Eden Rock Capital Management LLP: Market Commentary February 2012 In February we saw a continuation of the strong gains

s experienced in January across most financial markets. Risk aversion continued to recede amidst an approaching resolution to the Greek crisis and continued improvement in economic data from the US. Equity markets in the US were broadly higher, with the S&P 500 and Dow Jones both gaining over 4%. The Nasdaq composite gained over 6%, taking it up 15% on the year. European bourses were also broadly higher with the Eurostoxx 50 up almost 4% and the FTSE, CAC & Dax indices rising by 3.34%, 4.67% & 6.15% respectively. There were strong gains in Asian markets as well with the Hang Seng up 6.32% and the Japan TOPIX up over 10%. These gains saw volatility fall further, from a level of 19.44 in the VIX at the start of the month to 18.43 at month end. Credit spreads tightened further with the iTraxx Crossover (16) over 50 points tighter at 568. As risk appetite in equities increased there was a notable sell-off in US government bonds. Yields on Treasuries were higher across the curve. Short term rates on 3 & 6 month bills were up 2 and 4bps respectively (to 0.07% and 0.11%). 2 year yields increased 8bps to 29bps, 5 year yields were 16bps higher at 0.86% whilst longer term yields increased 17bps in the 10 year to 1.97% and 14bps in the 30year, closing at 3.08%. Yields on UK Treasuries were also higher as the Monetary Policy Committee increased their quantitative easing program by 50bn. Yields on 10 year gilts were 18bps higher at 2.15%. In commodities, metals were mixed with gold losing ground by 2.35% after its steep January gain. Energy commodities were higher with crude oil up 8.72%, closing over $100 per barrel at $107 whilst natural gas futures were 4.5% higher.

Eden Rock Capital Management LLP