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Cross Asset

Technical Vista

May 10, 2012

International Markets Analysis


FINANCIAL PRODUCTS SALES DIVISION Important Disclaimer in page 2
Disclaimer

The information herein is believed to be reliable and has been obtained from sources believed to be reliable, but we make
no representation or warranty, express or implied, with respect to the fairness, correctness, accuracy or completeness of
such information. In addition we have no obligation to update, modify or amend this communication or to otherwise notify a
recipient in the event that any matter stated herein, or any opinion, projection, forecast or estimate set forth herein,
changes or subsequently becomes inaccurate. We are not acting and do not purport to act in any way as an advisor or in a
fiduciary capacity. We therefore strongly suggest that recipients seek their own independent advice in relation to any
investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained herein
may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein
shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or
other market or economic measure.

Furthermore, past performance is not necessarily indicative of future results. This communication is provided for
information purposes only. It is not an offer to sell, or a solicitation of an offer to buy, any security, nor to enter into any
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In addition, because this communication is a summary only it may not contain all material terms and therefore this
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risks involved in any purchase or sale of any financial instrument discussed herein.

2
Risk Sentiment

Eurozone Risk Sentiment Index US Risk Sentiment Index


0,6
0,6
Ris k Appetite Ris k Appetite

0,35
0,35

0,1 0,1

-0,15 -0,15

-0,4 -0,4

-0,65 -0,65

-0,9 -0,9

-1,15 -1,15
Ris k Avers ion Ris k Avers ion
-1,4 -1,4

7 /0 7
9 /0 7
1 1 /0 7
1 /0 8
3 /0 8
5 /0 8
7 /0 8
9 /0 8
1 1 /0 8
1 /0 9
3 /0 9
5 /0 9
7 /0 9
9 /0 9
1 1 /0 9
1 /1 0
3 /1 0
5 /1 0
7 /1 0
9 /1 0
1 1 /1 0
1 /1 1
3 /1 1
5 /1 1
7 /1 1
9 /1 1
1 1 /1 1
1 /1 2
3 /1 2
5 /1 2
7 /0 7
9 /0 7
1 1 /0 7
1 /0 8
3 /0 8
5 /0 8
7 /0 8
9 /0 8
1 1 /0 8
1 /0 9
3 /0 9
5 /0 9
7 /0 9
9 /0 9
1 1 /0 9
1 /1 0
3 /1 0
5 /1 0
7 /1 0
9 /1 0
1 1 /1 0
1 /1 1
3 /1 1
5 /1 1
7 /1 1
9 /1 1
1 1 /1 1
1 /1 2
3 /1 2
5 /1 2 Source: Bloomberg,
Bloomberg, International Markets Analysis

Risk sentiment has weakened, as Europes debt crisis re-emerged and worries about the
outlook of the global economy have returned.

3
EUR/USD
Daily QEUR= 10/10/2011 - 5/17/2012 (UTC)

Cndl, QEUR=, Bid Price


5/10/2012, 1.2930, 1.2968, 1.2923, 1.2937 USD
SMA, QEUR=, Bid(Last), 200
1.4
5/10/2012, 1.3423
SMA, QEUR=, Bid(Last), 55 1.39
5/10/2012, 1.3187 1.38
SMA, QEUR=, Bid(Last), 21
1.37
5/10/2012, 1.3134
1.36

0.0% 1.3487 1.35


1.34
1.33
1.32
38.2% 1.3157
1.31

1.3
61.8% 1.2953
1.29
76.4% 1.2827 1.28
1.27
100.0% 1.2623 .1234
Source: Reuters,
Reuters, International Markets Analysis
MACD, QEUR=, Bid(Last), 12, 26, 9, Exponential
5/10/2012, -0.0050, -0.0022 Value
USD

.1234
RSI, QEUR=, Bid(Last), 9, Wilder Smoothing
5/10/2012, 24.096 Value
USD

30
.123
10 17 24 31 07 14 21 28 05 12 19 26 02 09 16 23 30 06 13 20 27 05 12 19 26 02 09 16 23 30 07 14
Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

EUR/USD is trending downwards in the short term.


Support level in the short term at $1.2825-70 (76.4% Fibonacci retracement level: $1.2623-
$1.3486 and 23/1/12 low). Strong support in the mid term at $1.2600-25 (Fibonacci retracement
76.4%: $1.1875-$1.4939 and 13/1/12 low).
4 Resistance levels in the short term at $1.3065 (7/5 & 8/5 high), $1.3134 (21 DMA) and at $1.3187
(55 DMA).
USD/JPY
Daily QJPY= 8/24/2011 - 5/16/2012 (UTC)

Price
0.0% 84.17 /USD

83.5
SMA, QJPY=, Bid(Last), 21
5/10/2012, 80.55 83
SMA, QJPY=, Bid(Last), 55
82.5
5/10/2012, 81.53 23.6% 82.24
SMA, QJPY=, Bid(Last), 200 82
5/10/2012, 78.41
81.5
Cndl, QJPY=, Bid
5/10/2012, 79.65, 79.77, 79.58, 79.67 38.2% 81.05 81

80.5
50.0% 80.08 80
79.5
61.8% 79.12 79
78.5

76.4% 77.93 78

77.5

77

76.5

100.0% 76 76
Source: Reuters,
Reuters, International Markets Analysis .12
MACD, QJPY=, Bid(Last), 12, 26, 9, Exponential
5/10/2012, -0.49, -0.41 Value
/USD

.12
29 05 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 26 02 09 16 23 30 06 13 20 27 05 12 19 26 02 09 16 23 30 07 14
Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

USD/JPY short term trend has reversed to downwards.


Support at $79.12 and at $77.93 (Fibonacci retracement levels 61.8% & 76.4%: $76-$84.17).
5
Resistance at the area of 80.60 (2/5/12 high, 21 DMA & short term downwards trend line) and at
81.53 (55 DMA).
EUR/JPY
Daily QEURJPY= 8/16/2011 - 5/18/2012 (UTC)

Price
JPY
0.0% 111.43
111

110
109

108

107

106

105

104

103
61.8% 102.52
102
Cndl, QEURJPY=, Bid 101
76.4% 100.41 5/10/2012, 102.98, 103.44, 102.91, 103.04
SMA, QEURJPY=, Bid(Last), 200 100
5/10/2012, 105.23 99
SMA, QEURJPY=, Bid(Last), 55
5/10/2012, 107.52 98
SMA, QEURJPY=, Bid(Last), 21
100.0% 97.01 97
Source: Reuters,
Reuters, International Markets Analysis 5/10/2012, 105.79
.12
RSI, QEURJPY=, Bid(Last), 9, Wilder Smoothing
5/10/2012, 21.988 Value
JPY

40
20
.123
16 01 16 03 17 01 16 01 16 02 16 01 16 01 16 02 16 01 16
Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

EUR/JPY is in short term downwards trend, but quite oversold as indicated be RSI (9 days: 22).
Support levels for EUR/JPY at 102.51 and at 100.38-40 area (Fibonacci retracement levels
61.8% and 76.4%: 97.01-111.43 and 7/2/12 low).
6
Resistance level at 105.23 (200 DMA) and at 108.00 (20/4/12 high).
GBP/USD
Daily QGBP= 8/1/2011 - 5/18/2012 (UTC)

100.0% 1.6618 Price


Cndl, QGBP=, Bid USD
5/8/2012, 1.6192, 1.6198, 1.6121, 1.6152 1.65
SMA, QGBP=, Bid(Last), 200
5/8/2012, 1.5835 1.64
SMA, QGBP=, Bid(Last), 21
76.4% 1.6291 0.0% 1.6301 5/8/2012, 1.6085 1.63
SMA, QGBP=, Bid(Last), 55
5/8/2012, 1.5934 1.62

61.8% 1.6089 1.61


23.6% 1.6049
1.6
50.0% 1.5925
38.2% 1.5893 1.59

1.58
38.2% 1.5762 50.0% 1.5767
1.57
61.8% 1.5641
1.56
23.6% 1.556
76.4% 1.5485 1.55

1.54

1.53

0.0% 1.5233 100.0% 1.5233 .1234


RSI, QGBP=, Bid(Last), 9, Wilder Smoothing
5/8/2012, 54.618 Value
USD

30

.123
01 08 15 22 29 05 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 26 02 09 16 23 30 06 13 20 27 05 12 19 26 02 09 16 23 30 07 14
Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

GBP/USD is correcting after posting a 8-month high ($1.6301) on April 30. However, the medium
upwards trend remains intact.
Support placed at $1.6049 (23.6% Fibonacci retracement: 1.5233 1.6301), at the area of
$1.6000 (medium term uptrend line), at $1.5893 (38.2% Fibonacci retracement: 1.5233 1.6301),
7
and at the area of $1.5835 (200 DMA).
Resistance levels is found at $1.6301 (30/4/2012 high) and at $1.6455Source:
(29/8/11
Reutershigh).
Reuters,
, International Markets Analysis
EUR/GBP
Daily QEURGBP= 5/20/2008 - 6/25/2012 (UTC)
0.0% 0.9803
Price
SMA, QEURGBP=, Bid(Last), 200
GBP
5/10/2012, 0.8476
0.96
SMA, QEURGBP=, Bid(Last), 55
0.95
5/10/2012, 0.8267
Cndl, QEURGBP=, Bid 0.94
23.6% 0.9305 5/10/2012, 0.8016, 0.8045, 0.8000, 0.8038 0.93
SMA, QEURGBP=, Bid(Last), 21
0.92
5/10/2012, 0.8153
0.91

38.2% 0.8996 0.9


0.89
0.88
50.0% 0.8747
0.87
0.86
61.8% 0.8498 0.85
0.84
0.83

76.4% 0.819 0.82


0.81
0.8
0.79
0.78

100.0% 0.7692 0.77


.1234
RSI, QEURGBP=, Bid(Last), 9, Wilder Smoothing
Source: Reuters,
Reuters, International Markets Analysis
5/10/2012, 24.931 Value
GBP
60
40
20
.123
J J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J
Q3 08 Q4 08 Q1 09 Q2 09 Q3 09 Q4 09 Q1 10 Q2 10 Q3 10 Q4 10 Q1 11 Q2 11 Q3 11 Q4 11 Q1 12 Q2 12

EUR/GBP downwards trend has strengthened. The pair has reached oversold territory, as
indicated by RSI (9 days: 20, 9 weeks: 24).
Support levels are found at the area of 0.8000-0.7950 (10/5/12 low & lower medium term trend
line channel support) and at 0.7807 (31/10/08 low).
8
Resistance level at 0.8220 (25/4/12 high) at the area of 0.8270 (55 DMA).
USD/CHF
Daily QCHF= 7/25/2011 - 5/21/2012 (UTC)

Price
0.0% 0.9594 /USD

0.94

0.92

23.6% 0.9002 0.9

0.88

38.2% 0.8636 0.86

0.84
50.0% 0.834
Cndl, QCHF=, Bid 0.82
5/10/2012, 0.9283, 0.9291, 0.9258, 0.9277
61.8% 0.8044
SMA, QCHF=, Bid(Last), 55 0.8
5/10/2012, 0.9127
SMA, QCHF=, Bid(Last), 200 0.78
76.4% 0.7677 5/10/2012, 0.8990
SMA, QCHF=, Bid(Last), 21 0.76
5/10/2012, 0.9146
0.74

0.72
100.0% 0.7085 Source: Reuters,
Reuters, International Markets Analysis .1234
RSI, QCHF=, Bid(Last), 9, Wilder Smoothing
5/10/2012, 73.755 Value
/USD

.123
25 01 08 15 22 29 05 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 26 02 09 16 23 30 06 13 20 27 05 12 19 26 02 09 16 23 30 07 14 21
Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

USD/CHF remains into consolidation mode, however the pair has shown some upside
momentum.
Resistance is found at 0.9334 CHF (15/3/12 high), at 0.9412 CHF (19/1/12 high) and at 0.9496
CHF (18/1/12 high).
9 Support levels at the area of 0.9000-0.8990 CHF (23.6% Fibonacci retracement: 0.7085 0.9595
CHF & 200 DMA) and at 0.8927 CHF (24/2/12 low).
(WTI) 1stst Month Future
Light Crude Oil (WTI)
Daily QCLc1 8/22/2011 - 5/22/2012 (NYC)
0.0% 110.55
Price
USD
Bbl

105

23.6% 102.15 102

99

38.2% 96.95
96

50.0% 92.75 93

90
61.8% 88.55 Cndl, QCLc1, Last Trade
5/10/2012, 96.45, 96.92, 96.29, 96.70 87
SMA, QCLc1, Last Trade(Last), 200
5/10/2012, 96.28
84
76.4% 83.35 SMA, QCLc1, Last Trade(Last), 55
5/10/2012, 104.44
SMA, QCLc1, Last Trade(Last), 21 81
5/10/2012, 102.27
78
Source: Reuters,
Reuters, International Markets Analysis
100.0% 74.95 .12
RSI, QCLc1, Last Trade(Last), 9, Wilder Smoothing
5/10/2012, 22.667 Value
USD
Bbl
30

.123
22 29 06 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 27 03 09 17 23 30 06 13 21 27 05 12 19 26 02 09 16 23 30 07 14
2
Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12 [Delayed]

Crude oil (WTI) is consolidating around 200 DMA ($96/brl). The short term upwards trend has
reversed, as the 21 days MA broke downwards the 55 days MA on April 19.
Support levels at the area of $95/brl (2/2/12 & 7/5/12 low), at the area of $92.50-75/brl (16/12/11
low & 50% retracement: $74.95 $110.55) and at $88.55brl (61.8% Fibonacci retracement:
$74.95 $110.55).
10
Resistance levels are placed at $102.30/brl (21 DMA) and at $106.43/brl (1/5/12 high).
Spot Gold
Weekly QXAU= 6/22/2008 - 8/19/2012 (UTC)
Price
USD
Ozs
Cndl, QXAU=, Bid
5/13/2012, 1,639.79, 1,642.40, 1,579.30, 1,587.00 1,800
SMA, QXAU=, Bid(Last), 21
1,750
5/13/2012, 1,666.21
SMA, QXAU=, Bid(Last), 55 1,700
5/13/2012, 1,657.38 1,650
Ichi, QXAU=, Bid, 9, 26, 52, 26, 26
1,600
5/13/2012, KinSen 1,658.80, TknSen 1,646.55, ChkuSp 1,587.00, SkuSpA 1,652.68, SkuSpB 1,695.90
1,550

1,500
1,450
1,400
1,350
1,300
1,250
1,200
1,150
1,100
1,050
1,000
950
Source: Reuters,
Reuters, International Markets Analysis
900
850
800
750
700
.12
J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J J A
Q3 08 Q4 08 Q1 09 Q2 09 Q3 09 Q4 09 Q1 10 Q2 10 Q3 10 Q4 10 Q1 11 Q2 11 Q3 11 Q4 11 Q1 12 Q2 12

Gold long term upwards trend was broken for the first time since 2008. However, the gold spot
price is approaching oversold area in the short term (RSI 9 days: 20).
Support levels appears at the area of $1,522/Oz (19/2/12 low) and at $1,478/Oz (1/7/11 low).
Resistance levels are placed at the area of $1,670/Oz (1/5/12 high & 55 DMA) and at the area of
11
$1,700/Oz (200 DMA).
S&P 500
Daily Q.SPX 8/19/2011 - 5/21/2012 (CHG)
0.0% 1,422.52
Price
USD
1,380

1,350
23.6% 1,340.46
1,320

38.2% 1,289.69 1,290

1,260
50.0% 1,248.66
1,230

61.8% 1,207.63
1,200
Cndl, Q.SPX, Last Trade
5/9/2012, 1,363.20, 1,363.73, 1,343.13, 1,354.58
1,170
SMA, Q.SPX, Last Trade(Last), 200
76.4% 1,156.87 5/9/2012, 1,276.85
SMA, Q.SPX, Last Trade(Last), 55 1,140
5/9/2012, 1,384.38
SMA, Q.SPX, Last Trade(Last), 21 1,110
5/9/2012, 1,381.67

100.0% 1,074.81 .12

Value
USD
Source: Reuters, International Markets Analysis
-20
MACD, Q.SPX, Last Trade(Last), 12, 26, 9, Exponential
5/9/2012, -4.09, -0.20 .12
22 29 06 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 27 03 09 17 23 30 06 13 21 27 05 12 19 26 02 09 16 23 30 07 14 21
Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12 [Delayed]

The S&P 500 is in correction mode as indicated by the downwards break of the 55 DMA (1,385) by
the 21 DMA (1,382) on May 4.
Support level for S&P 500 at 1,340 (Fibonacci retracement level 23.6%: 1,075-1,422), at 1,290
(Fibonacci retracement level 38.2%: 1,075-1,422) and at 1,277 (200 DMA).
12
Resistance level at 1,422 (2/4/12 high).
DAX
Daily Q.GDAXI 8/5/2011 - 5/17/2012 (FFT)

0.0% 7,193.466 Price


EUR

7,000

6,800

23.6% 6,667.643
6,600

6,400
38.2% 6,342.346
6,200

50.0% 6,079.434
6,000

61.8% 5,816.522 5,800

SMA, Q.GDAXI, Last Trade(Last), 200


5/9/2012, 6,191.412 5,600
SMA, Q.GDAXI, Last Trade(Last), 55
76.4% 5,491.225
5/9/2012, 6,828.663
5,400
Cndl, Q.GDAXI, Last Trade
5/9/2012, 6,483.270, 6,506.210, 6,433.410, 6,457.870
SMA, Q.GDAXI, Last Trade(Last), 21 5,200
5/9/2012, 6,654.617

5,000
100.0% 4,965.402
.123
Source: Reuters,
Reuters, International Markets Analysis
RSI, Q.GDAXI, Last Trade(Last), 9, Wilder Smoothing
5/9/2012, 33.296 Value
EUR

40
20
.123
08 15 22 29 05 12 19 26 03 10 17 24 31 07 14 21 28 05 12 19 27 02 09 16 23 30 06 13 20 27 05 12 19 26 02 10 16 23 30 07 14
Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

DAX index is subject to downside pressure, after the downwards break of the medium term trend
line on May 7.
Support levels are found at 6,342 (38.2% Fibonacci retracement: 4,965 7,193), at 6,190 (200
13 DMA) and at 6,080 (50% retracement: 4.965 7.193).
Resistance levels at 6,650 (21 DMA) and at the area of 6,830-870 (55 DMA & 2/5/12 high).
US 10YR Government Bond Yield
Daily QUS10YT=RR 3/3/2011 - 5/29/2012 (UTC)

Yield

3.6

3.4

3.2

2.8

2.6
BarOHLC, QUS10YT=RR, Yield_1
5/10/2012, 1.8549, 1.8808, 1.8480, 1.8583 2.4
SMA, QUS10YT=RR, Yield_1(Last), 21
5/10/2012, 1.9388
2.2
SMA, QUS10YT=RR, Yield_1(Last), 55
5/10/2012, 2.0561
SMA, QUS10YT=RR, Yield_1(Last), 200 2
5/10/2012, 2.0600

1.8
.1234
RSI, QUS10YT=RR, Yield_1(Last), 9, Wilder Smoothing
5/10/2012, 34.008 Value

60
40
20
.123
16 01 18 02 16 01 16 01 18 01 16 01 16 03 17 01 16 01 16 03 17 01 16 01 16 02 16 01 16
Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

Source: Reuters,
Reuters, International Markets Analysis
Support area for US 10year government bond yield at 1.72% (4/10/11 low) and at 1.67% (23/9/11).
14 Resistance levels at 2.06% (55 & 200 DMA) and at 2.23% (6/4/12 high).
German 10YR
10YR Government
Government Bond
Bond Yield
Yield
Daily QDE10YT=RR 6/18/2008 - 6/7/2012 (UTC)

Cndl, QDE10YT=RR, Yield_1 Yield


5/9/2012, 1.551, 1.556, 1.532, 1.538 4.5
SMA, QDE10YT=RR, Yield_1(Last), 55
5/9/2012, 1.794
SMA, QDE10YT=RR, Yield_1(Last), 200 4.2
5/9/2012, 1.939
SMA, QDE10YT=RR, Yield_1(Last), 21 3.9
5/9/2012, 1.670

3.6

3.3

2.7

2.4

2.1

1.8

Source: Reuters,
Reuters, International Markets Analysis 1.5

.123
RSI, QDE10YT=RR, Yield_1(Last), 9, Wilder Smoothing
5/9/2012, 21.451 Value

60
40
20
.123
J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J J A S O N D J F M A M J
Q3 08 Q4 08 Q1 09 Q2 09 Q3 09 Q4 09 Q1 10 Q2 10 Q3 10 Q4 10 Q1 11 Q2 11 Q3 11 Q4 11 Q1 12 Q2 12

The German 10 year government bond yield returned in strong downwards trend.
Support placed at 1.50% (historic low) and at the area of 1.40% (long term trend line channel
15 support).
Resistance levels are found at 1.70% (2/5/12 high) and at the area of 1.80% (55 DMA).
US 5yr interest rate swap
Daily QUSDSB3L5Y=RR 9/21/2011 - 5/23/2012 (UTC)

Price

1.45
1.4
1.35
1.3
1.25
1.2
BarOHLC, QUSDSB3L5Y=RR, Bid
1.15
5/10/2012, 1.082, 1.098, 1.079, 1.085
SMA, QUSDSB3L5Y=RR, Bid(Last), 55 1.1
5/10/2012, 1.188
1.05
SMA, QUSDSB3L5Y=RR, Bid(Last), 200
5/10/2012, 1.227 1
SMA, QUSDSB3L5Y=RR, Bid(Last), 21 .123
5/10/2012 1 117
RSI, QUSDSB3L5Y=RR, Bid(Last), 9, Wilder Smoothing
5/10/2012, 36.453 Value

30
.123
03 17 01 16 01 16 02 16 01 16 01 16 02 16 01 16
Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12

US swap 5-year rate is in downtrend.


Support level at 0.95% (2/2/12 low).
16
Resistance level at 1.19% and at 1.23% (55 & 200 DMA). Source: Reuters,
Reuters, International Markets Analysis
Euro 5yr interest
interest rate
rate swap
swap
Daily QEURAB6E5Y= 7/2/2010 - 5/30/2012 (GMT)

Cndl, QEURAB6E5Y=, Bid Price


5/9/2012, 1.3275, 1.3580, 1.3080, 1.3370 EUR
SMA, QEURAB6E5Y=, Bid(Last), 55
5/9/2012, 1.5194
SMA, QEURAB6E5Y=, Bid(Last), 200
2.8
5/9/2012, 1.7969
SMA, QEURAB6E5Y=, Bid(Last), 21
5/9/2012, 1.4433 2.6

2.4

2.2

0.0% 1.7791 1.8

23.6% 1.6151 1.6


38.2% 1.5136
50.0% 1.4316 1.4
61.8% 1.3496
76.4% 1.2481
1.2

100.0% 1.0841 .1234


RSI, QEURAB6E5Y=, Bid(Last), 9, Wilder Smoothing
5/9/2012, 27.007 Value
EUR

40
20
.123
Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

Euro 5yr interest rate swap remains in downwards trend.


Support at the area of 1.29% (historic low) and at the area of 1.25% (76.4% Fibonacci
extension: 1.48% - 1.7655% - 1.30%).
17 Resistance levels are placed at the area of 1.45% (21 DMA), at 1.57% (25/4/12 high) and at
1.672% (27/3/12). Source: Reuters,
Reuters, International Markets Analysis
Correlation Matrix
60 Days (Percentage Change) Correlation Matrix
Equity Index Commodities Risk Aversion Index
S&P 500 Euro Stoxx 50 MSCI AC World CRB GOLD WTI RA EU RA US
Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m
DXY -0,4601 -0,4268 -0,4621 -0,4326 -0,5296 -0,5308 -0,4247 -0,4360 -0,4793 -0,4898 -0,3639 -0,3488 0,3078 0,2349 0,3921 0,2186
EUR/USD 0,4457 0,4438 0,4369 0,3971 0,5178 0,4994 0,4461 0,4537 0,5409 0,5267 0,3822 0,3531 -0,2663 -0,2071 -0,3670 -0,1561
USD/JPY 0,3462 0,3674 0,3206 0,3350 0,3748 0,3339 0,2653 0,3110 -0,1804 -0,2310 0,1992 0,2080 -0,3015 -0,1880 -0,1455 -0,0411
GBP/USD 0,2801 0,4869 0,4469 0,4395 0,5202 0,5285 0,3612 0,3112 0,2271 0,2371 0,3313 0,2594 -0,3921 -0,3242 -0,2519 -0,1984
USD/CHF -0,4066 0,1814 -0,4000 -0,3353 -0,4823 -0,4525 -0,4523 -0,4436 -0,5639 -0,5748 -0,3847 -0,3435 0,2326 0,1781 0,3459 0,1626
EUR/CHF -0,0574 0,2448 0,0673 0,2760 0,0371 0,2015 -0,1467 0,0516 -0,2624 -0,2179 -0,1073 0,0491 -0,1022 -0,1214 0,0158 0,0542
EUR/GBP 0,0552 0,0938 0,0769 0,0791 0,1069 0,1263 0,1953 0,2840 0,4756 0,4504 0,1481 0,2077 0,0880 0,0491 -0,2177 -0,0142
EUR/JPY 0,5766 0,5998 0,5484 0,5416 0,6486 0,6146 0,5115 0,5618 0,2181 0,2001 0,4146 0,4103 -0,4190 -0,2923 -0,3639 -0,1429
Bund Fut. -0,4951 -0,4785 -0,6252 -0,5291 -0,5075 -0,4870 -0,4073 -0,4001 -0,0387 0,0222 -0,3213 -0,2811 0,6748 0,4193 0,1040 -0,0479

Government Bonds
2Y US 10Y US 2Y GE 10Y GE 2Y UK 10Y UK 2Y JN 10Y JN
Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m
DXY -0,0013 0,0066 -0,1038 -0,1500 -0,2727 -0,3461 -0,2987 -0,3596 -0,2096 -0,2630 -0,2025 -0,2551 -0,0191 -0,0184 0,0157 -0,0356
EUR/USD 0,1407 0,1200 0,2234 0,2596 0,3294 0,4012 0,3349 0,3796 0,2210 0,2558 0,1564 0,2196 0,0422 -0,0085 -0,0028 0,0269
USD/JPY 0,4315 0,4190 0,4590 0,4698 0,2607 0,2538 0,3298 0,3463 -0,0130 -0,0014 0,3063 0,3052 -0,0125 -0,0294 0,2129 0,1904
GBP/USD 0,0769 0,0736 0,2083 0,2189 0,3582 0,3782 0,4326 0,4520 0,4533 0,4547 0,4550 0,4302 -0,1276 -0,1437 -0,1871 -0,1275
USD/CHF -0,0546 -0,0223 -0,1411 -0,1400 -0,2651 -0,2996 -0,2448 -0,2517 -0,1290 -0,1474 -0,0776 -0,1095 -0,0886 -0,0271 -0,0150 -0,0226
EUR/CHF 0,3805 0,4195 0,3387 0,5155 0,2403 0,4428 0,3515 0,5566 0,4074 0,4683 0,3511 0,4830 -0,2566 -0,1680 -0,0674 0,0331
EUR/GBP 0,1048 0,0854 0,0580 0,1147 0,0341 0,1500 -0,0413 0,0494 -0,2216 -0,1157 -0,3120 -0,1389 0,2103 0,1313 0,2241 0,1739
EUR/JPY 0,4382 0,4057 0,5165 0,5454 0,4295 0,4828 0,4890 0,5393 0,1382 0,1850 0,3503 0,3915 0,0212 -0,0279 0,1734 0,1689
Bund Fut. -0,4760 -0,4506 -0,6453 -0,6959 -0,7468 -0,7174 -0,8660 -0,9072 -0,4814 -0,5177 -0,7633 -0,8284 0,0091 -0,0571 -0,2079 -0,3463

Significant negative correlation Significant positive correlation

EUR remains positively correlated with risky assets. EUR/JPY correlation with equity markets has
increased further the last month.
USD/JPY shows the strongest correlation with US government bond yields.
USD/CHF exhibits significant negative correlation with gold price.
18
Source: Bloomberg,
Bloomberg, International Markets Analysis
Technical Analysis Synopsis

MA's Overbought/
Percent Change to Date Range MACD Signal
Last_Price Monthly trend crossover Oversold 3 Months trend
(Daily)
Week Month Year Upper Lower signal Singal (Daily)
DXY Dollar Index 80,107 0,77 1,70 -0,08 Range Trading 80,15 78,59 Down No Signal Up Signal Range Trading
EUR/USD 1,2946 -1,05 -2,21 -0,11 Range Trading 1,3317 1,2955 Down No Signal Down Signal Range Trading
GBP/USD 1,6101 -0,31 -0,82 3,59 Range Trading 1,6334 1,5883 Up No Signal Down Signal Range Trading
USD/JPY 79,7 -0,20 -0,16 3,49 Downtrend Down No Signal Down Signal Uptrend
FX

USD/CHF 0,9278 1,03 2,19 -1,11 Range Trading 0,9273 0,9022 Up No Signal Up Signal Range Trading
EUR/GBP 0,80407 -0,75 -1,41 -3,64 Downtrend Down Oversold Down Signal Downtrend
EUR/JPY 103,17 -1,27 -2,41 3,41 Downtrend Down Oversold Down Signal Range Trading
EUR/CHF 1,20118 -0,01 -0,01 -1,30 Range Trading 1,2024 1,2009 Down No Signal Up Signal Range Trading
S&P 500 INDEX 1354,58 -1,06 -3,10 7,71 Range Trading 1411 1352 Down No Signal Down Signal Range Trading
Euro Stoxx 50 Pr 2222,48 -1,13 -3,62 -4,04 Downtrend Down No Signal Down Signal Downtrend
Equities

DAX INDEX 6482,4 -1,18 -4,09 9,94 Downtrend Down No Signal Down Signal Range Trading
CAC 40 INDEX 3097,18 -2,03 -3,58 -1,97 Downtrend Down No Signal Down Signal Range Trading
NIKKEI 225 9009,65 -3,95 -5,37 6,56 Range Trading 9804 9137 Down No Signal Down Signal Downtrend
Cm dties

Crude Oil 1m Future 96,42 -2,15 -8,11 -2,49 Downtrend Down Oversold Down Signal Range Trading
GOLD SPOT $/OZ 1590,45 -3,15 -4,46 1,71 Downtrend Down Oversold Down Signal Range Trading
Copper Furture 1M 369,5 -1,18 -4,00 7,10 Range Trading 384,82 357,16 Down No Signal Down Signal Range Trading
10Y GE Govt Yield 1,525 -3,85 -8,42 -16,73 Range Trading 1,8108 1,5127 Down No Signal Down Signal Range Trading
Fixed Incom e

2Y GE Govt Yield 0,078 -4,88 -2,50 -45,83 Range Trading 0,1571 0,0579 Down No Signal Up Signal Downtrend
10Y US Govt Yield 1,8652 -0,71 -2,53 -0,59 Downtrend Down No Signal Down Signal Range Trading
2Y US Govt Yield 0,254 0,00 -0,74 6,23 Range Trading 0,2772 0,2470 Down No Signal Up Signal Range Trading
EUR 5 Yr IRS 1,365 3,77 -3,78 -20,94 Downtrend Down No Signal Down Signal Downtrend
US 5 Yr IRS 1,09 0,83 0,18 -10,98 Range Trading 1,1719 1,0625 Down No Signal Down Signal Range Trading

Source: Bloomberg,
Bloomberg, International Markets Analysis

19
210-326 8265 marketanalysis@alpha.gr

Panos Remoundos premoundos@alpha.gr


Maria Koutouzi mkoutouzi@alpha.gr
Ioannis Kouravelos, CFA ikouravelos@alpha.gr
Konstantinos Anathreptais kanathreptakis@alpha.gr

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