Daily Trading Stance Friday, May 08, 2009

Theme Comment
The stress test on US banks was released yesterday and nothing much new information was revealed. BofA need $34
bln., Wells Fargo $13.7 bln and CitiGroup $5.5 bln. The major issue is still whether the assumptions underlying the
stress test regarding the worst case scenario is realistic.
ECB cut interest rates to 1% and announced that it wants to buy debt and bunds were heading lower on this. BoE
announced that it will have another go of buying debt despite that the prior attempt did not have any long lasting
effect on the curve.
Watch out for Non-farm payrolls and Unemployment rate from the US today. Definitely today’s most important event
and will move markets.
Toyota was out with a loss at 436.93 bln. Yen vs. a profit of 1.72 TN Yen last year. Cuts dividend by 50% and a bleak
outlook for 2009.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
GE 10:00 Industrial Production MoM (MAR) -1.3% -2.9%
US 12:30 Change in Non-farm Payrolls (APR) -600K -663K
US 12:30 Unemployment Rate (APR) 8.9% 8.5%

FX Daily stance Comment

EURUSD 0/- Rally can extend to 1.3470 high, but would sell there for re-test of 1.3330-40
EURJPY 0/- 200-day MA suppt holds at 132.40. Seen ranging 132.30-133.80
USDJPY 0/- Looking for a re-test of 99.60, but seen holding for retracement to 98.80-00
GBPUSD 0/- Prefer downside while below 1.5060. Suppt still 1.4960
AUDUSD 0 Still firm but looking tired. May halt at 0.7580-90 temporarily. Suppt at 0.7475-80

FX-Options Comment
EURUSD Buyers of shortdate starting to appear in both directions as the market looks nervous.
Spot likely to be choppy over the next few sessions.
USDJPY Market is finding buyers along the middle of the curve even though spot is largely
rangebound. 6m atms saw an aggressive buyer, also buyers of shortdate downside.
AUDUSD Sellers of topside persists and the rest of the curve follows slightly lower. Today’s session
saw a few buyers of low delta downside.

Equities Daily stance Comment

DAX 0/+ Buy at the break of 4835 targeting 4900. S/L below 4790.
FTSE 0/+ Buy at the break of 4424 targeting 4490. S/L below 4380.
S&P500 0/+ Buy at the break of 910 targeting 920. S/L below 905.
Nasdaq100 0/+
Nikkei225 0/+

Commodities Daily Stance Comment

Gold(XAUUSD) 0 Likely suppted at 905. Next res at 925
Silver(XAGUSD 0/+ Buy dips to 13.75 for a push back abv 14.0
) (CLM9)
Oil 0/+ Further upside potential to 60+. Buy dips to 56.0, stop below 53.40

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
28-dec 28-feb 28-apr 28-jun 28-aug 28-okt 28-dec 28-feb 28-apr 09-05-2008 09-07-2008 09-09-2008 09-11-2008 09-01-2009 09-03-2009

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 110.
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
apr-07 jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 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.