Cross Asset

Technical Vista

August 23, 2011

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 Sentime nt Inde x US Risk Sentime nt Inde x
0,6 0,6
Risk A ppetite Risk A ppetite

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
Risk A version Risk A version Source: Bloomberg,
Bloomberg, International Markets Analysis
-1,4 -1,4

7/07
9/07
11/07
1/08
3/08
5/08
7/08
9/08
11/08
1/09
3/09
5/09
7/09
9/09
11/09
1/10
3/10
5/10
7/10
9/10
11/10
1/11
3/11
5/11
7/11
7/07
9/07
11/07
1/08
3/08
5/08
7/08
9/08
11/08
1/09
3/09
5/09
7/09
9/09
11/09
1/10
3/10
5/10
7/10
9/10
11/10
1/11
3/11
5/11
7/11
Equity implie d vola tility Inde x S&P 500 a nd DAX, 1 Month FX Implied Volatility, 2009 - 2011
25 25

%
2008 - 2011

%
80 24 24
23 23
70 22 22
21 USD/JPY 21
20 20
60 S&P (VIX) USD/CHF
19 19
18 EUR/USD 18
DAX (VDAX) 17 17
50
16 16
15 15
40
14 14
13 13
30 12 12
11 11
20 10 10
9 9
8 8
10 7 7
5/08
7/08

9/08
11/08
1/09
3/09
5/09
7/09

9/09
11/09
1/10
3/10

5/10
7/10
9/10
11/10
1/11
3/11
5/11
7/11

7/09

8/09

9/09

11/09
12/09

2/10

3/10

5/10

6/10
8/10

9/10

11/10

12/10
2/11

3/11

5/11

6/11

8/11
` Risk aversion keeps rising due to worries about global growth slowdown and the impact of
3
Eurozone debt crisis on financial system.
 EUR/USD
Daily QEUR= 10/8/2009 - 9/28/2011 (GMT)

Price
USD
0.0% 1.4943 100.0% 1.4943
1.48
76.4% 1.4682
61.8% 1.452 1.44
23.6% 1.4218
1.4
38.2% 1.377 0.0% 1.3837
1.36
50.0% 1.3407
1.32
61.8% 1.3045 Cndl, QEUR=, Bid
8/23/2011, 1.4357, 1.4499, 1.4351, 1.4463 1.28
SMA, QEUR=, Bid(Last), 200
76.4% 1.2597
8/23/2011, 1.3967
1.24
SMA, QEUR=, Bid(Last), 55
8/23/2011, 1.4316
BBand, QEUR=, Bid(Last), 21, Simple, 2.0 1.2
100.0% 1.1872
8/23/2011, 1.4532, 1.4323, 1.4113
1.16
.1234
MACD, QEUR=, Bid(Last), 12, 26, 9, Exponential
8/23/2011, 0.0030, 0.0013 Value
USD
Source: Reuters,
Reuters, International Markets Analysis .1234
Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` EUR/USD is range trading between $1.3900-$1.4600.

` Strong resistance in the short term is expected at the area of $1.4536-77 (27/7/11 & 4/7/11 high)
and at the area of $1.4680-96 (76.4% Fibonacci retracement: $1.4940-$1.3835 & 7/6/11 high).
` Support level is found at $1.4101 (11/8/11 low) and $1.4055 (5/8/11 low).
` The strength of the medium term uptrend for EUR/USD seems to have weakened as indicated by
weekly trend indicators.
` Resistance area for EUR/USD in the medium term at $1.4900-39 (4&5/5/11 high).
4 ` In the mid-term support levels at $1.3967 (200 days MA) and at $1.3770 (Fibonacci retracement
38.2%: $1.1875-$1.4940).
 USD/JPY
Daily QJPY= 12/2/2009 - 11/2/2011 (GMT)

Price
BarOHLC, QJPY=, Bid
/USD
8/23/2011, 76.81, 76.93, 76.47, 76.52
SMA, QJPY=, Bid(Last), 200
92
8/23/2011, 81.44
SMA, QJPY=, Bid(Last), 55
8/23/2011, 78.96 90

88

86

84

82

80

78

Source: Reuters,
Reuters, International Markets Analysis 76
.12
RSI, QJPY=, Bid(Last), 9, Wilder Smoothing
8/23/2011, 36.554 Value
/USD

30

.123
Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Q4 09 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` USD/JPY is still in a downtrend.

` Support is placed at the area of 76.00 (19/8/11 low) and 75.00 (round number).
` Resistance levels at 77.85 (9/8/11 high), at 78.96 (55 days MA) and at $80.24 (4/8/11
5 high).
 EUR/JPY
Daily QEURJPY= 3/11/2009 - 10/10/2011 (GMT)

Price
BarOHLC, QEURJPY=, Bid
JPY
8/23/2011, 110.29, 111.08, 110.23, 110.66
SMA, QEURJPY=, Bid(Last), 200
136
8/23/2011, 113.71
SMA, QEURJPY=, Bid(Last), 55
8/23/2011, 113.05 132
SMA, QEURJPY=, Bid(Last), 21
8/23/2011, 110.58 128

124
0.0% 123.3

23.6% 119.6 120

38.2% 117.31
116

61.8% 113.61
112
76.4% 111.32

100.0% 107.62 108

.12
MACD, QEURJPY=, Bid(Last), 12, 26, 9, Exponential
8/23/2011, -0.69, -0.87 Value
JPY
0
-1

.12
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
Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

Source: Reuters,
Reuters, International Markets Analysis
` EUR/JPY is under downwards pressure, however some support is found not far lower than the
current level.
` Support level at 108.00 (11/8/11 low). Further support level at 107.53 (17/3/11 low).
6
` Resistance levels at 113.05 (55 DMA), 113.71 (200 DMA) and 114.16 (4/8/11 high).
 GBP/USD
Daily QGBP= 12/16/2009 - 9/23/2011 (GMT)

Price
USD

1.64

1.62

1.6
1.58

1.56

1.54
Cndl, QGBP=, Bid
8/23/2011, 1.6460, 1.6569, 1.6452, 1.6551 1.52
SMA, QGBP=, Bid(Last), 55
8/23/2011, 1.6225 1.5
SMA, QGBP=, Bid(Last), 200
8/23/2011, 1.6101 1.48
BBand, QGBP=, Bid(Last), 21, Simple, 2.0
1.46
8/23/2011, 1.6582, 1.6374, 1.6165
BBand, QGBP=, Bid(Last), 21, Simple, 2.0 1.44
8/23/2011, 1.6582, 1.6374, 1.6165
1.42
.1234
RSI, QGBP=, Bid(Last), 9, Wilder Smoothing
8/23/2011, 64.113 Value
USD

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

` GBP/USD is trading with bias to the upside in the short term (up to 1 month horizon). The pair
exhibits lower volatility than the other major currencies.
` Resistance levels are found at $1.6618 (19/8/11 high) and at $1.6745 (28/4/11 high).
` Support placed at $1.6353 (17/8/11 low) and at the area of $1.6100-09 (200 DMA & 11/8/11 low).
7
Source: Reuters,
Reuters, International Markets Analysis
 EUR/GBP
Daily QEURGBP= 4/19/2010 - 10/13/2011 (GMT)
Price
GBP
0.91
0.905

0.9
0.895
0.89
0.885

0.88
0.875
0.87
0.865
0.86

0.855

0.85
0.845

SMA, QEURGBP=, Bid(Last), 200 0.84

8/23/2011, 0.8671 0.835
SMA, QEURGBP=, Bid(Last), 55
0.83
8/23/2011, 0.8822
Cndl, QEURGBP=, Bid 0.825
8/23/2011, 0.8720, 0.8751, 0.8713, 0.8742 0.82
BBand, QEURGBP=, Bid(Last), 21, Simple, 2.0
8/23/2011, 0.8833, 0.8745, 0.8658 0.815
0.81

.1234
03 17 01 16 01 16 02 16 01 16 01 18 01 16 01 16 03 17 01 16 01 16 01 18 02 16 01 16 01 18 01 16 01 16 03
Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` EUR/GBP remains in range trading. The medium term upwards trend remains in place.
` Support levels are found at the area of 0.8640-52 (5/87/11 & 19/8/11 low) and at 0.8560
(medium term uptrend line).
` Resistance level is placed at 0.8885 (10/8/11 high) and at 0.9000 (8/7/11 high).
8
Source: Reuters,
Reuters, International Markets Analysis
 USD/CHF
Daily QCHF= 7/9/2010 - 9/12/2011 (GMT)
Price Cndl, QCHF=, Bid
/USD 8/23/2011, 0.7904, 0.7906, 0.7850, 0.7872
SMA, QCHF=, Bid(Last), 55
1.04 8/23/2011, 0.8120
SMA, QCHF=, Bid(Last), 200
8/23/2011, 0.8964
1 SMA, QCHF=, Bid(Last), 21
100.0% 0.9775 8/23/2011, 0.7765
0.96

0.92
76.4% 0.914

0.88
61.8% 0.8747

0.84 50.0% 0.843

38.2% 0.8113
0.8

23.6% 0.772
0.76

0.72
0.0% 0.7085
Source: Reuters,
Reuters, International Markets Analysis
.1234
MACD, QCHF=, Bid(Last), 12, 26, 9, Exponential
8/23/2011, -0.0057, -0.0111 Value
/USD
-0.01

-0.02
.1234
16 02 16 01 16 01 18 01 16 01 16 03 17 01 16 01 16 01 18 02 16 01 16 01 18 01 16 01
Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11 Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11

` USD/CHF is rebounding after posting on August 9 new historic low (0.7085 CHF). However, the
medium strong downwards trend remains in place.
` Resistance is found at the area of 0.8113-20 CHF (38.2% Fibonacci retracement 0.9775 0.7085
CHF, 55 DMA & medium term downwards trend), at 0.8277 CHF (19/7/11 high) and at 0.8525
9
CHF (1/7/11 high).
` Support level at 0.7546 CHF (12/8/11 low) and at 0.7085 CHF (historic low).
 EUR/CHF
Daily QEURCHF= 3/11/2010 - 9/30/2011 (GMT)
Cndl, QEURCHF=, Bid
8/23/2011, 1.1352, 1.1422, 1.1309, 1.1397 Price
SMA, QEURCHF=, Bid(Last), 21 CHF
8/23/2011, 1.1128 1.4
SMA, QEURCHF=, Bid(Last), 55
8/23/2011, 1.1630 1.36
SMA, QEURCHF=, Bid(Last), 200
100.0% 1.3236 8/23/2011, 1.2499 1.32

1.28

76.4% 1.2495 1.24

61.8% 1.2036 1.2

50.0% 1.1665 1.16

38.2% 1.1295
1.12

23.6% 1.0836 1.08

1.04

Source: Reuters,
Reuters, International Markets Analysis 0.0% 1.0095 1
.1234
MACD, QEURCHF=, Bid(Last), 12, 26, 9, Exponential
8/23/2011, -0.0058, -0.0148 Value
CHF

.1234
Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` EUR/CHF is recovering from all time low (1.0094 CHF on August 9). The medium term
downwards trend remains intact.
` Resistance levels are placed at 1.1552 CHF (17/8/11 high), at the area 1.1630-65 CHF (55 DMA
& 50% retracement 1.3236 1.0094 CHF) and at 1.2046 CHF (61.8% Fibonacci retracement
1.3236 1.0094 CHF).
10
` Support is found at the area of 1.1120 CHF (21 DMA) and at 1.0094 CHF (historic low).
 Crude Oil (WTI) 1stst Month Future
Oil (WTI)
Daily QCLc1 3/31/2008 - 10/25/2011 (NYC)
Price
Cndl, QCLc1, Last Trade Price
USD 100.0% 147.27 8/23/2011, 84.45, 86.06, 84.05, 85.44
Bbl USD
SMA, QCLc1, Last Trade(Last), 200
Bbl
120 8/23/2011, 95.17
SMA, QCLc1, Last Trade(Last), 21
115 8/23/2011, 88.36 130
SMA, QCLc1, Last Trade(Last), 55
110
8/23/2011, 93.28
76.4% 120.16 120
105
0.0% 114.84
100 110

95 61.8% 103.39 23.6% 102.9

100
90
38.2% 95.51
85 50.0% 89.84 50.0% 89.54 90
80 61.8% 83.57
80
75 38.2% 76.28 76.4% 76.19
70 70
65 100.0% 64.25
23.6% 59.51 60
60

55 50
50
40
45
.12 0.0% 32.4 .12
RSI, QCLc1, Last Trade(Last), 9, Wilder Smoothing
8/23/2011, 45.245 Value
USD
Bbl
.123
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 S O
Q2 08 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 [Delayed]

Source: Reuters,
Reuters, International Markets Analysis
` Crude oil (WTI) continues to oscillate between $76/brl and $89/brl levels in the short term.
` Resistance levels are placed at $89/brl (17/8/11 high) and at $95.15/brl (200 DMA).
11 ` Support levels at $79.17/brl (19/8/11 low) and at $75.71/brl (9/8/11 low).
 Spot Gold
Daily QXAU= 8/10/2009 - 10/3/2011 (GMT)

Price
161.8% 1,912.56 USD
Ozs
1,850
1,800

100.0% 1,746.58 1,750

Cndl, QXAU=, Bid 1,700
8/23/2011, 1,897.34, 1,911.46, 1,870.74, 1,884.89 76.4% 1,683.2
61.8% 1,643.99 1,650
SMA, QXAU=, Bid(Last), 21
8/23/2011, 1,727.97 50.0% 1,612.3 1,600
SMA, QXAU=, Bid(Last), 55
38.2% 1,580.6
23.6% 1,541.39 1,550
8/23/2011, 1,613.68
SMA, QXAU=, Bid(Last), 200 1,500
0.0% 1,478
8/23/2011, 1,476.46 1,450
1,400
1,350
1,300
1,250
1,200
1,150
1,100
Source: Reuters,
Reuters, International Markets Analysis .12
RSI, QXAU=, Bid(Last), 9, Wilder Smoothing
8/23/2011, 81.288 Value
USD
Ozs

.123
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
Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` Gold remains in strong uptrend in the short term. However, according to RSI (9 days), gold price
has reached overbought levels.
` Resistance levels are placed at the of $1,913.50/Oz (historic high) and at $2,000/Oz
(psychological level).
12 ` Support level appears at the area of $1,722.94-1,728/Oz (12/8/11 low & 21 DMA) and at
$1,613.50/Oz (55 DMA).
 S&P 500
Daily Q.SPX 3/19/2007 - 11/28/2011 (CHG)

100.0% 1,576.09 Price

USD

1,400
76.4% 1,361.5 0.0% 1,370.68

1,300
23.6% 1,285.77
61.8% 1,228.74 38.2% 1,233.25
50.0% 1,190.79 1,200
61.8% 1,148.34
50.0% 1,121.44
76.4% 1,095.81 1,100

38.2% 1,014.14 100.0% 1,010.9 BarOHLC, Q.SPX, Last Trade 1,000

8/22/2011, 1,123.55, 1,145.49, 1,121.09, 1,123.82
SMA, Q.SPX, Last Trade(Last), 200
900
23.6% 881.38 8/22/2011, 1,284.76
SMA, Q.SPX, Last Trade(Last), 55
8/22/2011, 1,269.83 800
SMA, Q.SPX, Last Trade(Last), 21
8/22/2011, 1,214.83
0.0% 666.79 .12
MACD, Q.SPX, Last Trade(Last), 12, 26, 9, Exponential
8/22/2011, -41.68, -36.34 Value
USD
-20
Source: Reuters, International Markets Analysis -40
.12
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 S O N D J F M A M J J A S O N
2007 2008 2009 2010 2011 [Delayed]

` The mid-term bullish trend for the S&P 500, which started in March 2009, is now under severe
testing for reversal. 200 days moving average has been crossed downwards by 55 days MA on
August 12.
` Significant support level at 1,095 area (76.4% Fibonacci retracement level of: 1,010.9-1,370.6 & the
-20% level from the last peak: 1370.6). Next support level in the short term at 1,049.7 (1/9/10 low)
and at 1,010.9 (1/7/10 low).
13
` Resistance levels for the 1 month horizon at 1,154.54 (19/8/11 high) and 1,189.62 (18/8/11 high).
 DAX
Daily Q.GDAXI 4/25/2007 - 11/11/2011 (FFT)
Price
EUR
7,600 0.0% 7,600.403

7,200

6,800
23.6% 6,653.681
6,400

6,000 38.2% 6,067.996

5,600 50.0% 5,594.635

5,200
61.8% 5,121.274
Cndl, Q.GDAXI, Last Trade
4,800 8/23/2011, 5,529.260, 5,636.060, 5,524.540, 5,572.780
SMA, Q.GDAXI, Last Trade(Last), 200
76.4% 4,535.59 8/23/2011, 7,034.133
4,400
SMA, Q.GDAXI, Last Trade(Last), 55
8/23/2011, 6,862.503
4,000 SMA, Q.GDAXI, Last Trade(Last), 21
8/23/2011, 6,254.181
3,600
100.0% 3,588.868
.123
RSI, Q.GDAXI, Last Trade(Last), 9, Wilder Smoothing
8/23/2011, 26.932 Value
EUR
40

.123
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 S O N D J F M A M J J A S O N
2007 2008 2009 2010 2011

Source: Reuters, International Markets Analysis

` DAX index has entered bear market on August 8 (losing 20% from the previous high of 2/5/11:
7,600.41) and is now at around -27% from the previous peak.
` Short term and mid-term indicators suggest downwards trend. Support level at 5,345.36 (19/8/11
low) and at 5,122 (Fibonacci retracement levels 61.8%: 3,589.0-7,600.4).
14
` Resistance levels for the 1 month horizon at 6,106.11 (15/8/11 high) and 6,252 (21 days MA).
 US 10YR Government Bond Yield
Daily QUS10YT=RR 4/3/2009 - 11/25/2011 (UTC)

Yield

3.8

100.0% 3.6233 3.6

3.4

76.4% 3.2347 3.2

61.8% 2.9942 3

50.0% 2.7999 2.8

BarOHLC, QUS10YT=RR, Yield_1 38.2% 2.6055 2.6

8/23/2011, 2.0988, 2.1670, 2.0953, 2.1355
SMA, QUS10YT=RR, Yield_1(Last), 55
2.4
8/23/2011, 2.7748 23.6% 2.3651
SMA, QUS10YT=RR, Yield_1(Last), 21
8/23/2011, 2.4282 2.2
SMA, QUS10YT=RR, Yield_1(Last), 200
8/23/2011, 3.1489 2
0.0% 1.9764
.1234
RSI, QUS10YT=RR, Yield_1(Last), 9, Wilder Smoothing
8/23/2011, 34.945 Value

60

40

20

.123
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
Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011

` Support levels for the US 10year government bond yield at 1.97% (18/8/11 historic low).
` RSI indicates that US 10year government bond yield is around oversold area.
` Resistance levels in the short term at 2.37% and 2.60% (retracement levels 23.6% and 38.2%
15 respectively: 3.62%-1.97%).
Source: Reuters,
Reuters, International Markets Analysis
 German 10YR
10YR Government
Government Bond
Bond Yield
Yield
Daily QDE10YT=RR 6/25/2009 - 10/3/2011 (UTC)

Yield

3.4

3.3

3.2

3.1

3
2.9

2.8

Cndl, QDE10YT=RR, Yield_1 2.7

8/23/2011, 2.109, 2.175, 2.105, 2.154
SMA, QDE10YT=RR, Yield_1(Last), 55 2.6
8/23/2011, 2.687
2.5
SMA, QDE10YT=RR, Yield_1(Last), 200
8/23/2011, 2.986 2.4
SMA, QDE10YT=RR, Yield_1(Last), 21
8/23/2011, 2.359 2.3

2.2

2.1

.123
RSI, QDE10YT=RR, Yield_1(Last), 9, Wilder Smoothing
8/23/2011, 28.961 Value
60
40
20
.123
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` The German 10 year government bond yield remains in strong downwards pressure. The 10 year
bond yield registered on August 18 historic low (2.03%). RSI (9 days) indicates that German
10year bond yield is around oversold area.
` Support is placed at the area of 2.00-2.05% (historic low).
16 ` Resistance levels are found at 2.36% (21 DMA), at 2.536% (8/8/11 high) at 2.69% (55 DMA).
Source: Reuters,
Reuters, International Markets Analysis
 US 5yr interest rate swap
Daily QUSDSB3L5Y=RR 6/30/2009 - 10/4/2011 (UTC)

Price

2.7

2.4

BarOHLC, QUSDSB3L5Y=RR, Bid 2.1

8/23/2011, 1.223, 1.275, 1.216, 1.257
SMA, QUSDSB3L5Y=RR, Bid(Last), 55 1.8
8/23/2011, 1.679
SMA, QUSDSB3L5Y=RR, Bid(Last), 21
8/23/2011, 1.396 1.5
SMA, QUSDSB3L5Y=RR, Bid(Last), 200
8/23/2011, 2.053
1.2
.123
RSI, QUSDSB3L5Y=RR, Bid(Last), 9, Wilder Smoothing
8/23/2011, 41.063 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
Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011
Source: Reuters,
Reuters, International Markets Analysis

` Downwards pressure on the US 5 year swap rate persists.

` Support level at 1.06% (18/8/11 low).
17 ` Resistance at 1.53% (9/8/11 high) and at 1.68% (55 DMA).
 Euro 5yr interest
interest rate
rate swap
swap
Daily QEURAB6E5Y= 7/21/2009 - 9/26/2011 (GMT)

Price
EUR
3.1
3
2.9

2.8

2.7

2.6

2.5

2.4

2.3
Cndl, QEURAB6E5Y=, Bid 2.2
8/23/2011, 2.0510, 2.1240, 2.0350, 2.0940
SMA, QEURAB6E5Y=, Bid(Last), 55 2.1
8/23/2011, 2.5349 2
SMA, QEURAB6E5Y=, Bid(Last), 200
8/23/2011, 2.7135 1.9
SMA, QEURAB6E5Y=, Bid(Last), 21
1.8
8/23/2011, 2.2755
1.7

.1234
RSI, QEURAB6E5Y=, Bid(Last), 9, Wilder Smoothing
8/23/2011, 38.255 Value
EUR
30
.123
Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011

` Euro 5yr interest rate swap remains in downtrend.

` Support at 1.95% (18/8/11 low) and at 1.86% (12/10/10 low).
` Resistance levels are placed at the area of 2.2750% (16/8/11 high & 21 DMA) and at 2.4930%
18 (5/8/11 high)).
Source: Reuters,
Reuters, International Markets Analysis
 Correlation Matrix
50 Days Correlation Matrix (Value)
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 0,2301 -0,0051 0,3134 -0,1027 0,2013 -0,2887 0,0222 -0,4865 -0,5019 -0,2808 0,1346 -0,3339 -0,3445 0,0828 -0,0104 0,2233
EUR/USD 0,0603 -0,1168 0,1184 0,2834 0,0859 0,1889 0,0242 0,2715 0,0232 -0,0665 0,0446 0,2032 -0,1238 -0,2789 -0,2728 -0,3143
USD/JPY 0,6361 0,0172 0,8073 0,6503 0,6422 0,0321 0,3448 -0,3637 -0,8936 -0,8584 0,5313 0,0202 -0,8381 -0,7169 -0,5321 -0,5254
GBP/USD -0,5289 -0,0204 -0,5755 0,2128 -0,4953 0,2221 -0,1971 0,5749 0,6869 0,1248 -0,3649 0,6890 0,5655 -0,4832 0,3073 -0,5982
USD/CHF 0,6991 0,0980 0,8222 0,6700 0,7072 0,0735 0,5598 -0,3091 -0,7803 -0,7556 0,6724 0,1473 -0,8404 -0,7976 -0,5646 -0,5698
EUR/CHF 0,6821 0,0394 0,8136 0,8110 0,6955 0,1596 0,5401 -0,1869 -0,7451 -0,7992 0,6532 0,2407 -0,8327 -0,9380 -0,5975 -0,7219
EUR/GBP 0,5748 -0,1049 0,6711 0,1170 0,5630 0,0032 0,2125 -0,2322 -0,6650 -0,1905 0,3973 -0,4057 -0,6657 0,1340 -0,5333 0,1992
EUR/JPY 0,6144 -0,0725 0,7973 0,7137 0,6305 0,1570 0,3288 -0,0963 -0,8216 -0,7266 0,5108 0,1560 -0,8281 -0,7614 -0,6031 -0,6344
Bund Fut. -0,8252 0,0209 -0,9545 -0,8145 -0,8391 -0,1581 -0,5904 0,1133 0,9474 0,7552 -0,7664 -0,2892 0,9714 0,9480 0,7346 0,7387

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 0,2207 0,1419 0,3306 0,0231 0,3223 -0,1063 0,3703 -0,1481 0,2767 0,0497 0,4154 -0,0445 0,2605 0,1274 0,4115 -0,0552
EUR/USD 0,1706 0,0028 0,0885 0,1438 0,1751 0,3334 0,1681 0,4079 0,2796 0,1221 0,0910 0,3089 0,2185 0,0592 0,0842 0,2713
USD/JPY 0,7545 0,7012 0,8067 0,6466 0,8603 0,7305 0,8860 0,7280 0,8481 0,7319 0,8906 0,7835 0,7531 0,6877 0,8382 0,6067
GBP/USD -0,5094 0,2370 -0,5920 0,0979 -0,5723 0,3935 -0,6119 0,4099 -0,5234 0,4598 -0,6569 0,2634 -0,4140 0,3824 -0,6447 0,1642
USD/CHF 0,7278 0,7733 0,7893 0,6711 0,8548 0,7974 0,8568 0,7501 0,8683 0,8492 0,8226 0,7754 0,7946 0,7802 0,7992 0,5239
EUR/CHF 0,7345 0,7806 0,7760 0,7452 0,8572 0,9638 0,8577 0,9521 0,8921 0,9153 0,8089 0,9308 0,8080 0,8157 0,7846 0,6595
EUR/GBP 0,6497 -0,2056 0,6620 0,0712 0,7157 0,0055 0,7489 0,0711 0,7550 -0,2805 0,7291 0,0982 0,5955 -0,2768 0,7116 0,1457
EUR/JPY 0,7699 0,5515 0,7851 0,6106 0,8695 0,8115 0,8905 0,8634 0,8998 0,6610 0,8640 0,8372 0,7868 0,5833 0,8121 0,6723
Bund Fut. -0,8863 -0,7442 -0,9476 -0,7213 -0,9821 -0,9713 -0,9986 -0,9955 -0,9320 -0,8942 -0,9872 -0,9451 -0,8632 -0,8177 -0,9054 -0,6429
Significant negative correlation Significant positive correlation

50 trading days rolling price correlation. Source: Bloomberg,

Bloomberg, International Markets Analysis

` EUR/USD correlation with risky assets and government bond yields has weakened.
` USD/JPY positive correlation with US yields has strengthened.
` EUR/CHF positive correlation with German government bond yields and stocks remains strong.
` USD/CHF still exhibits strong correlation with gold prices and government bond yields.
19
 Technical Analysis Synopsis
Percent Change to Date Range MA's crossover Overbought/Oversold MACD Signal 3 Months trend
Last_Price Monthly trend
Week Month Year Upper Lower signal Singal (Daily) (Daily)
DXY Dollar Index 73,72 -0,38 -0,23 -6,71 Range Trading 75,07 73,42 Down No Signal Down Signal Range Trading
EUR/USD 1,4466 0,48 0,47 8,08 Range Trading 1,4536 1,4113 Up No Signal Up Signal Range Trading
GBP/USD 1,6512 0,28 0,52 5,76 Uptrend Up No Signal Up Signal Range Trading
USD/JPY 76,58 0,04 -0,24 -5,93 Downtrend Down No Signal Up Signal Downtrend
FX

USD/CHF 0,7887 0,44 0,39 -18,59 Downtrend Down No Signal Up Signal Downtrend
EUR/GBP 0,87603 0,20 -0,04 2,13 Range Trading 0,8838 0,8660 Down No Signal Up Signal Range Trading
EUR/JPY 110,78 0,52 0,22 2,09 Range Trading 112,46 108,66 Down No Signal Up Signal Downtrend
EUR/CHF 1,14089 0,93 0,85 -9,63 Uptrend Down No Signal Up Signal Downtrend
S&P 500 INDEX 1123,82 0,03 -13,04 -10,64 Downtrend Down No Signal Down Signal Downtrend
Euro Stoxx 50 Pr 2202,9 2,02 -17,51 -21,13 Downtrend Down No Signal Down Signal Downtrend
Equities

DAX INDEX 5516,29 0,48 -23,08 -20,36 Downtrend Down Oversold Down Signal Range Trading
CAC 40 INDEX 3086,4 2,31 -15,92 -18,87 Downtrend Down No Signal Down Signal Downtrend
NIKKEI 225 8733,01 0,16 -11,19 -14,62 Downtrend Down No Signal Down Signal Downtrend
Cm dties

Crude Oil 1m Future 85,43 3,84 -10,74 -6,52 Downtrend Down No Signal Up Signal Range Trading
GOLD SPOT $/OZ 1877,55 1,36 15,32 32,13 Uptrend Up Overbought Up Signal Uptrend
Copper Furture 1M 395,6 -0,67 -11,58 -10,89 Downtrend Down No Signal Down Signal Range Trading
10Y GE Govt Yield 2,151 2,14 -15,29 -27,44 Downtrend Down No Signal Down Signal Downtrend
Fixed Incom e

2Y GE Govt Yield 0,671 3,39 -42,26 -22,34 Downtrend Down No Signal Up Signal Downtrend
10Y US Govt Yield 2,1582 4,65 -22,81 -34,47 Downtrend Down No Signal Down Signal Downtrend
2Y US Govt Yield 0,2171 14,69 -38,91 -63,41 Downtrend Down No Signal Up Signal Downtrend
EUR 5 Yr IRS 2,1085 3,38 -14,45 -15,36 Downtrend Down No Signal Down Signal Downtrend
US 5 Yr IRS 1,269 7,28 -21,92 -41,67 Downtrend Down No Signal Up Signal Downtrend

Source: Reuters,
Reuters, International Markets Analysis

20
 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