Daily Trading Stance Tuesday, June 23, 2009

Theme Comment
The market is clearly worried about this week’s issuance of Treasuries and Bills ($165B). The bid-to-cover ratio of the
Bill auctions were 2.79 for the 13-weeks Bills and 2.72 for the 26-week Bills. Both lowest in 3 months. This is a clear
and present danger to system liquidity and investors are beginning to realize that. We are moving into high danger
zone. Fear is also to be found in the commodity complex (AUD, CAD, NOK) and in EEC Currencies (especially PLN and
HUF) and CDS’s. Also a big jump in corporate CDS prices.
Since the market is beginning to react to the massive issuance threat, we are changing our stance on equities to “sell
on rallies” or get outright short. Next important level in S&P500 is 878. A break lower should be considered very
negative.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 08:00 PMI Composite (JUN) 44.9% 44.0%
US 14:00 Richmond Fed Manufact. (JUN) 5 4
US 14:00 Existing Home Sales (MAY) 3.0% 2.9%

FX Daily stance Comment

EURUSD - We look for a test of 1.3825 and are sellers on a break below support.
EURJPY - We were short from 132.30, looking for 131.50. Support next level down at 130.70, almost at target)
USDJPY - 95.00 seeing decent support and good sized stops below that.
GBPUSD - 1.6100 on break of 1.6220 support. Look to sell into break.
AUDUSD - Stops below 0.7800. Support being tested now with commodity prices under pressure.

FX-Options Comment
EURUSD Despite of a quiet session, vol were paid slightly throughout the curve, and RR were bid
as well. Intraweek interests are still mixed and mkt waiting for FED later this week, but
1mo and out the mkt looks for the upside.
EURSEK Vols paid up during yesterdays session and RR paid too, so favoring EUR calls even more. Mkt
Positioning itself for a higher spot.

Equities Daily stance Comment

DAX 0/- Sell towards 4680 targeting 4640. S/L above 4722.
FTSE 0/- Sell towards 4225 targeting 4182. S/L above 4254.
S&P500 0/- Sell towards 885 targeting 879. S/L above 899.
Nasdaq100 0/-
Nikkei 0/-

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 922 and target 910. Stop above 928.
Silver 0/- Sell on rallies towards 13.90 and target 13.30. Stop above 14.00.
Oil 0/- Sell at the break of 66.37 and target 65. Stop above 67.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GM
Aft-Mkt Oracle 0.443 0.316 Important for Tech stocks
T)
 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

-0,5
40
12-feb 12-apr 12-jun 12-aug 12-okt 12-dec 12-feb 12-apr 12-jun
24-06-2008 24-08-2008 24-10-2008 24-12-2008 24-02-2009 24-04-2009
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 86.
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
nov-07 feb-08 maj-08 aug-08 nov-08 feb-09 maj-09
0
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 70

60
10

50
8

40

6
30

4
20

2 10

0
0
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09
aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is edging higher. Above 30 again.