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Treasury Daily Market Report - 19 June 2012 Page 1

Headline News

• Asian calendar light: Japan leading and

coincident indexes slated; exports

Wednesday

• Germany's Merkel took hardline on Greek

reform, said no loosening of prior pledges

• NY Fed Double-Twist: sold $8.59 bln 2-

year notes; bought $1.92 bln bonds

• G20 Draft Communique: eurozone should

take all necessary measures, ensure reform

• U.S. NAHB housing market index rose to

29 in Jun, above med vs revised 28 in

May

• EUR tested stops sub-1.26 on eurospread

widening, ECB revealed no bond

purchases

• U.S. equities rebounded with tech after

euro-sion; yields reversed from lows

• Canada’s held onto recent gains after

data confirmed bond inflows, CAD edged

lower

Daily Commentary

FX trade was fairly nervous in N.Y. on Monday, though overall, the

greenback posted modest gains versus most major currencies. In the

aftermath of the Greek vote, seemingly a euro positive, EUR-USD spent

most of its time heading lower. The uncertainty over the make-up of any

new Greek government kept dealers wary of buying the EUR, while

higher Spanish yields, and still no real clear path toward bank bailouts

there dented sentiment as well. Tempering dollar gains was the looming

FOMC meeting, where further Fed easing could see the greenback

come under renewed pressure. EUR-USD moved under 1.2560, after

peaking in early Asia near 1.2730 after the election results were known.

Today's U.S. calendar reveals May housing starts.

EUR-USD posted lows of 1.2565, as option backed support disappeared

following the expiry of 1.2600 strikes at 10:00 EDT. Euro buyers became

scarcer this morning, as Greek's woes didn't look to much improved from

Friday. It remains to be seen how the rest of the EU tackles the reform

path in Greece, though Germany's Merkel in comments took a hard line

on reform efforts. The pairing later posted a 1.2556 intraday low, though

reportedly ran into fairly decent bids under 1.2560. Traders said 1.2540

is shaping up to be a good support level, though the fact that sell-stops

are building under the level may make it an attractive target for bears

overnight.

USD-JPY is bearish after Friday's drop from 79.50 towards the 200-dma

at 78.72 after the BoJ left policy unchanged. We see downside risk, with

scope for a move towards lows on June 4-5 at 78.00-05 if it can sustain

a close under 78.70. However, there is a strong likelihood of stealth bids

from quasi-official entities towards 78.50 and below. After finding support

into 78.90 in N.Y., the pairing managed a rebound over 79.10 in afternoon

trade, though selling into modest rallies has been noted.

USD-CAD sank to lows under 1.0195 in Asian trade in the aftermath

of the Greek election outcome, as risk taking levels improved. Canadian

buy orders under 1.0200 (likely corporate backed) put a floor

under the pairing, and it remained pegged to either side of 1.0200

through early London trade. As uncertainties over the form of the

Greek government, and issues in Spain persisted though, USD-CAD

ran up to highs near 1.0280. The pairing traded a narrow range in

North America, staying inside of 1.0240-80 for the duration.

USD-CHF's bearish tone is still intact, though it bottomed out ahead

of good support from 0.9400 to 0.9370. After hitting Asian lows of

0.9422 buyers have been noted, with sovereign names tipped, along

with short term hot money flows. The recovery has extended back

through 0.9500 after weak shorts were cleared away above 0.9470

in early Europe. The outlook for the dollar will be heavily influenced

by this week's Fed outcome. Fed watchers are split and it is likely to

be major influence ahead of next week's EU summit..

Nymex crude rejected $85 bbl and headed back below $84 bbl as

markets consolidated after the brief relief rally in Asia. The Greek

election outcome was the more favorable one for markets, but New

Democracy still need to build a coalition and there are still other

major Eurozone uncertainties to negotiate. Developments in the

Middle East are have not had that much influence, with the markets

well supplied amid lofty productions levels from OPEC members,

along with high U.S. inventory builds. This comes against a backdrop

of weak global growth dynamics, which should put a cap on the

upside in commodities generally.

• Canadian portfolio inflows rebounded in

Apr, foreign investors purchased C$10.2

bln

• Euro stocks: Greece rallied on election,

but Spain led broader markets down

• Dollar scarcity is on the rise amid central

bank demand, according to research

• France's Hollande wins absolute majority

in National Assembly

• NYMEX Crude unwound early gains, market

weighed up risks

Schedule of Forthcoming Key Economic Releases and Events

Tuesday, 19 th June

US– Redbook

US– JOLTS Job Opening

US– FOMC 2-Day Meeting Begins

UK– CPI

GER– ZEW Economic Sentiment

Wednesday, 20 th June

US– FOMC Policy Announcement

US– MBA Mortgage Applications

US– Mass Layoff Actions

GER– PPI

UK– BoE Minutes Jun 6-7 Meeting

UK– Claimant Count Rate

UK– ILO Unemployment Rate

Thursday, 21 st June

US– Initial Claims

US– Bloomberg Consumer Comfort Index

US– Philadelphia Fed Index

EU– Consumer Confidence

GER– Ifo Business Climate

UK– Retail Sales

Friday, 22 nd June

EU– PMI

Monday, 25 th June

US– Chicago Fed Nat’l Activity Index

US– Dallas Fed Index

US– New Home Sales

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 - 19 June 2012 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2012 High 2012 Low

USD TW Index 81.80 81.42 0.38 0.47% 83.006 78.122

EUR/USD 1.2610 1.2702 -0.0092 -0.72% 1.3486 1.2290

GBP/USD 1.5690 1.5705 -0.0015 -0.10% 1.6301 1.5237

USD/JPY 79.01 79.18 -0.1700 -0.21% 84.13 75.93

USD/CHF 0.9530 0.9460 0.0070 0.74% 0.9771 0.8932

EUR/GBP 0.8037 0.8088 -0.0051 -0.63% 0.8505 0.7949

AUD/USD 1.0130 1.0112 0.0018 0.18% 1.0856 0.9583

USD/CAD 1.0230 1.0211 0.0019 0.19% 1.0446 0.9800

USD/INR 56.06 55.392 0.66 1.20% 56.52 48.61

USD/IQD 1166.00 1166.00 0.00 0.00% 1168.30 1162.90

USD/SAR 3.7504 3.7504 0.0000 0.00% 3.75050 3.7500

USD/BHD 0.37702 0.37702 0.00000 0.00% 0.37715 0.37699

USD/KWD 0.28021 0.28006 0.00015 0.05% 0.28160 0.27680

USD/QAR 3.6412 3.6412 0.0000 0.00% 3.6415 3.6400

USD/OMR 0.38501 0.385005 0.00000 0.00% 0.38605 0.38400

USD/AED 3.6730 3.6730 0.0000 0.00% 3.6732 3.6726

USD/EGP 6.0500 6.0500 0.00000 0.00% 6.05250 6.02000

USD/LYD 1.2664 1.2664 0.0000 0.00% 1.2728 1.2150

Equity Market Snapshot

Inde x

Last

Close

Prev.

Close

D a ily

Chg

% D a ily

Chg

2012

% Chg

2012

High

Dow Jones 12,742 12,767 -25.35 -0.20% 4.29% 13,279 12,101

NA SDA Q 2,895 2,873 22.53 0.78% 11.14% 3,123 2,649

FTSE 5,491 5,479 12.28 0.22% -6.93% 5,966 5,260

Nikkei 8,698 8,724 -26.72 -0.31% 2.86% 10,180 8,263

S&P 1,345 1,343 1.94 0.14% 6.93% 1,419 1,277

Kuw ait SE 5,949 5,908 40.89 0.69% -14.48% 6,492 5,680

Dubai SE 1,474 1464 9.91 0.68% -9.62% 1,754 1,301

Saudi SE 6,808 6,754 53.28 0.79% 2.28% 7,931 6,370

Qatar SE 8,277 8,251 25.39 0.31% -6.72% 8,880 8,251

Bahrain SE 1,130 1,132 -1.44 -0.13% -21.07% 1,162 1,117

Muscat SE 5,709 5,709 -0.11 0.00% -16.12% 6,008 5,561

Egy pt Hermes 441 455 -13.55 -2.98% -33.05% 541 382

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.590 0.590 0.000 0.00% -16.90% 0.695 0.550

AUB Stock - Kuw ait (Kw D) 0.168 0.166 0.002 1.20% -16.00% 0.192 0.166

AUB Stock - Kuw ait (US$ Eqv) 0.600 0.593 0.007 1.15% -15.91% 0.685 0.591

A LMUTA HED Stock - (Kw D) 0.890 0.870 0.020 2.30% 34.85% 0.930 0.810

ABQ Stock - (QAR) 59.00 61.50 -2.500 -4.07% -6.20% 72.80 54.38

Commercial Bank of Iraq (IQD) 1.22 1.21 0.010 0.83% -12.23% 1.28 1.21

Ahli Bank Oman Stock - (OMR) 0.199 0.198 0.001 0.51% -31.85% 0.265 0.196

KMEFIC Stock (Kw D) 0.055 0.055 0.000 0.00% -36.78% 0.102 0.050

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

ECB Lending Rate 1.75% 08-Dec-11 ECB Repo 1.00% 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 2.50% 08-Feb-10 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 2012

25-Jan-12 unchanged

13-Mar-12 unchanged

25-Apr-12 unchanged

20-Jun-12

31-Jul-12

12-Sep-12

24-Oct-12

11-Dec-12

Money Market Rates

ECB Meetings 2012

19-Apr-12 unchanged

03-May-12 unchanged

16-May-12 unchanged

06-Jun-12 unchanged

21-Jun-12

05-Jul-12

19-Jul-12

02-Aug-12

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-

2012

Low

Libor Today Previous Change 2012 High 2012 Low

USD 3Mth 0.46785 0.46785 0.00000 0.58250 0.46565

USD 6Mth 0.73690 0.73740 -0.00050 0.81200 0.72740

USD 12Mth 1.06950 1.06950 0.00000 1.13035 0.10515

EUR 3Mth 0.65900 0.66200 -0.00300 1.28357 0.65900

EUR 6Mth 0.93400 0.93900 -0.00500 1.55571 0.93400

EUR 12Mth 1.22100 1.22600 -0.00500 1.90457 1.22100

GBP 3Mth 0.93063 0.95088 -0.02025 1.08956 0.93063

GBP 6Mth 1.22063 1.24188 -0.02125 1.39563 1.22063

GBP 12Mth 1.73438 1.76938 -0.03500 1.89675 1.73438

AUB Bhibor 3Mth 1.30000 1.30000 0.00000 1.41000 1.30000

AUB Bhibor 6Mth 1.76000 1.76000 0.00000 1.76000 1.60000

AUB Bhibor 12Mth 1.93000 1.93000 0.00000 2.30000 1.92000

SAR 3Mth 0.92625 0.92625 0.00000 0.92625 0.82625

SAR 6Mth 0.98750 0.98750 0.00000 0.98750 0.85125

SAR 12Mth 1.12000 1.12000 0.00000 1.30588 1.04000


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Sep-12 Dec-12 0.02% -0.03% 0.00%

Dec-12 Mar-13 0.02% -0.03% 0.00%

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

Jun-13 Sep-13 0.01% 0.00% 0.03%

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

Dec-13 Mar-14 0.02% 0.03% 0.06%

Treasury Daily Market Report - 19 June 2012 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.56 0.56 -0.01 0.81 0.39 0.28

USD 3Yr 0.63 0.65 -0.02 1.18 0.55 0.38

USD 5Yr 0.96 0.99 -0.02 2.08 0.92 0.67

USD 10Yr 1.73 1.78 -0.05 3.31 1.63 1.57

USD 30Yr 2.39 2.48 -0.09 4.11 2.25 2.66

EUR 2Yr 0.86 0.88 -0.02 2.23 0.83 0.01

EUR 3Yr 0.95 0.97 -0.02 2.49 0.88 0.13

EUR 5Yr 1.28 1.30 -0.02 2.87 1.12 0.47

EUR 10Yr 1.89 1.89 0.00 3.46 1.59 1.42

GBP 2Yr 0.91 0.93 -0.02 1.60 0.88 0.26

GBP 3Yr 0.91 0.93 -0.02 1.87 0.89 0.33

GBP 5Yr 1.12 1.15 -0.03 2.56 1.10 0.70

GBP 10Yr 1.96 1.97 -0.01 3.59 1.89 1.68

SAR 2Yr 1.05 1.04 0.01 1.13 0.58 N/A

SAR 3Yr 1.20 1.19 0.01 1.45 0.78 N/A

SAR 5Yr 1.79 1.76 0.03 2.39 1.37 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 0.40 0.42 -0.02 1.57 0.34 0.61

US 2Yr / 10Yr 1.17 1.21 -0.04 2.81 0.25 1.29

US 10yr / 30yr 0.66 0.70 -0.04 0.97 0.46 1.09

US / EUR 10yr -0.16 -0.11 -0.05 0.32 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.47% 0.93% 0.66%

Sep-12 99.515 0.48% 99.310 0.69% 99.490 0.51%

Dec-12 99.490 0.51% 99.340 0.66% 99.495 0.50%

Mar-13 99.475 0.52% 99.370 0.63% 99.495 0.50%

Jun-13 99.460 0.54% 99.380 0.62% 99.480 0.52%

Sep-13 99.450 0.55% 99.380 0.62% 99.450 0.55%

Dec-13 99.425 0.58% 99.350 0.65% 99.390 0.61%

Mar-14 99.400 0.60% 99.320 0.68% 99.330 0.67%

Jun-14 99.355 0.64% 99.270 0.73% 99.250 0.75%

Sep-14 99.290 0.71% 99.220 0.78% 99.160 0.84%

Dec-14 99.195 0.80% 99.140 0.86% 99.045 0.95%

Mar-15 99.105 0.89% 99.060 0.94% 98.945 1.05%

Jun-15 98.985 1.02% 98.970 1.03% 98.825 1.18%

6 M th USD GBP EUR

Sep-12 Mar-13 0.04% -0.06% 0.00%

Dec-12 Jun-13 0.03% -0.04% 0.02%

Mar-13 Sep-13 0.03% -0.01% 0.05%

Jun-13 Dec-13 0.04% 0.03% 0.09%

Sep-13 Mar-14 0.05% 0.06% 0.12%

12 M th USD GBP EUR

Sep-12 Sep-13 0.06% -0.07% 0.04%

Dec-12 Dec-13 0.07% -0.01% 0.11%

Mar-13 Mar-14 0.08% 0.05% 0.17%

Commodity Change % Change 2012 High 2012 Low

RJ CRB Index 273.62 272.23 1.3900 0.51% 325.91 268.31

WTC 83.24 84.01 -0.7700 -0.92% 109.38 82.54

Gold ($) 1627.91 1621.99 5.9200 0.36% 1789.49 1535.80

Silver ($) 28.82 28.68 0.1400 0.49% 37.19 27.51

Platinum ($) 1552 1552 0.2500 0.02% 1552 1389

Implied 6m Libor (from Futures)

USD GBP EUR

6m Libor 0.74% 1.22% 0.93%

Sep-12 0.50% 0.68% 0.51%

Dec-12 0.52% 0.65% 0.51%

Mar-13 0.53% 0.63% 0.51%

Jun-13 0.55% 0.62% 0.54%

Sep-13 0.56% 0.64% 0.58%

Dec-13 0.59% 0.67% 0.64%

Mar-14 0.62% 0.71% 0.71%

Jun-14 0.68% 0.76% 0.80%

Sep-14 0.76% 0.82% 0.90%

Dec-14 0.85% 0.90% 1.01%

Mar-15 0.96% 0.99% 1.12%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.46% 0.19% 0.27%

Sep-12 0.20% 0.02% 0.18%

Dec-12 0.15% 0.00% 0.16%

Mar-13 0.11% -0.02% 0.13%

Jun-13 0.08% -0.02% 0.10%

Sep-13 0.07% 0.00% 0.07%

Dec-13 0.07% 0.03% 0.04%

Mar-14 0.08% 0.07% 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 - 19 June 2012 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 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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