Daily Trading Stance Friday, June 12, 2009

Theme Comment
S&P500 still ranging and not able to close above the 950 level, despite better than expected Retail Sales yesterday. According to
commodities, the JPY and CDS prices, the reflation-trade is still on.
Yesterday’s 30-year auction results were better than expected with a healthy foreign participation (around half).
Watch out for the Euro-Zone Industrial Production today.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 E-Z Industrial Production YoY (APR) -19.8% -20.2%
US 12:30 Import Price Index YoY (MAY) -17.5% -16.3%
US 14:00 U. of Michigan Confidence (JUN) 69.5 68.7

FX Daily stance Comment

EURUSD 0/+ Maintaining positive EURUSD, looking for 1.4170 and further at 1.4250. Stops clustered around 1.4050
EURJPY 0/+ Slight uptrend still intact, expecting range 138.40 – 136.75. Stay long EURJPY
USDJPY 0/- USDJPY looking toppish around 97.85. Short with target of 97.40 before weekend.
GBPUSD + Support 1.6440. Buy on dips looking for 1.6600 today.
AUDUSD 0/+ We continue to be buyers around 0.8140, targeting for 0.8260 before the weekend.

FX-Options Comment
EURUSD Front end vols out to 3m was sold off throughout the day with 1w atm now 2.5 vols
lower from last Thrusday. From this we expect spot to settle into a range.
USDJPY Gamma is coming under pressure as spot treks north and the weekend looms.
Risk reversals have also eased off so spot is likely to stay well supported.
AUDUSD Vols got offered across the curve with only noted buying of low delta downside in size
which seems to suggest that spot risks heading lower over the next few weeks.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5120 targeting 5156. S/L below 5084.
FTSE 0/+ Buy on dips towards 4477 targeting 4528. S/L below 4446.
S&P500 0/+ Buy on dips towards 949 targeting 960. S/L below 943.
Nasdaq100 0/+
Nikkei 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 948 and target 965. Stop below 940.
Silver 0/+ Buy on dips towards 15.20 and target 15.50. Stop below 15
Oil 0/+ Buy on dips towards 71.30 and target 73. Stop below 70.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GM
T)
 Daily Trading Stance

US Breakeven 10 Year 140

Top 100 Global Stocks CDS Index
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5 40
01-feb 01-apr 01-jun 01-aug 01-okt 01-dec 01-feb 01-apr 01-jun 13-06-2008 13-08-2008 13-10-2008 13-12-2008 13-02-2009 13-04-2009

US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 82.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

6
30

5
25

4
20

3
15

2
10
1
5
0
0 okt-07 jan-08 apr-08 jul-08 okt-08 jan-09 apr-09

jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09

EUR-USD OPT VOL 1W EUR-USD OPT VOL 1M EUR-USD OPT VOL 1Y Moody BAA - US Generic Govt 30 Year Yield Moody AAA - US Generic Govt 30 Year Yield

Volatility at different time horizons. Too low, now? Spreads are easing, but still showing tight corporate debt
markets.

CEE-German Govt. Bond Spreads CBOE SPX VOLATILITY INDEX

12 80

70
10

60

8
50

6 40

30
4

20

2
10

0 0
aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09
GDMA Hungarian - German Czech Republic - German Poland - German CBOE SPX VOLATILITY INDX

Some optimism after the G20 meeting. Especially for Hungary. The VIX Index is edging lower. Now below 30.