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Investment Research — General Market Conditions

Monday, 13 February 2012

Danske Daily
Key news
Last night the Greek parliament approved the austerity package, which has lifted sentiment in the Asian session. On Friday evening Standard & Poor’s added to the negative sentiment when it downgraded 34 Italian banks including Unicredit. Japan’s GDP declined 0.6% q/q in Q4, dragged down by falling exports.
Market movers today:

Today

Developments in Greece ECB announces bond purchases
Market overview
07:30 1 day +/-,%
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[Tex

Markets Overnight
Last night the Greek parliament approved the austerity package with 199 for and 74 against after a weekend of protests and riots in Athens, which escalated Sunday evening and spread to other places in Greece. 43 Members of the governing socialists and conservatives voted against and were immediately expelled by their parties. The risk of more social unrest in the coming days remains. The Greek government still has to detail the remaining EUR350m austerity measures before the Eurogroup meets to approve the second rescue package for Greece on Wednesday. Large protests against austerity measures also took place in Portugal on Saturday and in Spain the unions announced that protests against the labour market reform, which was approved on Friday, will take place on 19 February. Standard and Poor’s added to the negative sentiment when it downgraded 34 Italian banks including Unicredit, following the sovereign downgrade last month, emphasising Italian banks’ significantly diminished ability to roll over their wholesale debt. US consumer sentiment data (University of Michigan) for February released Friday disappointed with a fall from 74.4 to 73.6, fuelling the negative sentiment. This morning showed a disappointing 0.6% q/q decline in Japan’s GDP, which was dragged down by falling exports and production that was negatively affected by floods in Thailand. The US equity market closed Friday with S&P experiencing the biggest daily loss so far this year (-0.7%) and all 10 sectors down due to concerns about developments in Greece. Cyclical sectors faced the biggest losses. This morning the Nikkei index is up 0.65% on the Greek austerity approval despite the falling exports. The S&P future is up 0.5% US bond yields rose slightly in the short end, while 10-year yields first declined and then reversed in a nervous market late in Friday’s session. Since the European markets’ close on Friday the US curve has steepened slightly. The FX markets saw EUR/USD fall below 1.317 late Friday on concerns about Greece, but the cross has been lifted above 1.325 since. The yen has weakened slightly this morning on the disappointing GDP numbers. EUR/CHF trades around 1.21.

S&P500 (clo se) S&P500 fut (chng fro m clo se) Nikkei Hang Seng 17:00 US 2y gov US 10y gov iTraxx Europe (IG) iTraxx Xover (Non IG) 0.27 1.98 135 597

1342.6 1346.4 8996.7 20892.3 07:30 0.27 2.00 135 598

-0.69 0.43 0.55 0.52 +/-, bp

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0.4 1.9 0.2 1.0 +/-, % 0.45 0.04 0.00 0.26 0.08 -0.17 USD 0.66 0.31

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EUR/USD USD/JPY EUR/CHF EUR/GBP EUR/SEK EUR/NOK

1.319 77.590 1.21 0.837 8.806 7.60

1.325 77.620 1.21 0.839 8.813 7.59

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Oil Brent, USD Gold, USD

117.5 1722.6

118.3 1727.9

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Note: * The iTraxx Europe Index show the spread development for the most liquid investment grade CDS contracts in the euro credit market. **The iTraxx Europe Crossover show the spread development of the most liquid non-investment grade CDS contracts in the euro credit market.

Source: Bloomberg

Senior Economist Frank Øland Hansen +45 45128526 franh@danskebank.dk

Important disclosures and certifications are contained from page 4 of this report.

www.danskeresearch.com

which is expected to approve the second rescue package for Greece if the Greek government details where it will find the last EUR350m austerity measures.61 7.8 77. and at the same time the market has scaled back its aggregated USD holdings significantly by one-third.69 8.2% 0.06 1.5 10.3% EUR/USD (LHS) USD/JPY (RHS) 1.33 today. ECB’s weekly bond purchases in its Securities Market Programme will be announced in the afternoon.65 7. Greece has voted for a new round of austerity measures with a large majority and the negotiations with the Troika can hopefully progress. focus is likely to remain on developments in Greece ahead of the Eurogroup meeting on Wednesday.0 2. China’s vice president will start his official visit to the US today.83 8.06 1.5 5. On the auction front. Chinese producer and import prices for January to be released this morning might show a small increase.Danske Daily Global Daily Focus today: In the absence of major market movers. The position data show that there is less concern about the euro now and that the speculative flows are moving towards riskier currencies. the market might be slightly cautious ahead of Wednesday's Eurogroup meeting where the second bailout package for Greece is expected to be approved.5 w1 w9 w18 w28 w38 w48 w5 w14 w24 w34 w44 w1 10 11 12 Source: Reuters EcoWin US S&P500 future 1347 1337 1347 1337 1327 1317 Thu Fri Tue Wed Thu 1327 1317 Mon Source: Danske Markets US 10y gov yield 2. The 14th EUChina summit will be held later in the week.76 Mon Scandi Daily There are no major releases out of Scandinavia today.5 0. there will be a full calendar from the EUR issuers with as much as EUR30bn coming to the market from Italy.57 Mon Fri Tue Wed Thu Source: Danske Markets 2| Monday.0 7.79 8.0 12. this week could prove more positive for the markets.333 1.0 17. If we are right. Spain and the Netherlands.0 -2.87 8. this should support steeper curves and a less dovish pricing of the Fed rate path. .323 1.96 1.2%|-2.5 15. The weekly CFTC data released late Friday showed that bets against the euro have fallen by approximately 10% as of 7 February.danskeresearch.com . per week >> Securities Market programme 22.76 Thu 2.86 1. The latter is also supported by low FX volatility that in general is back at a level not seen since before the collapse of Lehman in 2008. Fri Tue Wed Thu Source: Danske Markets Global FX Key figures and events 9:15 15:30 CNY EUR CHF EUR Vice president Xi Jinping visits the US Reaction to Sundays Greek parlamentary vote Producer & Import prices ECB announces bond purchases (SMP) m/m|y/y Jan 0. ECB bond purchases 400 EUR bn 350 300 250 200 150 100 50 0 -50 -100 EUR bn << Asset purchases (covered+government bonds) ECB purchases.6 76 Mon Source: Bloomberg and Danske Markets 1. France.313 77.96 1.75 Thu 7.5 20.86 1. FX markets: The Greek Parliamentary approval of the austerity measures has already supported the euro and EUR/USD is expected to trade above 1.303 Thu Fri Tue Wed Thu Source: Danske Markets Scandi FX EUR/SEK (LHS) EUR/NOK (RHS) 7. 13 February 2012 www.3%|-2. However. In the US we expect to see robust data throughout the week. which should underpin a broadening of the US recovery.2 76. Fixed income markets: Following a nervous close on Friday.

59 Max Min ## ## 0.29 07:30 1day 1mo nth    Year-t-date G o ld.2% FX & COMMODITIES 133.27 421 . % 0.9% -0.30 -0.0 1.5 -1.03 P o lic y R a t e USD 0.2 0 0.03 -1 7 .0 132.51 1 .4 -0.03 DKKSEKNOKPLN -0.2 DEM10Y D-t-D +/-.70 -1.50 EUR GB P DKK SEK NOK P LN 3M 0.71 -0.0 Min 1.41 Year-t-date * The chart plot s 07:30 .Danske Daily Today’s market data: 13 February 2012 STOCKS S&P500 Intraday.90 Max Min 0.4 1.4 132.86 91 .1 % -1 % .2 ## M ax ## M in USD2Y -0.00 1.8% -0. Sub.1 Clo se DJSTOXX50 2468 438 1 065 41 7 Clo se     OM XC20 OM XS30 OSE B X +/-0.85 880.7% -0.31  +/0.6 E UR USD JP Y GB P NOK SEK DKK P LN US D JP Y 1 7:00 1 .0 0.67 2.2 0.30 Grey line indicates closing of Danish markets -1.89 5.70 3.09 0. Finan. bp -7 -7 1 87 2 USD2Y 0.2 0.6 USD10Y DEM5YR -10.94 1 .59 1 57.00 2.4 1.36 1 7:00 77.2 -6.44 6.10 -1.0 2.6 0. 11* 250 Credit spreads 1.0 -0.8 131. R aw Indus t ria ls 549.00 0.0 2.21 0.2% 6.56 743.0 1. bp 2 2 0 +/-.03 0.8 1.2 -8.60 743.4 1mo nth Year-to -date   5.9 0 2.97 0.30 0.74 07:30 1 32.2 -2.6 1.75 1 .6 1.98 07:30(-1 )* 2.25 1 .47  1 02. $ 1 8.97 0. % 0. $ 1 727.86 GB P CHF -0.98 1 7:00 1 .2 131.29 0.70 1 .1 0. No n-finan.8 0.36 4.1 ## M ax # # # ## M in # # # -4.23:00 Fri and 23:00 Sun t o 07:30 Mon * As of closing previous trading day 10Y Yield Spread to Germany 4.59 07:30    0.7 -1.69 4.6 -1.1 -3.9 0.58        +/-.28 Max 0.4 0.90 C R B .04 28.1 -1. B re nt .0 3.68 4.0 2.8% 1mo nth Year-to -date   3.0 132.8 1.560 -0.2 1.1 1 0 .62 1 57.56 07:30 2.0 0.0 0.1 -1.93 -2.4 0. bp (right axis) 07:30 (left axis) 1 month ago (left axis) D-t-D +/-.9% Max Min 0.2 1.4 2.3 Min 0.0 -1.50 Eurostoxx Intraday. Sr.83  83.01 1. iT ra xx s . 13 February 2012 www.0 0.1 5 0.06 1 .88 31 1 02.com .50 -0.88 S pre a d.84       O il.90 1 .43 1 .30 -0.75 4.30 15 16 17 18 19 20 21 DOW JONES NA SDA Q S&P 500 NIKKEI (07:30) 1 2801 2904 1 343 8997 09 10 11 12 13 14 15 16 17 18 Grey line indicates opening of US markets 1mo nth Year-to -date   4.8 0.10 -0.0% +/    -0.70 759.0 3.00 3.23:00 Fri and 23:00 Sun t o 07:30 Mon YIELDS & INTEREST RATES USD-Yields Intraday 2.10 -0.97 7.3 -0.0 USD JPYGBPFRF ITL -0.57 91 .danskeresearch.50 0.32 83.0 US Yield Curve 0.1 CRB 1M f ut ure 31 4 2.5 0.4 07 10 13 16 19 22 01 04 EUR/USD Intraday 133. bp 26 6 58 30 76 94 38 DEM 1 0Y DKK 1 0Y SEK 1 0Y NOK 1 0Y P LN 1 0Y USD 1 0Y USD 30Y JP Y 1 0Y 1 7:00 1 .05 -1.51 2.0 -2.33       881 .0 1.4 -0.1 3 0.24 420.24 1. bp (right axis) 07:30 (left axis) 1 month ago (left axis) C re dit s pre a d.3 0.98 3.01 1 .28 1 0.87 2.46 32.2 USD5Y -1.89 88.1 +/0.38 5.84 1 0.000 900 800 700 600 500 400 300 200 100 0 Feb Mar May Jun Aug Sep Nov Dec Feb iTraxx Europe (IG) (left axis) S wa p S pre a d.26 USD10Y Max 2.0 0.0% 4.10 -0.91  758.50 -0.0 DEM2Y German Yield Curve -0.89 1 9 64.21 -1 .90 0.94 07 10 13 16 19 22 01 04 USD2Y (lhs) USD10Y (rhs) * The chart plot s 07:30 .6 0.2 131. * Ask price 220 361 91    1 3 22 2    -53 -1 27 -1 9 0 iTraxx Xover (Non IG) (right axis) So urce: B lo o mberg 7:30(-1 o g 1 ) 7:00 refers to the previo us (trade) day 3| Monday.0 1. bp** 1 7:00 USD 1 0Y JP Y 1 0Y 07:30(-1 )* EUR 1 0Y DKK 1 0Y SEK 1 0Y NOK 1 0Y * As of closing previous trading day ** Ask price 07:30 9 2 1 7:00 42 50 60     +/0 07:30 Euro pe (IG) HiVo l Xo ver (N-IG) 1 35 206 598 1day    5 9 30 1mo nth    -37 -64 -1 30 200 150 100 50 8 +/3 0 4 40 50 56 Finan.7% -0.22 1mo nth -1 .3 -1.8 131.47 3.00 # N/A N/A 5.51 1day 0.6 132.08 1 .1 9 07:30 77.

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