug-11 Deposit Facility 0.75% 05-Apr-11

Kuw ait Discount Rate 2.00% 04-Oct-12 Kuw ait 1M Repo 2.00% 08-Feb-10

Saudi Repo 2.00% 19-Jan-09 Reverse Repo 0.25% 16-Jun-09

Corridor Rate 10.25% 24-Nov-11 Egypt O/N Dep 9.25% 24-Nov-11

FOMC Meetings 2013

30-Jan-13 unchanged

20-Mar-13

01-May-13

19-Jun-13

31-Jul-13

18-Sep-13

30-Oct-13

18-Dec-13

Money Market Rates

ECB Meetings 2013

10-Jan-13 unchanged

07-Feb-13 unchanged

21-Feb-13

07-Mar-13

21-Mar-13

04-Apr-13

18-Apr-13

02-May-13

This document has been prepared and issued by Ahli United Bank B.S.C. (“AUB”) which is regulated by the Central Bank of Bahrain. All recipients of this document should note that it is being furnished to them solely for information

purposes and may not be reproduced or redistributed to any other person without the permission of AUB. Although information has been obtained from and is based upon sources believed to be reliable, AUB does not warrant

its accuracy and it may be incomplete or condensed. All opinions and estimates constitute AUB’s judgement at the date of publication and are subject to change without notice. AUB does not advise as to the suitability or otherwise

of this information and provides the information to recipients exclusively on the basis that they have sufficient knowledge, experience and/or professional financial, legal, tax and other advice to make an independ-

2013

Low

Libor Today Previous Change 2013 High 2013 Low

USD 3Mth 0.29310 0.29200 0.00110 0.30500 0.29200

USD 6Mth 0.46490 0.46540 -0.00050 0.50625 0.46490

USD 12Mth 0.76500 0.76600 -0.00100 0.84250 0.76500

EUR 3Mth 0.22700 0.22700 0.00000 0.23400 0.18100

EUR 6Mth 0.37100 0.37200 -0.00100 0.38000 0.32400

EUR 12Mth 0.60600 0.60900 -0.00300 0.62200 0.54400

GBP 3Mth 0.51000 0.51125 -0.00125 0.51500 0.51000

GBP 6Mth 0.64063 0.64125 -0.00062 0.67063 0.64063

GBP 12Mth 0.97063 0.97125 -0.00062 1.01750 0.97063

AUB Bhibor 3Mth 1.26000 1.26000 0.00000 1.26000 1.25000

AUB Bhibor 6Mth 1.76000 1.76000 0.00000 1.76000 1.75000

AUB Bhibor 12Mth 1.94000 1.94000 0.00000 1.95000 1.94000

SAR 3Mth 0.97625 0.97750 -0.00125 0.99750 0.97625

SAR 6Mth 1.01750 1.01875 -0.00125 1.02250 1.01750

SAR 12Mth 1.12313 1.12313 0.00000 1.13188 1.12313


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Mar-13 Jun-13 0.02% 0.01% 0.05%

Jun-13 Sep-13 0.03% 0.00% 0.07%

Sep-13 Dec-13 0.03% 0.01% 0.06%

Dec-13 Mar-14 0.04% 0.02% 0.06%

Mar-14 Jun-14 0.05% 0.05% 0.06%

Jun-14 Sep-14 0.06% 0.05% 0.07%

Treasury Daily Market Report - 12 February 2013 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.43 0.42 0.01 0.68 0.35 0.26

USD 3Yr 0.57 0.56 0.01 0.89 0.42 0.39

USD 5Yr 1.01 1.00 0.01 1.46 0.72 0.85

USD 10Yr 2.04 2.04 0.00 2.46 1.52 1.96

USD 30Yr 3.01 2.98 0.03 3.17 2.22 3.17

EUR 2Yr 0.61 0.60 0.01 1.20 0.29 0.17

EUR 3Yr 0.76 0.75 0.00 1.39 0.40 0.28

EUR 5Yr 1.10 1.09 0.00 1.78 0.73 0.63

EUR 10Yr 1.87 1.86 0.01 2.47 1.55 1.61

GBP 2Yr 0.69 0.70 -0.01 1.42 0.64 0.33

GBP 3Yr 0.81 0.81 0.00 1.47 0.69 0.38

GBP 5Yr 1.18 1.17 0.00 1.78 0.94 0.95

GBP 10Yr 2.14 2.13 0.01 2.67 1.79 2.13

SAR 2Yr 0.98 0.97 0.01 1.11 0.86 N/A

SAR 3Yr 1.13 1.12 0.01 1.34 0.92 N/A

SAR 5Yr 1.64 1.62 0.02 2.12 1.40 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 0.58 0.58 -0.00 1.57 0.34 0.34

US 2Yr / 10Yr 1.62 1.63 -0.01 2.81 0.25 1.70

US 10yr / 30yr 0.97 0.93 0.03 0.99 0.46 1.21

US / EUR 10yr 0.18 0.18 -0.01 0.32 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.29% 0.51% 0.23%

Mar-13 99.705 0.30% 99.490 0.51% 99.745 0.25%

Jun-13 99.685 0.31% 99.480 0.52% 99.695 0.30%

Sep-13 99.655 0.34% 99.480 0.52% 99.630 0.37%

Dec-13 99.620 0.38% 99.470 0.53% 99.565 0.44%

Mar-14 99.580 0.42% 99.450 0.55% 99.500 0.50%

Jun-14 99.525 0.47% 99.405 0.59% 99.435 0.56%

Sep-14 99.460 0.54% 99.355 0.64% 99.365 0.63%

Dec-14 99.385 0.61% 99.290 0.71% 99.290 0.71%

Mar-15 99.305 0.69% 99.220 0.78% 99.220 0.78%

Jun-15 99.210 0.79% 99.130 0.87% 99.130 0.87%

Sep-15 99.100 0.90% 99.030 0.97% 99.035 0.97%

Dec-15 98.970 1.03% 98.910 1.09% 98.930 1.07%

6 M th USD GBP EUR

Mar-13 Sep-13 0.05% 0.01% 0.12%

Jun-13 Dec-13 0.06% 0.01% 0.13%

Sep-13 Mar-14 0.08% 0.03% 0.13%

Dec-13 Jun-14 0.09% 0.06% 0.13%

Mar-14 Sep-14 0.12% 0.09% 0.13%

12 M th USD GBP EUR

Mar-13 Mar-14 0.13% 0.04% 0.25%

Jun-13 Jun-14 0.16% 0.08% 0.26%

Sep-13 Sep-14 0.19% 0.13% 0.26%

Commodity Change % Change 2013 High 2013 Low

RJ CRB Index 300.71 301.06 -0.3581 -0.12% 326.02 266.78

WTC 96.99 95.69 1.3000 1.36% 97.96 92.97

Gold ($) 1645.11 1667.89 -22.7800 -1.37% 1694.90 1625.79

Silver ($) 30.85 31.51 -0.6600 -2.09% 32.21 29.20

Platinum ($) 1552 1552 0.2500 0.02% 1702 1532

Implied 6m Libor (from Futures)

USD GBP EUR

6m Libor 0.46% 0.64% 0.37%

Mar-13 0.31% 0.52% 0.28%

Jun-13 0.33% 0.52% 0.34%

Sep-13 0.36% 0.53% 0.40%

Dec-13 0.40% 0.54% 0.47%

Mar-14 0.45% 0.57% 0.53%

Jun-14 0.51% 0.62% 0.60%

Sep-14 0.58% 0.68% 0.67%

Dec-14 0.66% 0.75% 0.75%

Mar-15 0.74% 0.83% 0.83%

Jun-15 0.85% 0.92% 0.92%

Sep-15 0.97% 1.03% 1.02%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.22% -0.07% 0.28%

Mar-13 0.21% -0.04% 0.25%

Jun-13 0.20% -0.01% 0.22%

Sep-13 0.17% 0.03% 0.15%

Dec-13 0.15% 0.06% 0.09%

Mar-14 0.13% 0.08% 0.05%

Jun-14 0.12% 0.09% 0.03%

Sep-14 0.11% 0.09% 0.01%

This document has been prepared and issued by Ahli United Bank B.S.C. (“AUB”) which is regulated by the Central Bank of Bahrain. All recipients of this document should note that it is being furnished to them solely for information

purposes and may not be reproduced or redistributed to any other person without the permission of AUB. Although information has been obtained from and is based upon sources believed to be reliable, AUB does not warrant its accuracy

and it may be incomplete or condensed. All opinions and estimates constitute AUB’s judgement at the date of publication and are subject to change without notice. AUB does not advise as to the suitability or otherwise of this information

and provides the information to recipients exclusively on the basis that they have sufficient knowledge, experience and/or professional financial, legal, tax and other advice to make an independent assessment thereof.


Treasury Daily Market Report - 12 February 2013 Page 4

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This document has been prepared and issued by Ahli United Bank B.S.C. (“AUB”) which is regulated by the Central Bank of Bahrain. All recipients of this document should note that it is being furnished to them solely for information

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and it may be incomplete or condensed. All opinions and estimates constitute AUB’s judgement at the date of publication and are subject to change without notice. AUB does not advise as to the suitability or otherwise of this information

and provides the information to recipients exclusively on the basis that they have sufficient knowledge, experience and/or professional financial, legal, tax and other advice to make an independent assessment thereof.

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