Bloomberg World Exchange Market Capitalization

75,000,000

70,000,000

65,000,000

60,000,000

55,000,000

50-days MA
Euro swap (bps.)

50,000,000

Source: Bloomberg L.P., Saxo Bank Strategy & Research

US Breakeven 5 Year
2.20

2.00
1.80
1.60

1.40
1.20

US Breakeven 5 Year

1.00

Source: Bloomberg, Saxo Bank Strategy & Research

SAXO Euro Growth Input(Brent, Bunds & EUR

tradeweighted (Jan 12 = 100)
1.80
1.60
1.40
1.20
1.00

0.80
0.60

.EURMONE U Index

0.40

Source: Bloomberg, Saxo Bank Strategy & Research

Port of Long Island Inbound Containers

35,000,000

33,000,000
31,000,000
29,000,000

27,000,000
25,000,000

23,000,000
21,000,000
19,000,000

17,000,000
15,000,000

Source: Bloomberg, Saxo Bank Strategy & Research

S&P/LSTA Leveraged Loan 100 INDEX Price

100

98
96

94
92
90

88
86

84

Source: Bloomberg, Saxo Bank Strategy & Research

320

Thomson/Reuters Com.Index & USD 5YR Break-even

300

2.5

2.0

280

1.5
260

1.0
240
220

Commidty Index

0.5

US 5YR B/E

200

Source: Bloomberg, Saxo Bank Strategy & Research

0.0

Thomson/Reuters Commod.Index & USD infl swap 5y5y

320

3.4

300

3.2
3

280

2.8
260

2.6
240

2.4

Commidty Index

5Y5Y US

220

2.2
2

200

Source: Bloomberg, Saxo Bank Strategy & Research

US Non-farm & Employ/Population

62.00

600
500

61.00

400

300

60.00

200

59.00

100

58.00

-100
-200

-300

57.00

Non-farm

56.00

-400

Source: Bloomberg, Saxo Bank Strategy & Research

160

European stock markets (indexed)

150
140
130
120
110
100

90

Source: Bloomberg, Saxo Bank Strategy & Research

FTSEMIB
DAX
IBEX

Demand Deposits (EUR, indexed)

320
300

Greece

280

Italy

260

Germany

240

Portugal

220

Spain

200

180
160
140

120
100
80
01

02

03

04

05

06

07

08

09

10

11

12

13

14

Source: Bloomberg, Saxo Bank Strategy & Research

German and Hungarian Ind. Production

20

20

15

15

10

10

-5

-5
-10

-10

Source: Bloomberg, Saxo Bank Strategy & Research

Market iTraxx Europe Senior Financial Index

170
150
130
110
90

70
50

100-days MA

30

Source: Bloomberg, Saxo Bank Strategy & Research

EURUSD 3 Month 25 Delta Risk Reversal

0.0

-0.5

-1.0

-1.5

-2.0

-2.5

200-day MA
3 mo. 25 delta risk reversal

-3.0

Source: Bloomberg, Saxo Bank Strategy & Research

Russia 5 YR CDS and 10 YR Greece (NP in CDS)

40

650
RUSSIA CDS USD SR 5Y Corp
GGGB10YR Index

550

35
30

450

25
20

350

15

250

10
150

5
0

50

Source: Bloomberg, Saxo Bank Strategy & Research

US Dollar High Yield Energy (OAS spread)

1,200

1,100

50-day MA

1,000

Risk index

900
800
700
600

500
400
300
200

Source: Bloomberg, Saxo Bank Strategy & Research

CRUDE WTI Contango (2 Year )

20
15
10
5
0
-5
-10
-15
-20

.WTICON INDEX

-25
-30

Source: Bloomberg, Saxo Bank Strategy & Research

US High Yield (HYG) vs. S&P-500 INDEX

2200

98.00
96.00

2000

94.00

1800

92.00
90.00

1600

88.00

1400

86.00
84.00

iShares iBoxx $ High Yield

Corporate Bond ETF
S&P 500 Index

82.00

1000

80.00

Source: Bloomberg, Saxo Bank Strategy & Research

Central bank balance sheet as % of nominal GDP

80
70

Fed

60

ECB

50

1200

BoJ

BoE

40
30
20

10
0

Source: Bloomberg, Saxo Bank Strategy & Research

US & Germany Breakeven Rates

190.00

250

170.00

230

150.00
210

130.00
110.00

190

90.00

170

70.00
US 10 year (bps.)

150

50.00

Germany 10 year (bps.)

30.00

130

Source: Bloomberg, Saxo Bank Strategy & Research

JPMorgan Chase & Co

100

90
80
70
60

50

50-day MA
CDS USD SR 5 YR (bps.)

40

Source: Bloomberg, Saxo Bank Strategy & Research

Market iTraxx Europe (EUR CDS 5YR)

400
350
300
250
200
150
100
50
0

Source: Bloomberg, Saxo Bank Strategy & Research

MARKIT ITRX EUROPE 06/20 (bps.)

UniCredit SpA
Societe Generale SA
Banco Santander SA

Japan 10-Year Government Bond Yield

90
80

70
60
50
40
30

20

200-day MA

10

Yield (bps.)

Source: Bloomberg, Saxo Bank Strategy & Research

Japan 5-Year USD CDS

80

70

60

50

40

30

Source: Bloomberg, Saxo Bank Strategy & Research

Percentage of NYSE Stocks above 200 MA

90
85
80
75

70
65
60
55

50
45
40
35

30
25
20

Source: Bloomberg, Saxo Bank Strategy & Research

Japan -5Y5Y JPY Swap (Inflation gauge)

1.00

0.90
0.80
0.70

0.60
0.50
0.40

0.30
0.20
0.10

0.00

Source: Bloomberg, Saxo Bank Strategy & Research

105

AUDJPY - Ultimate Risk Indicator

100
95
90
85
80
75
AUDJPY Spot
70

Source: Bloomberg, Saxo Bank Strategy & Research

Gasoline Price (Consumer tax)

300
280

260
240
220
200
180

160
140

120
100

Source: Bloomberg, Saxo Bank Strategy & Research

Merrill Lynch Option Volatility Estimate (MOVE INDEX)

120.00
110.00

100.00
90.00
80.00

70.00
60.00
50.00

40.00

Source: Bloomberg, Saxo Bank Strategy & Research

US Real Rates(10 Y Generic- 5Y5Y fwd US)

-0.60

-0.70
-0.80
-0.90
-1.00
-1.10

-1.20

Source: Bloomberg, Saxo Bank Strategy & Research

CESI US vs. CESI Euro

60.00

80.00

40.00

60.00

40.00

20.00

20.00

0.00

0.00
-20.00

-20.00

-40.00

-40.00

-60.00

-60.00

-80.00

-80.00

Source: Bloomberg, Saxo Bank Strategy & Research

CESI US

CESI EURO

Euro PMI Manufacturing vs. BOI Eurocoin

1.50

120.00

1.00

100.00

0.50

80.00

0.00

60.00

-0.50

40.00

-1.00

20.00

-1.50

0.00

Source: Bloomberg, Saxo Bank Strategy & Research

Eurocoin Growth Indicator

EC Econimic

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