Daily Trading Stance Thursday, June 11, 2009

Theme Comment
10-year yields making new highs, and the auction result from yesterday resulted in a 3.99% yield. 10-year Break-even inflation
rates moving higher as well. Now at 208 bps.
Chinese exports YoY out at -26.4%, but countered by Fixed Asset Investments of 32.9% YoY. Japanese GDP declining at a 14.2%
annualized rate.
The CRB Index about to break higher again. This market is dominated by reflation-hopes with a strange twist of risk-premiums.
The S&P500 Future is indicating a non-eventful break of the trendline resistance (today at 936.55). Judging by other risky assets,
stocks are still a buy on dips.
Watch out for US retail sales today.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 12:30 Advance Retail Sales (MAY) 0.5% -0.4%
US 12:30 Initial Jobless Claims (JUN) 615K 621K
US 14:00 Business Inventories (APR) -1.0% -1.0%

FX Daily stance Comment

EURUSD 0/+ Topping out around 1.4060. We maintain EURUSD positive for now
EURJPY 0/+ Topping out at 98.00 as expected, we are buyers on dips going into Europe opening
USDJPY 0/+ Rallying along with equities in asia session, support 137.40 with some stops below seen around 137.00
GBPUSD 0/+ Stops below 1.6330, slightly positive for cable going into Europe session
AUDUSD 0/+ Boosted by Kiwi rate decision, new support around 0.8080

FX-Options Comment
EURUSD Interesting divergence today. Market seems to believe in a lower EURUSD spot over the
next couple of sessions but still bullish over the medium term as the buying of low
delta EUR calls from three months out continued today in the interbank market.
USDJPY Vols have continued to remain firm as spot moved lower most of the session. Risk
reversals have remained steady but shortdate interests are primarily buyers of
downside Yen calls so spot is expected to be weak.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5070 targeting 5130. S/L below 5040.
FTSE 0/+ Buy on dips towards 4459 targeting 4500. S/L below 4431.
S&P500 0/+ Buy on dips towards 946 targeting 953. S/L below 942.
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 and target 15.45. Stop below 14.80.
Oil 0/+ Buy on dips towards 70 and target 71.50. Stop below 69.50.

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
31-jan 31-mar 31-maj 31-jul 01-okt 01-dec 01-feb 01-apr 01-jun 12-06-2008 12-08-2008 12-10-2008 12-12-2008 12-02-2009 12-04-2009

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.