Daily Trading Stance Monday, September 14, 2009

Theme Comment
Asian shares are down this morning and so are yields. Oil and copper look quite weak and we could begin this week
on the “wrong foot”. This is also the signal from the FX market, where AUD and EUR are under pressure, while USD
and JPY are higher.
However, since credit markets are still working quite well with oversubscribed HY issuance, we still believe that dips
will be a buying opportunity for the short-term.
Short-term interest rate futures are pricing in a rate hike from the FOMC around the end of April.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 Industrial Production MoM (JUL) -0.2% -0.6%
CA 12:30 Capacity Utilization Rate (2Q) 65.5% 69.3%
US 19:50 Fed’s Yellen Speaks on Eco. Outlook

FX Daily stance Comment

EURUSD 0/- Risk we break below 1.4510-15 suppt. Sell break below for 1.4450 else 1.4510-1.4650 rger.
USDJPY 0/- Expect more downside. Res 90.90-00 offers ell-zone for 89.50, stop abv 91.50.
EURJPY 0/- Expect to test sub-131.0 levels. Next suppt 129.0 or stick to 131-132.5 range.
GBPUSD 0 Break below 1.6575 looks bad. Targets sub-1.65 else 1.6575 -1.6650 range.
AUDUSD 0 0.8850 now crucial. Sell break below for 0.8475 else trade a 0.8550-0.8625 range.

FX-Options Comment
EURUSD Vols are largely unchanged from Friday’s levels but curve should open up firmer in Europe
especially with spot heading towards 1.4500 level.
USDJPY Quiet session in Asia with front end still seeing plenty of sellers despite spot hovering at
the lows. Mid curve downside strikes are seeing some bids and riskies remain firm.
AUDUSD Front end remains soft but 1mth and up seems to be holding well. Earlier on in the session
there were buyers of short date downside in 8300-8400 area.

Equities Daily stance Comment

DAX 0/- Buy around 5514 targeting 5571. S/L below 5478.
FTSE 0/- Buy around 4920 targeting 4972. S/L below 4892.
S&P500 0/- Buy around 1027 targeting 1036. S/L below 1023.
Nasdaq100 0/-
Dow Jones 0/-

Commodities Daily Stance Comment

Gold 0/- Sell at the break of 997 and target 987. Stop above 1001.
Silver 0/- Sell at the break of 16.40 and target 16.20. Stop above 16.50.
Oil 0/+ Buy on dips towards 67.10 and target 68.50. Stop below 66.80.

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

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 140
3

2,5
120

100
1,5

1 80

0,5

60

-0,5 40
02-maj 02-jul 02-sep 02-nov 02-jan 02-mar 02-maj 02-jul 02-sep 12-09-2008 12-11-2008 12-01-2009 12-03-2009 12-05-2009 12-07-2009
# N/A R e q u e sti n g Data... 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 59.
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
jan-08 apr-08 jul-08 okt-08 jan-09 apr-09 jul-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
Moody BAA - U S G eneric G ovt 30 Year Yield Moody AAA - U S G eneric G ovt 30 Year Yield
EUR -USD OP T VOL 1 W EUR -USD OP T VOL 1 M EUR -USD OP T VOL 1 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
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
C B OE SP X V OLA TILITY INDX

GDM A Hu n gari an - German C ze ch R e p u bl i c -German P o l an d - Ge rman

The VIX Index is heading lower, now at 24.

1
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