Daily Trading Stance Tuesday, January 26, 2010

Theme Comment
Rumours about tightening lending standards in China continue to impact the markets as we saw a declining appetite
for risk overnight with USD and JPY both streghtening.
Watch out for the housing indices out of the US today (14:00 and 15:00 GMT). House prices appear to have stagnated
(according to the CaseShiller HPI) and we expect a flat MoM number, which translates into a -5.2% YoY figure from -
7.3% prior – slightly below consensus of -5.0%.
Asian markets are again retracing o/n and spreads are widening. The HY credit universe is not performing too well
and yesterday’s drop in Existing Home Sales was the biggest on record since sampling began in 1967. Risk-aversion is
likely to continue today.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
GE 09:00 IFO Business Climate / Expectations (JAN) 95.1 / 99.1 94.7 / 99.1
UK 09:30 UK GDP QoQ (Q4) 0.4% -0.2%
US 15:00 Consumer Confidence (JAN) 53.5 52.9

FX Daily stance Comment

EURUSD 0/- Seen capped at 1.4130 for a re-test of 1.4030 recent low. Stop abv 1.4185
USDJPY 0 Look for consolidation below 90.0. with a risk we ease off to 89.0. Res 90.20
EURJPY 0/- Sell up to 127.0 for a deeper push to 125.50. Stop abv 127.55
GBPUSD 0 Seen holding a 1.6170-1.6240 range. Watch for GDP data today
AUDUSD 0/- Sell rally to 0.9020-40 window for a deeper retracement back to 0.89. Stop abv 0.9095

FX-Options Comment
EURUSD Front end continues to see sellers and rest of the curve drifts lower but gamma should
start seeing some support given the event risk next week. Buyers seen in upside strikes.
USDJPY Risk reversals are leading vols higher as spot struggles to stay above 9000. Offers have
dried up and would expect more short gamma covering to prevail is we hit new spot lows.
AUDUSD Vols started the day offered with spot trading up to 9080 but quickly got paid up as we hit
the lows. 2 wk 8800 area strikes are seeing some strong buying interest.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5640 targeting 5600. S/L above 5652.
FTSE 0/- Sell on rallies towards 5260 targeting 5220. S/L above 5275.
S&P500 0/- Sell on rallies towards 1096 targeting 1087. S/L above 1091.
NASDAQ100 0/-
DJIA 0/-

Commodities Daily Stance Comment

Gold 0/- Sell at the break of 1092 and target 1083. Stop above 1096.
Silver 0/- Sell at the break of 16.86 and target 16.50. Stop above 17.00.
Oil (CLH0) 0/- Sell on rallies towards 75 and target 73. Stop above 75.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
11:00 Du Pont 0.414 0.450
US -) Johnson & Johnson 0.969 1.200
US - Yahoo! 0.168 0.080
 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
16-sep 16-nov 16-jan 16-mar 16-maj 16-jul 16-sep 16-nov 16-jan
27-01-2009 27-03-2009 27-05-2009 27-07-2009 27-09-2009 27-11-2009
US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring Credit Default Swaps are expressions for the
inflation expectations. perceived default risk in a company. Now at 50.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

2
10

1
5

0
0
jun-08 sep-08 dec-08 mar-09 jun-09 sep-09 dec-09
01-08 03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10

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
10 35

9
30
8

25
7

6 20

5
15
4

3 10

2
5
1
0
0
jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 25.

1
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes
only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an
offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in
which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo
Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any
delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies,
errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this
site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank
owe such users any duties or responsibilities as a result thereof.

Analysis Disclosure & Disclaimer

Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this
publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in
connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and
investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.