Abu Dawud
Hot Baths
Book Number: 026 / Hadith Number: 4001
Narated By Ya'la : The Apostle of Allah (pbuh) saw a man washing in a public place without a lower garment. So he mounted the pulpit, praised and extolled Allah and said: Allah is characterised by modesty and concealment. So when any of you washes, he should conceal himself.