Daily Trading Stance Monday, September 21, 2009

Theme Comment
G20: A lot of focus on decreasing leverage in the financial system, increase liquid asset holdings and reducing bank
bonuses. The long-term effect is a negative for financial stocks, but this outcome is in our view already priced-in and
financials are already on their way towards reducing leverage. DJ Financials are up 10% in the past two weeks.
US Dec-2009 10-Years Treasuries setting up for a break of 116.50. Shanghai Composite strongly reverses from new
lows overnight.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
CA 12:30 Int’l Securities Transactions (JUL) 9.500B 10.511B
US 14:00 Leading Indicators (AUG) 0.7% 0.6%

FX Daily stance Comment

EURUSD 0/- Sell at the break of 1.4648 and target 1.4570. Stop above 1.4670.
USDJPY 0 Neutral.
EURJPY 0 Neutral.
GBPUSD 0/+ Buy on dips towards 1.6114 with a close stop.
EURGBP 0/- Sell around 0.9070 and target 0.9000. Stop above 0.9090.

FX-Options Comment
EURUSD Vols mostly lower across the curve while 1 month risk reversals are still trading around
0.3 in favour of EUR calls. Expect curve to come under pressure if spot grinds slowly higher
USDCHF Very slow day with Tokyo and on holiday. Front end a touch softer with spot pushing 9200
levels but the rest of the curve remains largely unchanged.
AUDUSD Bids for front end mostly disappeared. Spot is still underperforming and most likely need
a stronger break to the downside to bring vols higher.

Equities Daily stance Comment

DAX 0/+ Buy around 5714 targeting 5760. S/L below 5692.
FTSE 0/+ Buy around 5184 targeting 5216. S/L below 5150.
S&P500 0/+ Buy around 1061 targeting 1072. S/L below 1056.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 999 and target 1011. Stop below 997.
Silver 0/+ Buy on dips towards 16.33 and target 16.53. Stop below 16.23.
Oil 0/- Sell at the break of 71.25 and target 70. Stop above 71.50.

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

Top 100 Global Stocks CDS Index

US Breakeven 10 Year 140
3

2.5
120

100
1.5

1 80

0.5

60

-0.5 40
12-maj 12-jul 12-sep 12-nov 12-jan 12-mar 12-maj 12-jul 12-sep 22-09-2008 22-11-2008 22-01-2009 22-03-2009 22-05-2009 22-07-2009
US B re ake ve n 10 Ye ar 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 53.
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
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09
0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d
EUR -USD OP T VOL1 W EUR -USD OP T VOL1 M EUR -USD OP T VOL1 Y

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 60

10 50

8 40

6 30

20
4

10
2

0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
C B OE SP X V OLATILITY INDX

GDM A Hungar ian - Ger m an CzechRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 24.

1
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