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Treasury Daily Market Report - 6 June 2013 Page 1

Headline News

• Australian trade balance narrowed to a

A$28 mln surplus Apr from A$555 mln

• Fed Beige Book: familiar "modest to

moderate pace" for growth from mid-

Apr

• Fed hawk Fisher: doesn't see housing

bubble yet, but could slow MBS purchases

• NYMEX crude above $94.0 after big

EIA crude drop, mixed product stats

• NY Fed Ops: purchased $1.54 bln

bonds from Feb 2037 - Feb 2043

• U.S. ISM services index rose to 53.7 in

May, above median 53.4 vs 53.1

• U.S. factory orders rebounded 1.0% in

Apr, below median 1.6% vs -4.7%

• Treasury yields probed NY lows after

data misses; equities back on defensive

• U.S. Q1 productivity revised down to

0.5% vs 0.7%; ULCs cut to -4.3% vs

0.5%

• U.S. ADP employment survey rose

135k in May, below med 165k vs 113k

• U.S. MBA mortgage market index sank

11.5%; purchases -1.6%, refis -15.0%

• USD maintained a weaker tone; JPY

rose after Abe speech on growth

Daily Commentary

The dollar traded with a softer bias in N.Y. on Wednesday following

a softer ADP employment report. Headline non-manufacturing ISM

beat expectations, though there too, the employment component

was soft, which won't bode well for Friday's official May jobs report.

EUR-USD traded over 1.3110 following the jobs data, though while it

pulled back to 1.3060 in subsequent dealings, the euro's tone remained

firm. This may have partly been due to lessened prospects

for ECB rate moves at Thursday's announcement, on top of the

shaky U.S. employment outlook. U.S. equities fell to one-month

lows, which also weighed on dollar sentiment. Today will be weekly

jobless claims, which will continue to highlight Friday's report.

EUR-USD fell back to opening levels, doing a round trip after the

morning's data releases. Choppy prices action was the rule, with

liquidity said to be lacking. The pairing pulled back to 1.3062 lows

after peaking at 1.3116, and bids are now seen from 1.3040. The

pairing made its way back over 1.3100 in afternoon trade, as pre-

ECB short covering set in, along with weight on the dollar from

sharply lower equities.

Schedule of Forthcoming Key Economic Releases and Events

Thursday, 06 th Jun

US– Initial Claims

US– Bloomberg Consumer Comfort Indx

US– Challenger Layoffs

EU– ECB Rate Announcement

UK– BoE Rate Announcement

Friday, 07 th Jun

US– Nonfarm Payrolls

US– Unemployment Rate

UK– Trade Balance

GER– Trade Balance

CA– Unemployment Rate

JP– Leading Index

Monday, 10 th Jun

CH– Unemployment Rate

CH– Retail Sales

ITL– GDP

USD-JPY experienced limited upside, only managing a rally high

around 99.70 following the brief dip into 99.10. Since it broke below

100.00 on Monday the tone has been shaky and there was also

some disappointment that today's growth plan outlined by PM Abe

did not include more details on changes to the national pension fund,

which would enable it to invest more in stocks and overseas assets.

These measures were outlined in a draft report, but the government

is seeking expert advice before proceeding. The more cautious USD

-JPY tone has encouraged short dated interest between 100.00 and

99.00 in the last 24 hours, ranging from two-day to one-week expiries.

Earlier this week, three-week 97.30 also dealt as corporate Japan

hedges against more sustained yen gains.

Cable headed to session highs close to 1.5370 after U.K. services sector

PMI beat expectations to print the highest reading since March 2012

at 54.9, which added to recent evidence that the U.K. economy is picking

up pace. The upturn in GBP was dampened to a degree by EUR-

GBP, which traded around levels where corporate demand was noted

and it recovered 0.8495 to 0.8510. Cable was just a short distance from

Monday's 1.5376 peak and highs from May-13 at 1.5385, which provided

natural supply ahead of widely tipped option positioning across the

1.5400 level.

USD-CAD topped out over 1.0365 overnight, and drifted back under

1.0340 in light early trade. Aside from Canadian building permit data at

8:30 EDT, the calendar was empty, and focus remained on U.S. ADP

readings, along with non-manufacturing ISM releases from south of the

border. The CAD suffered some on the softer jobs data, though overall,

a recipe for range trade was in effect, with USD-CAD was supported by

noted bids from 1.0320, with short covering stepping in under 1.0330.

The pairing moved back over 1.0375, though offers from 1.0380

capped things off.

Front month NYMEX crude rallied to $94.45 from $93.94 following the

EIA inventory data which showed a 6.3 mln bbl fall in crude stocks. The

street had been expecting a 0.5 mln bbl decrease. Meanwhile, gasoline

supplies, seen up 0.5 mln bbls actually fell 400k bbls, while distillate

stocks were up 2.6 mln bbls, versus expectations for a 1.0 mln bbl increase.

Refinery usage rose to 88.4% from 86.4%.

Tuesday, 11 th Jun

US– Redbook

US– JOLTS Job Openings

US– Wholesale Sales

UK– Industrial Production

JP– MoF Business Outlook Survey

Wednesday, 12 th Jun

US– MBA Mortgage Applications

EU– Industrial Production

UK– Claimant Count Rate

NZ– RBNZ Official Cash Rate

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 - 6 June 2013 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2013 High 2013 Low

USD TW Index 82.53 82.69 -0.15 -0.19% 84.283 79.218

EUR/USD 1.3103 1.3093 0.0010 0.08% 1.3711 1.2748

GBP/USD 1.5409 1.5329 0.0080 0.52% 1.6380 1.4889

USD/JPY 99.12 99.79 -0.6700 -0.67% 103.25 86.55

USD/CHF 0.9408 0.9468 -0.0060 -0.63% 0.9777 0.9023

EUR/GBP 0.8503 0.854 -0.0038 -0.44% 0.8750 0.8406

AUD/USD 0.9443 0.965 -0.0207 -2.15% 1.0598 0.9435

USD/CAD 1.0359 1.0337 0.0022 0.21% 1.0420 0.9815

USD/INR 56.97 56.4 0.57 1.02% 56.97 52.90

USD/IQD 1159.00 1161.90 -2.90 -0.25% 1167.00 1147.00

USD/SAR 3.7504 3.7501 0.0003 0.01% 3.75050 3.7501

USD/BHD 0.37703 0.37703 0.00000 0.00% 0.37708 0.37699

USD/KWD 0.28548 0.28560 -0.00012 -0.04% 0.28680 0.28085

USD/QAR 3.6414 3.6414 0.0000 0.00% 3.6416 3.6401

USD/OMR 0.38503 0.38500 0.00003 0.01% 0.38503 0.38495

USD/AED 3.6730 3.6730 0.0000 0.00% 3.6731 3.6728

USD/EGP 6.9874 6.9853 0.00210 0.03% 6.98740 6.34210

USD/LYD 1.2689 1.2699 -0.0010 -0.08% 1.2845 1.2502

Equity Market Snapshot

Index

Last

Close

Prev.

Close

D aily

Chg

% D aily

Chg

2013

% Chg

2013

High

Dow Jones 14,961 15,178 -216.95 -1.43% 14.17% 151,056 12,035

NA SDA Q 3,401 3,445 -43.78 -1.27% 30.57% 6,557 2,545

FTSE 6,419 6,559 -139.27 -2.12% 8.80% 6,840 6,027

Nikkei 12,917 13,361 -444.20 -3.32% 24.26% 15,563 10,399

S&P 1,609 1,631 -22.48 -1.38% 12.81% 1,669 1,267

Kuw ait SE 8,087 8,087 0.00 0.00% 16.26% 8,431 5,933

Dubai SE 2,416 2416 0.00 0.00% 48.20% 2,430 1,623

Saudi SE 7,577 7,577 0.00 0.00% 13.83% 7,577 6,801

Qatar SE 9,306 9,311 -4.73 -0.05% 4.88% 9,311 8,333

Bahrain SE 1,209 1,201 8.63 0.72% -15.55% 1,209 1,055

Musc at SE 6,453 6,453 0.00 0.00% -5.19% 8,396 5,761

Egy pt Hermes 517 532 -15.39 -2.89% -21.60% 584 506

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.650 0.650 0.000 0.00% -8.45% 0.665 0.570

AUB Stock - Kuw ait (Kw D) 0.186 0.186 0.000 0.00% -7.00% 0.196 0.150

AUB Stock - Kuw ait (US$ Eqv) 0.652 0.651 0.000 0.04% -8.62% 0.687 0.531

A LMUTA HED Stock - (Kw D) 0.730 0.730 0.000 0.00% 10.61% 0.860 0.710

Commercial Bank of Iraq (IQD) 0.97 0.97 0.000 0.00% -30.22% 1.27 0.95

Ahli Bank Oman Stock - (OMR) 0.20 0.20 0.000 0.00% -32.53% 0.20 0.17

KMEFIC Stock (Kw D) 0.068 0.068 0.000 0.00% -21.84% 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

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

20-Jun-13

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 0.27445 0.27395 0.00050 0.30500 0.27275

USD 6Mth 0.41276 0.41176 0.00100 0.50625 0.41176

USD 12Mth 0.68620 0.68720 -0.00100 0.84250 0.68400

EUR 3Mth 0.20000 0.20000 0.00000 0.23400 0.18100

EUR 6Mth 0.30000 0.30000 0.00000 0.38000 0.29300

EUR 12Mth 0.48100 0.48200 -0.00100 0.62200 0.47300

GBP 3Mth 0.50738 0.50738 0.00000 0.51500 0.50438

GBP 6Mth 0.59000 0.59000 0.00000 0.67063 0.58625

GBP 12Mth 0.89125 0.89188 -0.00063 1.01750 0.88188

BHD 3Mth 1.09500 1.09500 0.00000 1.26000 1.06250

BHD 6Mth 1.38750 1.39750 -0.01000 1.76000 1.33000

BHD 12Mth 1.72750 1.73750 -0.01000 1.95000 1.69750

SAR 3Mth 0.96500 0.96500 0.00000 0.99750 0.96125

SAR 6Mth 1.00000 1.00000 0.00000 1.02250 1.00000

SAR 12Mth 1.10250 1.10250 0.00000 1.13188 1.10250


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Jun-13 Sep-13 0.04% 0.00% 0.00%

Sep-13 Dec-13 0.04% 0.03% 0.04%

Dec-13 Mar-14 0.06% 0.03% 0.05%

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

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

Sep-14 Dec-14 0.09% 0.06% 0.07%

Treasury Daily Market Report - 6 June 2013 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.47 0.48 -0.01 0.61 0.34 0.29

USD 3Yr 0.68 0.69 -0.02 0.70 0.42 0.47

USD 5Yr 1.22 1.26 -0.03 1.27 0.72 1.03

USD 10Yr 2.28 2.33 -0.05 2.35 1.52 2.10

USD 30Yr 3.18 3.27 -0.09 3.27 2.22 3.25

EUR 2Yr 0.46 0.48 -0.01 0.96 0.29 0.10

EUR 3Yr 0.62 0.62 0.00 1.07 0.40 0.22

EUR 5Yr 0.98 1.00 -0.02 1.41 0.69 0.52

EUR 10Yr 1.77 1.79 -0.02 2.08 1.42 1.51

GBP 2Yr 0.70 0.72 -0.02 1.23 0.56 0.37

GBP 3Yr 0.83 0.87 -0.04 1.26 0.61 0.50

GBP 5Yr 1.20 1.22 -0.02 1.46 0.88 1.08

GBP 10Yr 2.12 2.14 -0.02 2.27 1.76 2.03

SAR 2Yr 1.00 0.99 0.01 1.11 0.86 N/A

SAR 3Yr 1.23 1.21 0.02 1.28 0.92 N/A

SAR 5Yr 1.82 1.83 -0.01 1.89 1.40 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 0.75 0.78 -0.02 1.57 0.34 0.34

US 2Yr / 10Yr 1.81 1.85 -0.04 2.81 0.25 1.81

US 10yr / 30yr 0.89 0.93 -0.04 1.01 0.46 1.16

US / EUR 10yr 0.52 0.55 -0.03 0.60 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.27% 0.51% 0.20%

Jun-13 99.725 0.27% 99.495 0.50% 99.800 0.20%

Sep-13 99.690 0.31% 99.490 0.51% 99.800 0.20%

Dec-13 99.650 0.35% 99.465 0.53% 99.760 0.24%

Mar-14 99.595 0.41% 99.430 0.57% 99.710 0.29%

Jun-14 99.535 0.47% 99.385 0.61% 99.650 0.35%

Sep-14 99.465 0.53% 99.330 0.67% 99.590 0.41%

Dec-14 99.380 0.62% 99.265 0.73% 99.520 0.48%

Mar-15 99.275 0.72% 99.200 0.80% 99.455 0.55%

Jun-15 99.150 0.85% 99.125 0.88% 99.380 0.62%

Sep-15 99.005 1.00% 99.040 0.96% 99.295 0.70%

Dec-15 98.840 1.16% 98.940 1.06% 99.195 0.80%

Mar-16 98.665 1.33% 98.850 1.15% 99.095 0.91%

6 M th USD GBP EUR

Jun-13 Dec-13 0.08% 0.03% 0.04%

Sep-13 Mar-14 0.09% 0.06% 0.09%

Dec-13 Jun-14 0.12% 0.08% 0.11%

Mar-14 Sep-14 0.13% 0.10% 0.12%

Jun-14 Dec-14 0.16% 0.12% 0.13%

12 M th USD GBP EUR

Jun-13 Jun-14 0.19% 0.11% 0.15%

Sep-13 Sep-14 0.22% 0.16% 0.21%

Dec-13 Dec-14 0.27% 0.20% 0.24%

Commodity Change % Change 2013 High 2013 Low

RJ CRB Index 285.97 285.94 0.0331 0.01% 326.02 266.78

WTC 93.66 93.36 0.3000 0.32% 97.96 86.65

Gold ($) 1397.47 1406.06 -8.5900 -0.61% 1694.90 1344.24

Silver ($) 22.52 22.69 -0.1700 -0.75% 32.21 21.40

Platinum ($) 1552 1552 0.2500 0.02% 1702 1532

Implied 6m Libor (from Futures)

USD GBP EUR

6m Libor 0.41% 0.59% 0.30%

Jun-13 0.29% 0.51% 0.20%

Sep-13 0.33% 0.52% 0.22%

Dec-13 0.38% 0.55% 0.27%

Mar-14 0.44% 0.59% 0.32%

Jun-14 0.50% 0.64% 0.38%

Sep-14 0.58% 0.70% 0.45%

Dec-14 0.67% 0.77% 0.51%

Mar-15 0.79% 0.84% 0.58%

Jun-15 0.92% 0.92% 0.66%

Sep-15 1.08% 1.01% 0.76%

Dec-15 1.25% 1.11% 0.86%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.23% -0.07% 0.31%

Jun-13 0.23% -0.07% 0.30%

Sep-13 0.20% -0.11% 0.31%

Dec-13 0.19% -0.11% 0.30%

Mar-14 0.16% -0.12% 0.28%

Jun-14 0.15% -0.12% 0.27%

Sep-14 0.14% -0.13% 0.26%

Dec-14 0.11% -0.14% 0.25%

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 - 6 June 2013 Page 4

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