DMR Template - Ahli United Bank

ahliunited.com

DMR Template - Ahli United Bank

Treasury Daily Market Report - 31 October 2012 Page 1

Headline News

• Japan PMI unexpectedly plunged to 46.9

in Oct; lowest level in 18 months

• BoC Carney repeated tightening bias in

his House testimony

• NYSE to open normally on Wed, NY subways

may be out another 4-5 days

• Sandy total damage estimates seen

above $10-$20 bln, Irene reached $45

bln

• EUR-USD rallied in tandem with European

stocks, back in reach of 1.3000 pivot

• U.S. equity futures firmed on Case

Shiller, Ford earnings; Treasury futures

dipped

• U.S. Case Shiller home price index rose

0.88% to 145.9 in Aug, +2.03% y/y

• Canadas consolidated pre-Sandy gains,

USD-CAD pulled back to parity

• Canadian industrial product prices rose

0.5% in Sep (median +0.2%), RMPI

+1.3%

• U.S. consumer confidence release delayed

until Friday, Conference Board

• NYMEX crude firmed after finding support

ahead of $85 bbl

• U.K. CBI retail survey smashed forecasts,

cements view no-more QE BoE

view

• Eurozone ESI economic confidence fell

to 84.5, German Oct jobless rose to 6.9%

• Spanish Q3 GDP slightly better than expected

at -0.3% q/q (med -0.5%)

• Asian stocks struggled; SSEC bucked

the trend after large liquidity injection

Daily Commentary

The FX market was again very quiet in N.Y. on Tuesday, as few were

able to make it to the office in the aftermath of hurricane Sandy. The

extent of the storm damage appears to be significant, and it will likely

take days and weeks to get things back to near normalcy. The dollar

faded through the session, though with little data, and no equity markets

to drive direction, ranges were once again very narrow. EUR-

USD tracked inside of a 1.2930-80 range, ending the session near the

top if its band, while USD-JPY was supported over 79.30, peaking just

over 79.60. Markets will likely remain thin into Friday's jobs report, and

next week's U.S. elections.

EUR-USD moved to session highs over 1.2980. In the absence of the

large majority of U.S .traders month-end EUR-GBP demand, reserve

management bids and EUR-JPY short covering have forced the move

higher. EUR-JPY tripped Asian stops above 103.00, which added

traction to EUR-USD from 1.2960 through 1.2970. Stock market gains

in Europe haven't done the EUR any harm, but low volumes may

crimp follow through from here, with technical watchers and the macro

backdrop still a good argument for placing offers up here. The 1.3000

level will be pivotal in the next 24 hours or so if the U.S. market is fully

operational.

USD-JPY edged lower in London, after steadying just over 79.50 following

the BoJ policy easing. A Japanese proprietary name sold a

good amount, which forced it from 79.55 to 79.35 after the European

open. Ranges have been narrow due to large Japanese support from

79.25, which are protecting a lot of stops under 79.20 and more are

tipped at 79.00. The pairing was ay 79.40 when the few N.Y. traders

showed up, and managed to top 79.65 in very light trade.

Schedule of Forthcoming Key Economic Releases and Events

Wednesday, 31 st Oct

US– ADP Employment Survey

US– MBA Mortgage Applications

US– Chicago ISM

EU– Unemployment Rate

GER– Unemployment Rate

Thursday, 01 st Nov

US– Initial Claims

US– Bloomberg Consumer Comfort Index

US– ISM (Mfg)

US– Continuing Jobless Claims

US– Challenger Layoffs

UK– CIPS Manufacturing PMI

Friday, 02 nd Nov

US– Nonfarm Payrolls

US– Unemployment Rate

US– Factory Orders

US– Monster Employment Index

USD-CAD started the North American session around parity, and

as the greenback faded more broadly, slipped under 0.9985 in

very light trade. USD-CAD's rally faded into 1.0020 in London,

with short term accounts keying off supportive domestic markets

and an equity market rally in Europe. Domestic numbers were

also positive, though a lack of market participation kept ranges

tight. Yesterday's move over 1.0000 was met with little excitement,

but did provide hedging levels for long-term real money and

corporate accounts.

Cable is grinding through offers from 1.6075 in quiet European

trade. The sharp improvement in October CBI survey data encouraged

U.K. clearer bids, though EUR-GBP month end demand

is dampening upward momentum. The technical backdrop for

Cable also encouraged spec-offers, which are against the grain of

intra-day action and are also keeping buy stops from 1.6080 in

check. Large 1.6100 expiries are noted on top, while more modest

interest is seen at 1.6050, which fueled Asian sovereign demand

during the European morning and kept Cable range bound.

Nymex crude recovered from $85.14 bbl lows as stocks stabilized

into the European open and the dollar eased, which left crude

around 0.20% higher on the session at $85.75 bbl. The impact

from hurricane Sandy should weigh on oil sentiment in the nearterm

as demand is impacted. Refineries remain closed on the

U.S. East Coast, roads and airports are closed, which when taken

together with already high inventories it looks likely that the $85

area will be retested.

Monday, 05 th Nov

US– CIPS Services PMI

US– ISM-NMI

AU– Retail Trade

Tuesday, 06 th Nov

US– Presidential & Legislative Elections

US– Redbook

US– JOLTS Job Openings

AU– RBA 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 - 31 October 2012 Page 2

Foreign Exchange Snapshot

CCY Today Previous Change % Change 2012 High 2012 Low

USD TW Index 79.96 79.90 0.06 0.08% 83.964 78.122

EUR/USD 1.2958 1.2983 -0.0025 -0.19% 1.3486 1.2043

GBP/USD 1.6087 1.6044 0.0043 0.27% 1.6309 1.5237

USD/JPY 79.67 79.98 -0.3100 -0.39% 84.13 75.93

USD/CHF 0.9324 0.9316 0.0008 0.09% 0.9948 0.8932

EUR/GBP 0.8058 0.8091 -0.0033 -0.41% 0.8505 0.7757

AUD/USD 1.0373 1.0365 0.0008 0.08% 1.0856 0.9583

USD/CAD 0.9993 0.9931 0.0062 0.62% 1.0446 0.9634

USD/INR 54.18 53.8 0.38 0.71% 57.33 48.61

USD/IQD 1164.00 1164.00 0.00 0.00% 1168.30 1162.90

USD/SAR 3.7503 3.7501 0.0002 0.00% 3.75050 3.7500

USD/BHD 0.37703 0.37705 -0.00002 -0.01% 0.37715 0.37698

USD/KWD 0.28151 0.28115 0.00036 0.13% 0.28361 0.27680

USD/QAR 3.6411 3.6408 0.0003 0.01% 3.6416 3.6400

USD/OMR 0.38502 0.385 0.00001 0.00% 0.38605 0.38400

USD/AED 3.6729 3.6730 -0.0001 0.00% 3.6742 3.6726

USD/EGP 6.1075 6.1050 0.00250 0.04% 6.10800 6.02000

USD/LYD 1.2441 1.2441 0.0000 0.00% 1.2728 1.2150

Equity Market Snapshot

Index

Last

Close

Prev.

Close

D a ily

Chg

% D a ily

Chg

2012

% Chg

2012

High

Dow Jones 13,107 13,077 29.87 0.23% 7.28% 13,610 12,101

NA SDA Q 2,982 2,982 0.30 0.01% 14.47% 3,184 2,545

FTSE 5,850 5,805 45.12 0.78% -0.85% 5,966 5,260

Nikkei 8,970 8,979 -9.35 -0.10% 6.08% 10,180 8,263

S&P 1,409 1,409 0.25 0.02% 12.04% 1,466 1,277

Kuw ait SE 5,770 5,745 25.30 0.44% -17.05% 6,492 5,661

Dubai SE 1,622 1650 -27.91 -1.69% -0.50% 1,754 1,301

Saudi SE 6,729 6,729 0.00 0.00% 1.10% 7,931 6,370

Qatar SE 8,521 8,512 9.40 0.11% -3.96% 8,880 8,123

Bahrain SE 1,060 1,060 0.04 0.00% -25.97% 1,162 1,060

Muscat SE 5,654 5,654 0.00 0.00% -16.93% 6,008 5,358

Egy pt Hermes 583 583 0.12 0.02% -11.53% 601 382

AUB Group Equity

Official Interest Rates

AUB Stock - Bahrain (US$) 0.535 0.535 0.000 0.00% -24.65% 0.695 0.525

AUB Stock - Kuw ait (Kw D) 0.152 0.152 0.000 0.00% -24.00% 0.192 0.150

AUB Stock - Kuw ait (US$ Eqv) 0.540 0.541 -0.001 -0.13% -24.27% 0.682 0.533

A LMUTA HED Stock - (Kw D) 0.840 0.860 -0.020 -2.33% 27.27% 0.930 0.810

ABQ Stock - (QAR) 53.50 53.50 0.000 0.00% -14.94% 72.80 53.50

Commercial Bank of Iraq (IQD) 1.27 1.27 0.000 0.00% -8.63% 1.28 1.16

Ahli Bank Oman Stock - (OMR) 0.170 0.170 0.000 0.00% -41.78% 0.265 0.136

KMEFIC Stock (Kw D) 0.040 0.043 -0.003 -5.88% -54.02% 0.102 0.033

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 2012

25-Jan-12 unchanged

13-Mar-12 unchanged

25-Apr-12 unchanged

20-Jun-12 unchanged

31-Jul-12 unchanged

12-Sep-12 unchanged

24-Oct-12 unchanged

11-Dec-12

Money Market Rates

ECB Meetings 2012

19-Jul-12 unchanged

02-Aug-12 unchanged

06-Sep-12 unchanged

04-Oct-12 unchanged

08-Nov-12

06-Dec-12

10-Jan-13

07-Feb-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

2012

Low

Libor Today Previous Change 2012 High 2012 Low

USD 3Mth 0.31275 0.31425 -0.00150 0.58250 0.31275

USD 6Mth 0.53990 0.54790 -0.00800 0.81200 0.53990

USD 12Mth 0.87750 0.88150 -0.00400 1.13035 0.10515

EUR 3Mth 0.19800 0.20200 -0.00400 1.28357 0.19800

EUR 6Mth 0.39100 0.39900 -0.00800 1.55571 0.39100

EUR 12Mth 0.62100 0.63400 -0.01300 1.90457 0.62100

GBP 3Mth 0.52813 0.52875 -0.00062 1.08956 0.52813

GBP 6Mth 0.70938 0.71500 -0.00562 1.39563 0.70938

GBP 12Mth 1.09875 1.10625 -0.00750 1.89675 1.09875

AUB Bhibor 3Mth 1.26000 1.26000 0.00000 1.41000 1.25000

AUB Bhibor 6Mth 1.76000 1.76000 0.00000 1.76000 1.60000

AUB Bhibor 12Mth 1.94000 1.94000 0.00000 2.30000 1.92000

SAR 3Mth 0.97125 0.97125 0.00000 0.97125 0.82625

SAR 6Mth 1.00938 1.00938 0.00000 1.01250 0.85125

SAR 12Mth 1.13750 1.13750 0.00000 1.30588 1.04000


Capital & Bond Market Snapshot

Swaps Today Previous Change

Futures Calendar Spreads

3 M th USD GBP EUR

Dec-12 Mar-13 0.01% -0.01% 0.01%

Mar-13 Jun-13 0.03% 0.00% 0.03%

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

Sep-13 Dec-13 0.04% 0.03% 0.05%

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

Mar-14 Jun-14 0.05% 0.05% 0.07%

Treasury Daily Market Report - 31 October 2012 Page 3

52 Week

High

52 Week

low

Benchmark

Govt Yields

USD 2Yr 0.42 0.40 0.02 0.81 0.36 0.30

USD 3Yr 0.52 0.51 0.00 0.92 0.43 0.40

USD 5Yr 0.87 0.90 -0.03 1.46 0.73 0.76

USD 10Yr 1.77 1.84 -0.06 2.46 1.52 1.74

USD 30Yr 2.63 2.70 -0.07 3.17 2.22 2.90

EUR 2Yr 0.48 0.52 -0.04 1.64 0.41 0.03

EUR 3Yr 0.60 0.66 -0.05 1.76 0.52 0.12

EUR 5Yr 0.97 1.03 -0.06 2.18 0.88 0.49

EUR 10Yr 1.80 1.86 -0.06 2.82 1.59 1.47

GBP 2Yr 0.69 0.68 0.01 1.60 0.64 0.26

GBP 3Yr 0.77 0.76 0.01 1.69 0.69 0.32

GBP 5Yr 1.04 1.03 0.01 1.94 0.95 0.79

GBP 10Yr 1.92 1.92 0.00 2.84 1.83 1.81

SAR 2Yr 1.03 1.01 0.02 1.13 0.85 N/A

SAR 3Yr 1.14 1.13 0.01 1.45 0.92 N/A

SAR 5Yr 1.63 1.65 -0.02 2.22 1.40 N/A

Swap

Spreads

Change

52 Week

High

52 Week

Low

Govt

Spreads

US 2Yr / 5Yr 0.45 0.50 -0.04 1.57 0.34 0.34

US 2Yr / 10Yr 1.36 1.43 -0.08 2.81 0.25 1.44

US 10yr / 30yr 0.86 0.86 -0.00 0.97 0.46 1.16

US / EUR 10yr -0.02 -0.02 -0.00 0.32 0.07 0.27

Commodities

Interest Rate Futures

USD Implied GBP Implied EUR Implied

3m Libor 0.31% 0.53% 0.20%

Dec-12 99.680 0.32% 99.480 0.52% 99.805 0.19%

Mar-13 99.670 0.33% 99.490 0.51% 99.795 0.20%

Jun-13 99.645 0.36% 99.490 0.51% 99.765 0.23%

Sep-13 99.620 0.38% 99.480 0.52% 99.735 0.27%

Dec-13 99.585 0.42% 99.450 0.55% 99.685 0.31%

Mar-14 99.545 0.45% 99.410 0.59% 99.625 0.38%

Jun-14 99.495 0.50% 99.360 0.64% 99.555 0.44%

Sep-14 99.435 0.56% 99.300 0.70% 99.490 0.51%

Dec-14 99.365 0.64% 99.220 0.78% 99.405 0.59%

Mar-15 99.300 0.70% 99.160 0.84% 99.320 0.68%

Jun-15 99.215 0.78% 99.090 0.91% 99.215 0.78%

Sep-15 99.110 0.89% 99.000 1.00% 99.105 0.89%

6 M th USD GBP EUR

Dec-12 Jun-13 0.04% -0.01% 0.04%

Mar-13 Sep-13 0.05% 0.01% 0.06%

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

Sep-13 Mar-14 0.08% 0.07% 0.11%

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

12 M th USD GBP EUR

Dec-12 Dec-13 0.10% 0.03% 0.12%

Mar-13 Mar-14 0.13% 0.08% 0.17%

Jun-13 Jun-14 0.15% 0.13% 0.21%

Commodity Change % Change 2012 High 2012 Low

RJ CRB Index 309.30 309.30 0.0000 0.00% 325.91 267.97

WTC 85.63 85.35 0.2800 0.33% 109.38 78.73

Gold ($) 1711.26 1707.29 3.9700 0.23% 1789.49 1535.80

Silver ($) 31.91 31.93 -0.0200 -0.06% 37.19 26.92

Platinum ($) 1552 1552 0.2500 0.02% 1552 1389

Implied 6m Libor (from Futures)

USD GBP EUR

6m Libor 0.54% 0.71% 0.39%

Dec-12 0.33% 0.52% 0.20%

Mar-13 0.34% 0.51% 0.22%

Jun-13 0.37% 0.52% 0.25%

Sep-13 0.40% 0.54% 0.29%

Dec-13 0.44% 0.57% 0.35%

Mar-14 0.48% 0.62% 0.41%

Jun-14 0.54% 0.67% 0.48%

Sep-14 0.60% 0.74% 0.55%

Dec-14 0.67% 0.81% 0.64%

Mar-15 0.74% 0.88% 0.73%

Jun-15 0.84% 0.96% 0.84%

Futures Currency Spreads

GBP/USD EUR/USD GBP/EUR

3m Libor 0.22% -0.11% 0.33%

Dec-12 0.20% -0.13% 0.33%

Mar-13 0.18% -0.13% 0.31%

Jun-13 0.16% -0.12% 0.28%

Sep-13 0.14% -0.11% 0.25%

Dec-13 0.13% -0.10% 0.23%

Mar-14 0.14% -0.08% 0.22%

Jun-14 0.14% -0.06% 0.20%

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 - 31 October 2012 Page 4

Group Treasury Sales Team & Product Coverage

AUB GROUP

Ahli United Bank BSC

Manama, Bahrain

Ahli United Bank (UK) Plc

London, England

Ahli United Bank, Kuwait

Ahli Bank QSC

Doha, Qatar

Ahli United Bank (Egypt)

Cairo, Egypt

Ahli Bank

Muscat, Oman

Commercial Bank of Iraq

Baghdad, Iraq

Seef Headquarters:

Building 2495,

Road 2832,

Al Seef District 428

P.O. Box 2424,

Manama,

Kingdom of Bahrain

Specifics

All Major & MENA Currency markets

FX Options & Hedging Solutions

MMkt, Spot, Forw ard, Outrights

IRS, FRA, Xccy Sw aps

Fixed Income, Structured Notes, Islamic Products

International markets

GBP Market Specialists

FX Options & Hedging Solutions

MMkt, Spot, Forw ard, Outrights

IRS, FRA

KWD Market Islamic products Specialists

Other markets on request

Spot FX, Wakala Investment

Murabaha and Reverse Murabaha Investment

Taw aruq

QAR Market Specialists

Other markets on request

MMkt, Spot, Forw ard, Outrights

IRS, FRA, Hedging Solutions

Structured Products, Islamic Products

EGP Market Specialists

Other markets on request

MMkt, Spot, Forw ard, Outrights

Treasury Bills / Bonds

OMR Market Specialists

Other markets on request

MMkt, Spot, Forw ard, Outrights

Treasury Bills / Bonds

IQD market specialists

MMkt & Investments

Website: www.ahliunited.com

Bloomberg: AUB

Reuters Pages: AUBBAH (menu)

AUBFX, AUBMM, AUBBHDMM

AUBSARMM, AUBKWDMM ,AUBQARMM

ALADDIN, ALADDIN2 & ALADDIN3 (Daily Commentary)

2006, 2007, 2008,2009 &

Reuters Dealing: AUBB

2010 Bank of the Year

Bahrain

Ali Ghuloom

Antoun Khalife

Noor Al Khelaifat

Sami Rafia

Tel: +973 17580843

Peter Roseblade

Tel: +44 20 7487 6513

Najat Taraby

Abdulla Al-Langawy

Tel: +965 22312237 +965 22312303

Stuart Davies

Graeme Coulson

Tel: +974 44232452 +974 44232451

Hatem Youssef

Menna Hesham

Tel: +202 25801245 +202 25801200

Mohamad Al-Balushi

Alok Paliwal

Tel: +968 24577181

Jamil Ghattas

Ali Askar

Contacts

ali.ghuloom@ahliunited.com

antoun.khalife@ahliunited.com

noor.alkhelaifat@ahliunited.com

sami.rafia@ahliunited.com

peter.roseblade@ahliunited.com

Stuart.Davies@ahlibank.com.qa

graeme.coulson@ahlibank.com.qa

Hatem.Youssef@ahliunited.com

Menna.Hesham@AhliUnited.com

jamil.ghattas@ahliunited.com

ali.askar@ahliunited.com

Tel: +973 17585853 +973 17585830

n.tarby@ahliunited.com

Abdullah.AlLangawy@AhliUnited.com

Mohd.albalushi@ahlibank-oman.com

alok.paliwal@ahlibank-oman.com

2006, 2007, 2008, 2010 & 2011

Best Bank - Bahrain

2007 & 2012 Best Bank - Middle East

2010 Best private Bank—Bahrain

2006, 2007, 2008 & 2009

Best Bank—Middle East

2007, 2008, 2009, 2010 & 2011

Best Foreign Exchange Bank

Middle East

2009 & 2010

Best Trade Finance Provider

Best Bank—Bahrain

2010 Best Emerging Market Bank

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.

More magazines by this user
Similar magazines