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Treasury Daily Market Report - 21 May 2012 Page 1

Headline News

• Asian calendar thin: Japan leading, coincident

index, Thailand GDP due

• G8 favors Greece remain in EMU, but

noted differing views on growth and austerity

• U.S. President Obama urged G8 focus on

growth, as well as budget cuts in Europe

• Treasuries dipped on profit taking and

upcoming supply, but trimmed losses

• Germany's Schauble judged that crisis

will last up to two more years

• U.S. stocks reversed lower after FB debut,

S&P 500 tested 1,300 threshold

• Facebook opened around $42, after delay,

drifted back to $38 IPO price

• Canadian yields firmed on hot core CPI,

but follow thru limited; CAD reversed

lower

• Canadian CPI +2.0% y/y in Apr (median

+1.9%), core +2.1% y/y (median +1.8%)

• EU Commission denied contingency plan

for Greek EMU exit

• Moody's downgraded 16 Spanish banks,

Fitch cut Greece's credit rating to CCC

• Gold extended towards $1595; proprietary

names and producers look to sell

• NYMEX crude heavy around $92.50 bbl

after reaching new six-month low

Daily Commentary

The clash of views on Greece's predicament will continue to occupy

market attention into the June 17 elections. Though the G8 communique

publically favored remaining, it also acknowledged differences

in dealing with growth and austerity plans. Meanwhile, worries over

the implications of default and EMU exit, and potential domino effects

around the region will continue to weigh heavily on risk appetite

and support demand for core sovereign debt. Indeed, risk aversion

was so strong last week that Treasuries, Bunds, and Gilts all

made new record highs.

U.S. Treasuries have posted their longest winning streak since the

1998 LTCM crisis as Eurozone concerns and growth worries have

investors world-wide seeking the safety and liquidity of government

debt. The 10-year has rallied for 9 straight weeks, with the yield

tumbling 68 basis points from 2.378% to a new all-time closing low

yield at 1.697%. Additionally, the 7-year yield established a new

record low at 1.135%. Wall Street, on the other hand, closed lower

with the S&P 500 dropping for a 3rd consecutive week which has

nearly erased all of the year's gains.

Canadian markets are closed today for the Victorian Day holiday.

May retail sales (Wednesday) will highlight a light calendar during

the abbreviated week. Our projection is for a 0.3% rebound in l

sales to rebound 0.3% in March after the 0.2% drop in February,

supported by rising gasoline prices on the month. And the ex-autos

aggregate is projected to rise 0.5%.

Japan's economic calendar is fairly light, though the Boj meeting

(Wednesday) could well impact markets, specifically the yen. There

Schedule of Forthcoming Key Economic Releases and Events

Monday, 21 st May

FR– Business Confidence

CA– Victoria Day - Mkts Closed

JP– Leading Index

Tuesday, 22 nd May

US– Redbook

US– Richmond Fed Index

US– Existing Home Sales

US– Mass Layoff Actions

UK– Retail Price Index

UK– CPI

Wednesday, 23 rd May

US– MBA Mortgage Applications

EU– Current Account

UK– BoE Minutes May 9-10 Meeting

CA– Retail Sales

has been speculation the BoJ will keep policy unchanged, leaving

its powder dry ahead of the Greek election and the June

FOMC rate decision before deciding on further action. But there

are thoughts the BoJ may adopt another round of operation

twist. Given the drop in U.S. Treasury yields on safety buying,

and sagging equity markets, USD-JPY fell to 79.00 last week,

it’s lowest since mid-February. This will certainly keep the BoJ

leaning toward further easing measures.

The ongoing evolution of the Eurozone crisis will remain the

principal driver of U.K. bond and stock markets, and sterling.

Unless EU policymakers manage to satisfy markets that contagion

from a Greek EMU exit and default scenario can be controlled,

risk aversion will continue to prevail into the Greek elections

and provide a backdrop that should keep GBP supported

against the EUR and gilts in strong demand. The BoE's dovish

policy bias, with Governor King having last week emphasized

that extra QE is an ongoing option, coupled with the government's

re-affirmation of its budget cutting plan, should maintain

the allure of the non-euro triple-A status of gilts.

In Australia a lack of data and RBA events should keep the

market's focus abroad. Activity picks-up next week, when Governor

Stevens speaks and April retail sales is released.

Thursday, 24 th May

US– Initial Claims

US– Bloomberg Consumer Comfort Index

US– Durable Orders

UK– Retail Sales

UK– GDP

JP– CPI

Friday, 25 th May

US– Michigan Sentiment Final

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 - 21 May 2012 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2012 High 2012 Low

USD TW Index 81.08 81.07 0.00 0.00% 81.588 78.122

EUR/USD 1.2789 1.2790 -0.0001 -0.01% 1.3486 1.2625

GBP/USD 1.5831 1.5832 -0.0001 -0.01% 1.6301 1.5237

USD/JPY 79.22 79.22 0.0000 0.00% 84.13 75.93

USD/CHF 0.9395 0.9393 0.0002 0.02% 0.9594 0.8932

EUR/GBP 0.8077 0.80765 0.0000 0.00% 0.8505 0.7949

AUD/USD 0.9853 0.9853 0.0000 0.00% 1.0856 0.9796

USD/CAD 1.0191 1.0191 0.0000 0.00% 1.0318 0.9800

USD/INR 54.69 54.68 0.01 0.01% 54.91 48.61

USD/IQD 1164.00 1164.00 0.00 0.00% 1168.30 1162.90

USD/SAR 3.7503 3.7503 0.0000 0.00% 3.75050 3.7500

USD/BHD 0.37702 0.37702 0.00000 0.00% 0.37715 0.37699

USD/KWD 0.27910 0.27910 0.00000 0.00% 0.28000 0.27680

USD/QAR 3.6413 3.6413 0.0000 0.00% 3.6415 3.6400

USD/OMR 0.38500 0.385 0.00000 0.00% 0.38605 0.38400

USD/AED 3.6731 3.6731 0.0000 0.00% 3.6732 3.6726

USD/EGP 6.0480 6.0475 0.00050 0.01% 6.05250 6.02000

USD/LYD 1.2505 1.2505 0.0000 0.00% 1.2510 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 12,369 12,369 0.00 0.00% 1.24% 13,279 12,360

NA SDA Q 2,779 2,779 0.00 0.00% 6.67% 3,123 2,649

FTSE 5,268 5,268 0.00 0.00% -10.72% 5,966 5,268

Nikkei 8,636 8,647 -11.30 -0.13% 2.13% 10,180 8,349

S&P 1,295 1,295 0.00 0.00% 2.99% 1,419 1,277

Kuw ait SE 6,422 6,422 0.00 0.00% -7.68% 6,492 5,680

Dubai SE 1,467 1467 0.00 0.00% -10.06% 1,754 1,301

Saudi SE 6,980 6,980 0.00 0.00% 4.86% 7,931 6,370

Qatar SE 8,403 8,403 0.00 0.00% -5.30% 8,880 8,387

Bahrain SE 1,149 1,149 0.00 0.00% -19.78% 1,162 1,129

Muscat SE 5,619 5,619 0.00 0.00% -17.44% 6,008 5,561

Egy pt Hermes 479 479 0.00 0.00% -27.24% 541 382

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.610 0.610 0.000 0.00% -14.08% 0.695 0.600

AUB Stock - Kuw ait (Kw D) 0.170 0.170 0.000 0.00% -15.00% 0.192 0.166

AUB Stock - Kuw ait (US$ Eqv) 0.609 0.609 0.000 0.00% -14.57% 0.688 0.597

A LMUTA HED Stock - (Kw D) 0.880 0.880 0.000 0.00% 33.33% 0.930 0.810

ABQ Stock - (QAR) 62.50 62.50 0.000 0.00% -0.64% 72.80 54.38

Commercial Bank of Iraq (IQD) 1.23 1.23 0.000 0.00% -11.51% 1.28 1.21

Ahli Bank Oman Stock - (OMR) 0.200 0.200 0.000 0.00% -31.51% 0.265 0.200

KMEFIC Stock (Kw D) 0.089 0.089 0.000 0.00% 2.30% 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

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 0.46685 0.46685 0.00000 0.58250 0.46565

USD 6Mth 0.73640 0.73640 0.00000 0.81200 0.72740

USD 12Mth 1.06895 1.06895 0.00000 1.13035 0.10515

EUR 3Mth 0.68400 0.68400 0.00000 1.28357 0.68400

EUR 6Mth 0.97200 0.97200 0.00000 1.55571 0.97200

EUR 12Mth 1.26500 1.26500 0.00000 1.90457 1.26500

GBP 3Mth 1.00625 1.00625 0.00000 1.08956 1.00625

GBP 6Mth 1.32625 1.32625 0.00000 1.39563 1.30630

GBP 12Mth 1.85525 1.85525 0.00000 1.89675 1.85525

AUB Bhibor 3Mth 1.30000 1.30000 0.00000 1.41000 1.30000

AUB Bhibor 6Mth 1.75000 1.75000 0.00000 1.75000 1.60000

AUB Bhibor 12Mth 1.95000 1.95000 0.00000 2.30000 1.95000

SAR 3Mth 0.90875 0.90875 0.00000 0.90875 0.82625

SAR 6Mth 0.98000 0.98000 0.00000 0.98000 0.85125

SAR 12Mth 1.11813 1.11813 0.00000 1.30588 1.04000


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Jun-12 Sep-12 0.10% 0.07% -0.03%

Sep-12 Dec-12 0.06% -0.02% 0.01%

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

Mar-13 Jun-13 0.02% -0.01% 0.03%

Jun-13 Sep-13 0.02% 0.01% 0.03%

Sep-13 Dec-13 0.03% 0.03% 0.05%

Treasury Daily Market Report - 21 May 2012 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.68 0.69 -0.02 0.81 0.39 0.31

USD 3Yr 0.77 0.79 -0.02 1.18 0.55 0.42

USD 5Yr 1.12 1.12 0.00 2.08 0.95 0.76

USD 10Yr 1.89 1.89 0.00 3.31 1.81 1.76

USD 30Yr 2.55 2.55 0.00 4.11 2.46 2.85

EUR 2Yr 1.01 1.01 0.00 2.27 0.88 0.05

EUR 3Yr 1.10 1.10 0.00 2.49 0.97 0.16

EUR 5Yr 1.38 1.38 0.00 2.87 1.30 0.49

EUR 10Yr 1.98 1.98 0.00 3.46 1.92 1.42

GBP 2Yr 1.33 1.33 0.00 1.60 1.08 0.33

GBP 3Yr 1.35 1.35 0.00 1.93 1.22 0.42

GBP 5Yr 1.51 1.51 0.00 2.61 1.47 0.79

GBP 10Yr 2.21 2.21 0.00 3.59 2.18 1.81

SAR 2Yr 1.11 1.10 0.01 1.13 0.58 N/A

SAR 3Yr 1.26 1.24 0.02 1.54 0.78 N/A

SAR 5Yr 1.81 1.78 0.03 2.47 1.37 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 0.45 0.43 0.02 1.57 0.43 0.61

US 2Yr / 10Yr 1.22 1.20 0.02 2.81 0.25 1.45

US 10yr / 30yr 0.66 0.66 0.00 0.97 0.46 1.09

US / EUR 10yr -0.09 -0.09 0.00 0.32 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.47% 1.01% 0.68%

Jun-12 99.500 0.50% 98.950 1.05% 99.315 0.69%

Sep-12 99.400 0.60% 98.880 1.12% 99.340 0.66%

Dec-12 99.340 0.66% 98.900 1.10% 99.330 0.67%

Mar-13 99.320 0.68% 98.930 1.07% 99.315 0.69%

Jun-13 99.305 0.69% 98.940 1.06% 99.285 0.72%

Sep-13 99.285 0.72% 98.930 1.07% 99.255 0.75%

Dec-13 99.250 0.75% 98.900 1.10% 99.200 0.80%

Mar-14 99.220 0.78% 98.870 1.13% 99.150 0.85%

Jun-14 99.160 0.84% 98.830 1.17% 99.075 0.92%

Sep-14 99.090 0.91% 98.780 1.22% 98.995 1.01%

Dec-14 98.985 1.02% 98.720 1.28% 98.900 1.10%

Mar-15 98.890 1.11% 98.660 1.34% 98.815 1.19%

6 M th USD GBP EUR

Jun-12 Dec-12 0.16% 0.05% -0.02%

Sep-12 Mar-13 0.08% -0.05% 0.03%

Dec-12 Jun-13 0.03% -0.04% 0.05%

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

Jun-13 Dec-13 0.06% 0.04% 0.08%

12 M th USD GBP EUR

Jun-12 Jun-13 0.19% 0.01% 0.03%

Sep-12 Sep-13 0.12% -0.05% 0.09%

Dec-12 Dec-13 0.09% 0.00% 0.13%

Commodity Change % Change 2012 High 2012 Low

RJ CRB Index 290.43 290.43 0.0000 0.00% 325.91 288.45

WTC 91.49 91.49 0.0000 0.00% 109.38 87.61

Gold ($) 1596.99 1597.43 -0.4400 -0.03% 1789.49 1535.80

Silver ($) 28.73 28.74 -0.0100 -0.03% 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% 1.33% 0.97%

Jun-12 0.55% 1.09% 0.67%

Sep-12 0.63% 1.11% 0.67%

Dec-12 0.67% 1.09% 0.68%

Mar-13 0.69% 1.07% 0.70%

Jun-13 0.71% 1.07% 0.73%

Sep-13 0.73% 1.09% 0.77%

Dec-13 0.77% 1.12% 0.83%

Mar-14 0.81% 1.15% 0.89%

Jun-14 0.88% 1.20% 0.97%

Sep-14 0.96% 1.25% 1.05%

Dec-14 1.06% 1.31% 1.14%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.54% 0.22% 0.32%

Jun-12 0.55% 0.19% 0.36%

Sep-12 0.52% 0.06% 0.46%

Dec-12 0.44% 0.01% 0.43%

Mar-13 0.39% 0.01% 0.38%

Jun-13 0.37% 0.02% 0.34%

Sep-13 0.35% 0.03% 0.32%

Dec-13 0.35% 0.05% 0.30%

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 - 21 May 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 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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