Daily Trading Stance Friday, May 15, 2009

Theme Comment
Obama said yesterday that the current deficit spending is unsustainable and warned of skyrocketing interest rates for US
consumers if the U.S. continues to finance its way of living by borrowing from other. We agree. Why do you keep spending then?
German GDP numbers out this morning at -3.8% QoQ vs. -3.0% QoQ expected shows that the German export driven economy is
squeezed. Similar development happens in other export driven economies like the Japanese and the Swedish. We expect a
negative surprise in the E-Z GDP figures later this morning.
Look for US figures today like industrial production, capacity utilization and empire manufacturing – we need to see an
improvement here if the ‘green shoots’ should have a lasting positive effect on risk appetite.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 E-Z GDP QoQ (1Q) -2.0% -1.6%
US 12:30 US CPI MoM (APR) 0.0% -0.1%
US 13:15 Capacity Utilization (APR) 68.8% 69.3%

FX Daily stance Comment

EURUSD 0/+ 1.3600 tested, decent support, we enter a long position, stops below 1.36 figure.
EURJPY 0/- 131.00 topside for now. Look for more rotation into EURJPY shorts for medium term.
USDJPY 0/- Ranging 96 to 95 area. Still short side bias but perhaps avoid for now. Sell break below 95.00
GBPUSD 0/- Sell into intra-day rally, targeting 1.5100 level again. Stops seen below 1.5090 area.
AUDUSD - Selling interest seen at 0.7600 levels, targeting a move lower to 0.7520 area.

FX-Options Comment
EURUSD Interest to buy EUR calls intensified yesterday with 3m 1.40 and 9m 1.40s being paid.
short term, we believe 1.3725 level will be tested before a short term correction.
EURSEK 2m 15 delta RRs were paid at 3 favouring downside in 300mio/leg. Buying interest could
indicate a higher spot.
AUDUSD Vols got given right across the curve after a quiet spot session along with yen crosses.
Breakout in spot could see panic buying of vols particularly on the downside.

Equities Daily stance Comment

DAX 0/- Sell at the break of 4717 targeting 4675. S/L above 4735.
FTSE 0/- Sell at the break of 4353 targeting 4316. S/L above 4375.
S&P500 0/- Sell at the break of 890 targeting 880. S/L above 895.
Nasdaq100 0/-
Nikkei225 0/-

Commodities Daily Stance Comment

Gold(XAUUSD) 0/- Range trading. Sell at the break of 925.36 targeting 922.77. S/L above 927.72
Silver(XAGUSD 0 Range trading. Sell at the break of 14.00 targeting 13.92. S/L above 14.07
) (CLM9)
Oil 0/+ Tight range entire asia session, we are looking to buy around 58.50 area today.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GM Nordstrom 0.217 0.304
US T) J.C. Penny -0.221 0.917
 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
04-jan 04-mar 04-maj 04-jul 04-sep 04-nov 04-jan 04-mar 04-maj 16-05-2008 16-07-2008 16-09-2008 16-11-2008 16-01-2009 16-03-2009

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 100.
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 sep-07 dec-07 mar-08 jun-08 sep-08 dec-08 mar-09
maj-07 jul-07 sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-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 90

80
10
70

8 60

50
6
40

4 30

20
2
10

0 0
jul-08 aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-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 40.