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Treasury Daily Market Report - 25 June 2013 Page 1

Headline News

• European calendar has Italian

bond, Spanish bill sales, French

business confidence

• USD consolidated off Mon's highs;

FX majors experience an 'inside

day'

• Asian equities were weighed by

more China losses, now in bear

market territory

• Fed hawk Fisher: fully agreed with

Bernanke's announced tapering

stimulus

• Fed dove Kocherlakota: should

keep buying bonds until jobless

rate sub-7.0%

• U.S. Treasury supply hits this

week with $99 bln in coupon auctions

starting Tue

• U.S. VIX equity vol surged Mon

over 21.0 to highest level since

Dec-31

• U.S. calendar Tue includes durable

goods, consumer confidence,

new home sales

Daily Commentary

Risk aversion continued to influence as China experienced

another round of deep losses, which took the SSEC into bear

market territory. However, the impact on the FX market was

more muted and the G10 FX experienced an inside day. The

EUR marked time close to 1.3100, Cable found a foothold

over 1.5400, while AUD trade close to 0.9200. USD-JPY

movement was choppy again, largely due to equity market

moves and it experienced limited upside over 98.00. So far,

China has not responded to liquidity problems, though money

markets rates are off the highs seen last week. There is conjecture

that the PBoC may be holding out until quarter-end,

when liquidity is expected to improve. Meanwhile, BoJ deputy

governor Iwata said he expected markets to stabilise.

EUR-USD traded a tight range ahead of 1.3100. After starting

the session around 1.3120 it edged up to 1.3135. However,

equity market losses in China weighed on other regional indices

and this limited the EUR upside. There was more price

chop via the EUR crosses. EUR-JPY was heavily influenced

by the Nikkei, which moved from positive to negative territory

and left the cross under 128.00. EUR-AUD was underpinned

over 1.4200 versus the 1.4150 area early on as China woes

weighed on AUD. The balance of EUR-USD risk should remain

on the downside given the current appetite for dollars,

though EUR ran into very good support through the 200-dma

at 1.3070 on Monday.

Schedule of Forthcoming Key Economic Releases and Events

Tuesday, 25 th Jun

US– Durable Orders

US– Redbook

US– Consumer Confidence

US– Richmond Fed Index

FR– Business Confidence

Wednesday, 26 th Jun

US– MBA Mortgage Applications

US– GDP Third Report

GER– GfK Consumer Confidence

FR– GDP

USD-JPY experienced more choppy action as the Nikkei moved

from positive to negative territory, though eventually closed out

losses in excess of 1.5%. USD-JPY firmed up from the 97.50

region on Japanese importer demand and extended through

98.00 amid a offshore fund buy order. Movement over 98.00 was

limited though as specs were focused on China moves, which

dragged Japanese markets into negative territory. USD-JPY

retraced all of its gains and extended to 97.25 by late Asia. A

reduction in speculative positioning should see periods of yen

gains, but appetite to hold dollars may limit USD-JPY losses.

Good support is tipped into the 97.00 region, while more buyers

are noted from 96.75-80.

AUD-USD experienced more selling pressure on upticks, leaving

it close to 0.9200 at the Asian close. It started the session

around 0.9250 following yesterday's heavy short squeeze out of

0.9148 to 0.9285. Markets started on a more promising footing,

which encouraged an early move into the 0.9275 region. However,

China fell heavily again and this triggered more leverage fund

selling and drove AUD back into 0.9200. Movement in AUD will

be closely tied to equity market moves. However, there were

signs yesterday that some long-term names were re-entering the

market between 0.9180 and 0.9150 ahead of very strong support

at 0.9143.

Thursday, 27 th Jun

US– Initial Claims

US– Bloomberg Consumer Comfort Indx

UK– GDP

EU– Economic & Consumer Confidence

GER– Unemployment Rate

Friday, 28 th Jun

US– Chicago ISM

US– Michigan Sentiment Final

UK– GfK Consumer Confidence

Monday, 01 st Jul

US– ISM (Mgf)

US– Markit PMI

EU– Unemployment Rate

CA– Canada Day - Markets Closed

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 - 25 June 2013 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2013 High 2013 Low

USD TW Index 82.48 82.60 -0.11 -0.14% 84.283 79.218

EUR/USD 1.3113 1.3107 0.0006 0.05% 1.3711 1.2748

GBP/USD 1.5439 1.5375 0.0064 0.42% 1.6380 1.4889

USD/JPY 97.48 98.39 -0.9100 -0.92% 103.25 86.55

USD/CHF 0.9340 0.9360 -0.0020 -0.21% 0.9777 0.9023

EUR/GBP 0.8495 0.85255 -0.0031 -0.36% 0.8750 0.8406

AUD/USD 0.9217 0.9208 0.0009 0.10% 1.0598 0.9149

USD/CAD 1.0524 1.0498 0.0026 0.25% 1.0556 0.9815

USD/INR 59.76 59.65 0.11 0.18% 59.76 52.90

USD/IQD 1164.10 1161.00 3.10 0.27% 1167.00 1145.00

USD/SAR 3.7505 3.75035 0.0001 0.00% 3.75050 3.7501

USD/BHD 0.37703 0.37703 0.00000 0.00% 0.37708 0.37699

USD/KWD 0.28480 0.28495 -0.00015 -0.05% 0.28680 0.28085

USD/QAR 3.6413 3.6415 -0.0002 -0.01% 3.6418 3.6401

USD/OMR 0.38501 0.38501 0.00000 0.00% 0.38503 0.38495

USD/AED 3.6729 3.6730 -0.0000 0.00% 3.6731 3.6728

USD/EGP 7.0038 6.9958 0.00800 0.11% 7.00380 6.34210

USD/LYD 1.2682 1.2606 0.0076 0.60% 1.2845 1.2502

Equity Market Snapshot

Index

Last

Close

Prev.

Close

D aily

Chg

% D aily

Chg

2013

% Chg

2013

High

Dow Jones 14,660 14,799 -139.84 -0.94% 11.87% 15,542 12,035

NA SDA Q 3,321 3,357 -36.49 -1.09% 27.47% 6,557 2,545

FTSE 6,029 6,116 -87.07 -1.42% 2.19% 6,840 6,027

Nikkei 12,824 13,166 -341.89 -2.60% 23.37% 15,563 10,399

S&P 1,573 1,592 -19.34 -1.21% 10.30% 1,669 1,267

Kuw ait SE 7,943 8,068 -124.86 -1.55% 14.18% 8,431 5,994

Dubai SE 2,256 2300 -43.81 -1.90% 38.36% 2,430 1,623

Saudi SE 7,501 7,562 -60.81 -0.80% 12.69% 7,655 6,801

Qatar SE 9,232 9,232 0.00 0.00% 4.04% 9,518 8,333

Bahrain SE 1,198 1,203 -4.74 -0.39% -16.34% 1,209 1,055

Musc at SE 6,351 6,408 -56.60 -0.88% -6.68% 8,396 5,761

Egy pt Hermes 462 461 1.18 0.26% -29.84% 584 461

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.665 0.660 0.005 0.76% -6.34% 0.665 0.570

AUB Stock - Kuw ait (Kw D) 0.188 0.190 -0.002 -1.05% -6.00% 0.196 0.150

AUB Stock - Kuw ait (US$ Eqv) 0.660 0.667 -0.007 -1.00% -7.42% 0.688 0.531

A LMUTA HED Stock - (Kw D) 0.760 0.750 0.010 1.33% 15.15% 0.860 0.710

Commercial Bank of Iraq (IQD) 0.96 0.97 -0.010 -1.03% -30.94% 1.27 0.95

Ahli Bank Oman Stock - (OMR) 0.20 0.20 -0.002 -1.01% -32.53% 0.20 0.17

KMEFIC Stock (Kw D) 0.064 0.065 -0.001 -1.54% -26.44% 0.072 0.039

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

ECB Lending Rate 1.00% 07-May-13 ECB Repo 0.50% 02-May-13

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 10.75% 24-Mar-13 Egypt O/N Dep 9.75% 24-Mar-13

FOMC Meetings 2013

30-Jan-13 unchanged

20-Mar-13 unchanged

01-May-13 unchanged

19-Jun-13 unchanged

31-Jul-13

18-Sep-13

30-Oct-13

18-Dec-13

Money Market Rates

ECB Meetings 2013

18-Apr-13 unchanged

02-May-13 cut 25bp

16-May-13 unchanged

06-Jun-13 unchanged

20-Jun-13 unchanged

04-Jul-13

18-Jul-13

01-Aug-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

2013

Low

Libor Today Previous Change 2013 High 2013 Low

USD 3Mth 0.27675 0.27275 0.00400 0.30500 0.27175

USD 6Mth 0.42541 0.41380 0.01161 0.50625 0.40926

USD 12Mth 0.70315 0.68295 0.02020 0.84250 0.66809

EUR 3Mth 0.22100 0.21600 0.00500 0.23400 0.18100

EUR 6Mth 0.34100 0.33300 0.00800 0.38000 0.29300

EUR 12Mth 0.53500 0.52400 0.01100 0.62200 0.47300

GBP 3Mth 0.51100 0.50850 0.00250 0.51500 0.50438

GBP 6Mth 0.60425 0.59988 0.00437 0.67063 0.58625

GBP 12Mth 0.91500 0.90250 0.01250 1.01750 0.88188

BHD 3Mth 1.08000 1.08000 0.00000 1.26000 1.06250

BHD 6Mth 1.39750 1.39500 0.00250 1.76000 1.33000

BHD 12Mth 1.69000 1.69000 0.00000 1.95000 1.64330

SAR 3Mth 0.96250 0.96500 -0.00250 0.99750 0.96125

SAR 6Mth 1.00000 1.00000 0.00000 1.02250 1.00000

SAR 12Mth 1.10250 1.10375 -0.00125 1.13188 1.10125


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Sep-13 Dec-13 0.08% 0.11% 0.10%

Dec-13 Mar-14 0.07% 0.10% 0.09%

Mar-14 Jun-14 0.07% 0.09% 0.08%

Jun-14 Sep-14 0.09% 0.10% 0.08%

Sep-14 Dec-14 0.13% 0.11% 0.08%

Dec-14 Mar-15 0.16% 0.13% 0.09%

Treasury Daily Market Report - 25 June 2013 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.59 0.60 0.00 0.60 0.34 0.38

USD 3Yr 0.87 0.94 -0.07 0.94 0.42 0.70

USD 5Yr 1.62 1.71 -0.09 1.71 0.72 1.42

USD 10Yr 2.73 2.76 -0.03 2.76 1.52 2.51

USD 30Yr 3.44 3.51 -0.07 3.51 2.22 3.54

EUR 2Yr 0.69 0.68 0.00 0.90 0.29 0.25

EUR 3Yr 0.93 0.90 0.04 1.01 0.40 0.43

EUR 5Yr 1.40 1.33 0.07 1.46 0.69 0.84

EUR 10Yr 2.14 2.05 0.09 2.16 1.42 1.80

GBP 2Yr 0.99 0.89 0.09 1.02 0.56 0.57

GBP 3Yr 1.24 1.14 0.09 1.24 0.61 0.83

GBP 5Yr 1.82 1.68 0.14 1.82 0.88 1.65

GBP 10Yr 2.72 2.60 0.12 2.72 1.76 2.56

SAR 2Yr 0.98 1.07 -0.09 1.11 0.86 N/A

SAR 3Yr 1.27 1.39 -0.12 1.39 0.92 N/A

SAR 5Yr 2.04 2.15 -0.11 2.15 1.40 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 1.03 1.12 -0.09 1.57 0.34 0.34

US 2Yr / 10Yr 2.14 2.17 -0.03 2.81 0.25 2.13

US 10yr / 30yr 0.71 0.74 -0.04 1.01 0.46 1.02

US / EUR 10yr 0.59 0.71 -0.12 0.71 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.28% 0.51% 0.22%

Sep-13 99.655 0.34% 99.380 0.62% 99.630 0.37%

Dec-13 99.575 0.42% 99.270 0.73% 99.525 0.47%

Mar-14 99.505 0.50% 99.170 0.83% 99.435 0.56%

Jun-14 99.435 0.56% 99.080 0.92% 99.360 0.64%

Sep-14 99.340 0.66% 98.980 1.02% 99.285 0.72%

Dec-14 99.210 0.79% 98.870 1.13% 99.200 0.80%

Mar-15 99.050 0.95% 98.745 1.26% 99.110 0.89%

Jun-15 98.855 1.15% 98.600 1.40% 99.010 0.99%

Sep-15 98.630 1.37% 98.435 1.57% 98.905 1.10%

Dec-15 98.380 1.62% 98.255 1.75% 98.780 1.22%

Mar-16 98.120 1.88% 98.075 1.93% 98.645 1.36%

Jun-16 97.855 2.15% 97.905 2.10% 98.500 1.50%

6 M th USD GBP EUR

Sep-13 Mar-14 0.15% 0.21% 0.19%

Dec-13 Jun-14 0.14% 0.19% 0.17%

Mar-14 Sep-14 0.16% 0.19% 0.15%

Jun-14 Dec-14 0.22% 0.21% 0.16%

Sep-14 Mar-15 0.29% 0.23% 0.17%

12 M th USD GBP EUR

Sep-13 Sep-14 0.31% 0.40% 0.34%

Dec-13 Dec-14 0.36% 0.40% 0.33%

Mar-14 Mar-15 0.45% 0.42% 0.33%

Commodity Change % Change 2013 High 2013 Low

RJ CRB Index 277.48 278.08 -0.6028 -0.22% 326.02 266.78

WTC 95.04 93.81 1.2300 1.31% 98.46 86.65

Gold ($) 1276.56 1284.26 -7.7000 -0.60% 1694.90 1276.56

Silver ($) 19.58 19.83 -0.2500 -1.26% 32.21 19.58

Platinum ($) 1552 1552 0.2500 0.02% 1702 1532

Implied 6m Libor (from Futures)

USD GBP EUR

6m Libor 0.43% 0.60% 0.34%

Sep-13 0.39% 0.68% 0.42%

Dec-13 0.46% 0.78% 0.52%

Mar-14 0.53% 0.88% 0.60%

Jun-14 0.61% 0.97% 0.68%

Sep-14 0.73% 1.08% 0.76%

Dec-14 0.87% 1.19% 0.85%

Mar-15 1.05% 1.33% 0.94%

Jun-15 1.26% 1.48% 1.04%

Sep-15 1.50% 1.66% 1.16%

Dec-15 1.75% 1.84% 1.29%

Mar-16 2.01% 2.01% 1.43%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.23% -0.06% 0.29%

Sep-13 0.28% 0.03% 0.25%

Dec-13 0.31% 0.05% 0.26%

Mar-14 0.33% 0.07% 0.27%

Jun-14 0.36% 0.08% 0.28%

Sep-14 0.36% 0.06% 0.30%

Dec-14 0.34% 0.01% 0.33%

Mar-15 0.30% -0.06% 0.36%

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 - 25 June 2013 Page 4

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