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Important disclosures and certifications are contained from page 21 of this report. www.danskeresearch.com
Investment Research
Expected change in EUR/XXX from lower peripheral yields vs actual spot change in April
Expected change in EUR/XXX is calculated using current correlations and assuming all else being equal. If currencies are below
the 45 degree line it indicates that EUR/XXX has increased less than expected given an isolated yield spread tightening of
80bps on Italian and Spanish government bonds relative to Germany.
Source: Bloomberg, Danske Bank Markets calculations
What stands out
10Y Italian and Spanish sovereign bond spreads to Germany narrowed by about 80bp
in April and are now at their lowest levels since 2011. However, as illustrated in the
chart above, which shows the expected increase in spot given an 80bp yield spread
tightening in Italy and Spain government bonds relative to Germany versus the actual
change in spot levels during April, most EUR crosses have actually increased less
than expected given the decline in peripheral yields. Thus, according to our models,
the lower peripheral yields point towards further EUR strength.
Looking at the signals from our short-term financial models, we currently observe the
biggest misalignments in AUD/CAD, which trades 2.2 standard deviations below our
models’ estimate. While AUD has suffered, NZD has performed relatively well over
the past month and NZD has reached overbought territory with NZD/USD, trading 1.4
standard deviations above and AUD/NZD 1.6 standard deviations below the models’
estimate. After a more than 2% decline over the past week, USD/CAD also looks
increasingly oversold, according to our models.
However, while our short-term models currently indicate that CAD and NZD are
rallying and the AUD sell-off looks increasingly stretched, we note that pricing does
not look particularly stretched from a technical point of view. According to the ‘Spot
overview’ on page 2, the AUD/NZD RSI level has dropped below 30, which is
normally an indication that the risk of a near-term correction has increased. However,
given that the cross is still in a down trend according to ‘DMI analysis’, we prefer to
look for better entry levels before considering adding long AUD/NZD spot positions.
Implied FX volatility has, in general, traded lower over the past couple of weeks and
when evaluated by the historical differences between implied and realised volatility,
we find that the 3M tenor currently looks cheap. When adjusted for volatility, risk
reversals in all examined crosses trade within 2 standard deviations of their historical
averages. The most extreme skews are generally seen in JPY and TRY crosses, with
TRY/JPY as the most expensive.
Actu
al ch
ange
in spo
t lev
el in
Apr
il 201
3
Expected change based on 80bp spread tightening
USD
GBPCHF
JPY
SEK
NOK CAD
NZD
AUD
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00%
Today’s key points
[Text]
01 May 2013
Contents
Spot overview ...............................................................2
Forecasts and market pricing ..................3
Short-term financial models ......................5
Correlation monitor ..............................................9
Carry monitor .......................................................... 11
Volatility summary ............................................ 12
Range-trading monitor ................................. 15
Option market positioning ........................ 16
Central bank overview .................................. 18
FX trade overview ............................................... 19
FX Market Update provides a
quantitative overview of the currency
market.
FX Market Update
Lower peripheral yields point to further EUR strength
Senior Analyst Morten Helt +45 45 12 85 18 mohel@danskebank.com www.danskeresearch.com Bloomberg: DRFX <GO>
45 degree line
EUR crosses below the 45 degree line have increased less than expected given the decline in peripheral yields.
2 | 01 May 2013 www.danskeresearch.com
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Spot overview
Spot overview
Top 10 overbought range-trading currency pairs Top 10 oversold range-trading currency pairs
Note: Trend direction and strength computed using ‘DMI’ analysis (range-trade defined as ADX line <25), trend support/resistance computed using ‘Trender’ algorithm,
Bollinger bands computed on 30-period window, RSI computed on 14-period window (oversold defined as <30, overbought defined as >70)
Source: Bloomberg
Spot 1M change Bollinger-bands 20-day MA 50-day MA 1M Low-High RSI
Direction Strength Sup./Res. -/+ 2 std dev
EUR/USD 1.3170 2.6% 1.2943 1.3059 1.3012 1.2746 / 1.3202 61.6
EUR/JPY 128.35 7.1% 118.30 / 133.69 128.54 124.80 119.11 / 131.12 56.5
EUR/GBP 0.8478 0.5% 0.8410 / 0.8587 0.8511 0.8560 0.8398 / 0.8637 45.6
EUR/CHF 1.2257 0.8% 1.2102 / 1.2299 1.2210 1.2232 1.213 / 1.2349 55.7
EUR/SEK 8.53 2.0% 8.4761 8.4715 8.4104 8.2972 / 8.6486 57
EUR/NOK 7.60 1.6% 7.6706 7.5628 7.5145 7.4278 / 7.702 55.6
EUR/AUD 1.2714 3.3% 1.2549 1.2599 1.2574 1.2219 / 1.2776 60.1
EUR/CAD 1.3260 1.5% 1.2961 / 1.3503 1.3303 1.3292 1.2954 / 1.3524 48
EUR/NZD 1.5369 0.3% 1.5178 / 1.5569 1.5383 1.5532 1.5081 / 1.5612 47.7
EUR/PLN 4.16 -0.3% 4.0829 / 4.2118 4.1305 4.1485 4.093 / 4.199 57.3
EUR/RUB 40.98 2.6% 39.49 / 41.67 40.89 40.35 39.94 / 41.56 55.4
EUR/TRY 2.36 1.9% 2.3278 2.3438 2.3444 2.2932 / 2.367 60.9
EUR/CZK 25.74 -0.1% 25.67 / 25.95 25.8189 25.7176 25.64 / 25.99 46.9
USD/JPY 97.46 4.4% 92.48 / 101.45 98.43 95.90 92.57 / 99.95 50.2
GBP/USD 1.5535 2.0% 1.505 / 1.552 1.5344 1.5202 1.5034 / 1.5569 66.1
USD/CHF 0.9306 -1.7% 0.923 / 0.956 0.9350 0.9401 0.9207 / 0.9527 43
USD/SEK 6.48 -0.5% 6.340 / 6.645 6.4871 6.4637 6.327 / 6.658 47.6
USD/NOK 5.77 -1.0% 5.691 / 5.918 5.7914 5.7753 5.692 / 5.937 44.9
AUD/USD 1.0358 -0.7% 1.022 / 1.056 1.0366 1.0349 1.0221 / 1.0582 50.6
USD/CAD 1.0064 -1.0% 1.007 / 1.030 1.0186 1.0215 1.0054 / 1.0294 33.5
NZD/USD 0.8572 2.2% 0.829 / 0.861 0.8490 0.8379 0.8361 / 0.8676 61.3
USD/RUB 31.11 0.1% 30.65 / 31.82 31.32 31.02 30.77 / 31.88 47.8
NOK/SEK 1.1233 0.5% 1.1085 / 1.1287 1.1202 1.1192 1.108 / 1.1307 53.8
AUD/NZD 1.2084 -2.8% 1.2203 1.2210 1.2353 1.2053 / 1.2471 28 (Oversold)
Trend
Currency pair RSI
1 GBP/USD 64.9
2 NZD/USD 61.5
3 GBP/JPY 59.0
4 CAD/JPY 57.6
5 EUR/PLN 57.1
6 GBP/CHF 57.0
7 EUR/NOK 56.5
8 NZD/JPY 56.2
9 EUR/JPY 55.7
10 EUR/CHF 55.6
Currency pair RSI
1 AUD/CAD 33.1
2 USD/CAD 33.8
3 AUD/CHF 43.6
4 USD/CHF 43.7
5 EUR/GBP 45.1
6 AUD/NOK 45.9
7 USD/NOK 46.3
8 EUR/NZD 46.3
9 USD/TRY 46.5
10 USD/PLN 46.7
3 | 01 May 2013 www.danskeresearch.com
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Forecasts and market pricing
Danske Bank Markets FX forecasts
Danske Bank forecasts vs forwards and consensus EUR/USD
USD/JPY EUR/GBP
EUR/CHF EUR/SEK
Note: The cone charts show confidence regions derived from option market prices. Source: Bloomberg and Danske Bank Markets calculations
Spot +1m +3m +6m +12m +1m +3m +6m +12m
Exchange rates vs EUR
USD 1.307 1.31 1.33 1.29 1.27 0.2 1.7 -1.4 -3.1JPY 127.4 130 136 136 140 1.4 6.2 6.2 9.4GBP 0.844 0.86 0.88 0.90 0.88 0.8 3.1 5.4 2.8CHF 1.224 1.23 1.23 1.24 1.24 1.2 1.3 2.2 2.3
DKK 7.46 7.46 7.46 7.46 7.46 0.1 0.1 0.2 0.2NOK 7.61 7.50 7.40 7.35 7.30 -0.2 -1.8 -2.8 -4.2SEK 8.54 8.30 8.20 8.10 8.10 -0.7 -2.0 -3.5 -4.0
Exchange rates vs USD
CAD 1.01 1.01 1.00 1.01 1.02 -1.2 -2.3 -1.5 -0.9AUD 1.03 1.05 1.07 1.04 1.00 1.0 3.4 1.1 -1.5NZD 0.86 0.85 0.86 0.82 0.80 0.4 1.9 -2.1 -3.2
Forecast Forecast vs forward outright, %
EURUSDUSDJPY
EURGBP
EURCHF
EURSEK
EURNOK
AUDUSDNZDUSD
USDCAD
EURJPY
GBPUSDEURPLN
USDTRY
-4%
-2%
0%
2%
4%
6%
-6% -4% -2% 0% 2% 4% 6% 8%
Da
nsk
e 3
M fo
reca
st v
s. c
on
sen
sus
Danske 3M forecast vs. forward
EUR/USD 1M 3M 6M 12M
Forecast (pct'ile) 1.31 (50%) 1.33 (63%) 1.29 (36%) 1.27 (32%)
Fwd. / Consensus 1.31 / 1.30 1.31 / 1.30 1.31 / 1.28 1.31 / 1.26
50% confidence int. 1.29 / 1.33 1.28 / 1.35 1.26 / 1.36 1.24 / 1.39
75% confidence int. 1.27 / 1.34 1.24 / 1.37 1.22 / 1.39 1.17 / 1.44
1.10
1.20
1.30
1.40
1.50
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/USD
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
USD/JPY 1M 3M 6M 12M
Forecast (pct'ile) 99.00 (70%) 102.00 (81%) 105.00 (85%) 110.00 (89%)
Fwd. / Consensus 97.45 / 97.96 97.45 / 99.64 97.45 / 102.00 97.45 / 104.55
50% confidence int. 95.20 / 99.50 93.87 / 100.68 92.44 / 101.78 90.65 / 102.97
75% confidence int. 93.60 / 101.23 91.18 / 103.56 88.80 / 105.89 85.62 / 108.69
75.0
80.0
85.0
90.0
95.0
100.0
105.0
110.0
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
USD/JPY
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
EUR/GBP 1M 3M 6M 12M
Forecast (pct'ile) 0.86 (82%) 0.88 (88%) 0.90 (90%) 0.88 (73%)
Fwd. / Consensus 0.84 / 0.85 0.85 / 0.86 0.85 / 0.86 0.85 / 0.85
50% confidence int. 0.83 / 0.86 0.83 / 0.86 0.82 / 0.87 0.81 / 0.88
75% confidence int. 0.82 / 0.86 0.81 / 0.88 0.80 / 0.89 0.78 / 0.91
0.75
0.80
0.85
0.90
0.95
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/GBP
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
EUR/CHF 1M 3M 6M 12M
Forecast (pct'ile) 1.23 (74%) 1.23 (69%) 1.24 (72%) 1.24 (67%)
Fwd. / Consensus 1.22 / 1.22 1.22 / 1.23 1.22 / 1.24 1.22 / 1.25
50% confidence int. 1.21 / 1.23 1.20 / 1.23 1.20 / 1.24 1.19 / 1.25
75% confidence int. 1.21 / 1.24 1.20 / 1.25 1.18 / 1.27 1.16 / 1.28
1.15
1.20
1.25
1.30
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/CHF
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
EUR/SEK 1M 3M 6M 12M
Forecast (pct'ile) 8.30 (8%) 8.20 (10%) 8.10 (11%) 8.10 (17%)
Fwd. / Consensus 8.55 / 8.47 8.56 / 8.38 8.58 / 8.35 8.63 / 8.29
50% confidence int. 8.43 / 8.65 8.37 / 8.73 8.32 / 8.81 8.25 / 8.92
75% confidence int. 8.35 / 8.74 8.24 / 8.88 8.13 / 9.02 7.97 / 9.22
7.75
8.00
8.25
8.50
8.75
9.00
9.25
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/SEK
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
4 | 01 May 2013 www.danskeresearch.com
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EUR/NOK AUD/USD
NZD/USD USD/CAD
EUR/JPY GBP/USD
EUR/PLN USD/TRY
Note: The cone charts show confidence regions derived from option market prices. Source: Bloomberg, Danske Bank Markets calculations
EUR/NOK 1M 3M 6M 12M
Forecast (pct'ile) 7.50 (21%) 7.40 (16%) 7.35 (17%) 7.30 (19%)
Fwd. / Consensus 7.62 / 7.55 7.64 / 7.45 7.67 / 7.39 7.73 / 7.34
50% confidence int. 7.52 / 7.71 7.47 / 7.79 7.43 / 7.87 7.39 / 7.99
75% confidence int. 7.44 / 7.79 7.35 / 7.92 7.27 / 8.05 7.15 / 8.25
7.00
7.25
7.50
7.75
8.00
8.25
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/NOK
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
AUD/USD 1M 3M 6M 12M
Forecast (pct'ile) 1.05 (81%) 1.07 (89%) 1.04 (60%) 1.00 (38%)
Fwd. / Consensus 1.03 / 1.04 1.03 / 1.04 1.02 / 1.04 1.01 / 1.02
50% confidence int. 1.02 / 1.05 1.01 / 1.05 0.99 / 1.06 0.97 / 1.06
75% confidence int. 1.01 / 1.05 0.98 / 1.07 0.96 / 1.08 0.91 / 1.09
0.90
0.95
1.00
1.05
1.10
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
AUD/USD
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
NZD/USD 1M 3M 6M 12M
Forecast (pct'ile) 0.85 (39%) 0.86 (56%) 0.82 (28%) 0.80 (28%)
Fwd. / Consensus 0.85 / 0.85 0.85 / 0.84 0.85 / 0.84 0.83 / 0.82
50% confidence int. 0.84 / 0.87 0.83 / 0.88 0.81 / 0.88 0.79 / 0.89
75% confidence int. 0.83 / 0.88 0.81 / 0.89 0.78 / 0.91 0.73 / 0.92
0.70
0.75
0.80
0.85
0.90
0.95
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
NZD/USD
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
USD/CAD 1M 3M 6M 12M
Forecast (pct'ile) 1.01 (49%) 1.00 (34%) 1.01 (51%) 1.02 (58%)
Fwd. / Consensus 1.01 / 1.02 1.01 / 1.02 1.02 / 1.01 1.02 / 1.00
50% confidence int. 1.00 / 1.02 0.99 / 1.03 0.99 / 1.04 0.97 / 1.05
75% confidence int. 0.99 / 1.03 0.98 / 1.05 0.97 / 1.06 0.94 / 1.09
0.90
0.95
1.00
1.05
1.10
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
USD/CAD
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
EUR/JPY 1M 3M 6M 12M
Forecast (pct'ile) 130.00 (68%) 136.00 (84%) 136.00 (77%) 140.00 (79%)
Fwd. / Consensus 127.4 / 127.7 127.4 / 129.0 127.4 / 131.2 127.4 / 131.1
50% confidence int. 123.9 / 131.0 121.8 / 133.0 120.0 / 134.9 117.4 / 137.7
75% confidence int. 120.9 / 133.6 117.2 / 137.2 113.1 / 140.8 107.8 / 145.4
9095
100105110115120125130135140145150
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/JPY
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
GBP/USD 1M 3M 6M 12M
Forecast (pct'ile) 1.52 (17%) 1.51 (21%) 1.43 (8%) 1.44 (17%)
Fwd. / Consensus 1.55 / 1.52 1.55 / 1.50 1.55 / 1.50 1.55 / 1.49
50% confidence int. 1.53 / 1.57 1.52 / 1.58 1.50 / 1.60 1.48 / 1.62
75% confidence int. 1.51 / 1.58 1.49 / 1.60 1.45 / 1.63 1.41 / 1.67
1.40
1.45
1.50
1.55
1.60
1.65
1.70
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
GBP/USD
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
EUR/PLN 1M 3M 6M 12M
Forecast (pct'ile) 4.13 (39%) 4.20 (64%) 4.20 (59%) 4.25 (62%)
Fwd. / Consensus 4.16 / 4.15 4.18 / 4.15 4.20 / 4.11 4.24 / 4.03
50% confidence int. 4.10 / 4.20 4.08 / 4.24 4.06 / 4.28 4.02 / 4.35
75% confidence int. 4.06 / 4.25 4.02 / 4.33 3.97 / 4.41 3.89 / 4.53
3.80
4.00
4.20
4.40
4.60
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
EUR/PLN
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
USD/TRY 1M 3M 6M 12M
Forecast (pct'ile) 1.79 (38%) 1.80 (48%) 1.80 (38%) 1.85 (56%)
Fwd. / Consensus 1.81 / 1.80 1.82 / 1.80 1.83 / 1.80 1.87 / 1.79
50% confidence int. 1.78 / 1.82 1.78 / 1.84 1.78 / 1.86 1.77 / 1.91
75% confidence int. 1.77 / 1.84 1.76 / 1.87 1.74 / 1.91 1.69 / 1.99
1.65
1.70
1.75
1.80
1.85
1.90
1.95
2.00
May-12 Aug-12 Nov-12 Feb-13 Jun-13 Sep-13 Dec-13 Apr-14
USD/TRY
75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst
5 | 01 May 2013 www.danskeresearch.com
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Short-term financial models
Spot deviations from model estimate
Spot deviations from model estimate
Note: Linear regression models using a 200-day rolling estimation window. 2Y swap spread is included only when spot beta is positive. Short-term financial models are
partial models, implying that there is no built-in consistency between, e.g., EUR/NOK, EUR/SEK and NOK/SEK models
Source: Bloomberg, Danske Bank Markets calculations
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
De
via
tio
n (s
tdev
)
Today
1W ago
2W ago
Spot above model
Spot below model
Spot Model Signal Deviation (%) Deviation (stdev)
EUR/USD 1.317 1.325 -0.6% -0.6
EUR/JPY 128.35 130.16 Oversold -1.4% -1.1
USD/JPY 97.46 95.68 1.9% 0.2
EUR/GBP 0.848 0.856 -1.0% -0.6
EUR/CHF 1.226 1.229 -0.3% -0.4
EUR/SEK 8.533 8.503 0.4% 1.0
EUR/NOK 7.596 7.578 0.2% 0.7
AUD/USD 1.036 1.036 0.0% -0.3
USD/CAD 1.006 1.018 Oversold -1.2% -1.7
NZD/USD 0.857 0.837 Overbought 2.4% 1.4
NOK/SEK 1.123 1.119 0.4% 0.8
EUR/PLN 4.165 4.163 0.0% 0.1
EUR/CZK 25.74 25.41 Overbought 1.3% 1.0
AUD/NZD 1.208 1.230 Oversold -1.7% -1.6
USD/SEK 6.480 6.446 0.5% 0.7
USD/NOK 5.768 5.746 0.4% 0.6
GBP/USD 1.554 1.553 0.0% 0.0
AUD/CAD 1.042 1.056 Very oversold -1.3% -2.2
6 | 01 May 2013 www.danskeresearch.com
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EUR/USD (Model estimate:1.325) EUR/USD model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
1.175
1.200
1.225
1.250
1.275
1.300
1.325
1.350
1.375
1.400
1.175
1.200
1.225
1.250
1.275
1.300
1.325
1.350
1.375
1.400
EUR/USD EUR/USD
USD/JPY (Model estimate: 95.68) USD/JPY model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
75
80
85
90
95
100
105
75
80
85
90
95
100
105USD/JPY USD/JPY
EUR/GBP (Model estimate:0.856) EUR/GBP model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
0.760.770.780.790.800.810.820.830.840.850.860.870.880.89
0.760.770.780.790.800.810.820.830.840.850.860.870.880.89
EUR/GBP EUR/GBP
EUR/CHF (Model estimate:1.229) EUR/CHF model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
1.100
1.125
1.150
1.175
1.200
1.225
1.250
1.275
1.300
1.100
1.125
1.150
1.175
1.200
1.225
1.250
1.275
1.300EUR/CHF EUR/CHF
Note: Linear regression models using a 200-day rolling estimation window. 2Y swap spread is included only when spot beta is positive. Short-term financial models are
partial models, implying that there is no built-in consistency between, e.g., EUR/NOK, EUR/SEK and NOK/SEK models
Source: Bloomberg, Danske Bank Markets calculations
-1.0%
0.0%
1.0%
2.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil European sovereign spread
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil European sovereign spread
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
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EUR/SEK (Model estimate:8.503) EUR/SEK model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
8.08.18.28.38.48.58.68.78.88.99.09.19.2
8.08.18.28.38.48.58.68.78.88.99.09.19.2
EUR/SEK EUR/SEK
EUR/NOK (Model estimate:7.578) EUR/NOK model contributions
+/- 2 stdev Model estimate Spot
Mar12
Apr May Jun Jul Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
7.1
7.2
7.3
7.4
7.5
7.6
7.7
7.8
7.1
7.2
7.3
7.4
7.5
7.6
7.7
7.8EUR/NOKEUR/NOK
EUR/JPY (Model estimate:130.16) EUR/JPY model contributions
+/- 2 stdev Model estimate Spot
Mar12
Apr May Jun Jul Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
90
95
100
105
110
115
120
125
130
135
140
90
95
100
105
110
115
120
125
130
135
140EUR/JPYEUR/JPY
GBP/USD (Model estimate:1.553) GBP/USD model contributions
+/- 2 stdev Model estimate GBP/USD
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
1.425
1.450
1.475
1.500
1.525
1.550
1.575
1.600
1.625
1.650
1.675
1.425
1.450
1.475
1.500
1.525
1.550
1.575
1.600
1.625
1.650
1.675GBP/USD GBP/USD
Note: Linear regression models using a 200-day rolling estimation window. 2Y swap spread is included only when spot beta is positive. Short-term financial models are
partial models, implying that there is no built-in consistency between, e.g., EUR/NOK, EUR/SEK and NOK/SEK models
Source: Bloomberg, Danske Bank Markets calculations
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil European sovereign spread
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
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USD/CAD (Model estimate:1.018) USD/CAD model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
0.95
0.96
0.97
0.98
0.99
1.00
1.01
1.02
1.03
1.04
1.05
0.95
0.96
0.97
0.98
0.99
1.00
1.01
1.02
1.03
1.04
1.05USD/CAD USD/CAD
AUD/USD (Model estimate:1.036) AUD/USD model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
0.950
0.975
1.000
1.025
1.050
1.075
1.100
0.950
0.975
1.000
1.025
1.050
1.075
1.100AUD/USD AUD/USD
NZD/USD (Model estimate:0.837) NZD/USD model contributions
+/- 2 stdev Model estimate Spot
Jul12
Aug Sep Oct Nov Dec Jan13
Feb Mar Apr
0.770.780.790.800.810.820.830.840.850.860.870.880.89
0.770.780.790.800.810.820.830.840.850.860.870.880.89
NZD/USD NZD/USD
EUR/PLN (Model estimate:4.163) EUR/PLN model contributions
+/- 2 stdev Model estimate Spot
Feb11
Apr Jun Aug Oct Dec12
Feb Apr Jun Aug Oct Dec13
Feb Apr
3.7
3.8
3.9
4.0
4.1
4.2
4.3
4.4
4.5
4.6
4.7
3.7
3.8
3.9
4.0
4.1
4.2
4.3
4.4
4.5
4.6
4.7EUR/PLN EUR/PLN
Note: Linear regression models using a 200-day rolling estimation window. 2Y swap spread is included only when spot beta is positive. Short term financial models are
partial models, implying that there is no built-in consistency between, e.g. EUR/NOK, EUR/SEK and NOK/SEK models
Source: Bloomberg, Danske Bank Markets calculations
-2.0%
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil
-1.0%
0.0%
1.0%
2.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix Oil
-2.0%
-1.0%
0.0%
1.0%
W-15 W-16 W-17 W-18
2Y swap spread 10Y swap spread Vix European sovereign spread
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Correlation monitor
Correlation monitor – current levels (52-week window) and 10-week changes (arrows)
Highest correlation with MSCI wld. Highest correlation with 2Y swap spr. Highest correlation with crude oil
EUR/USD correlations USD/JPY correlations EUR/GBP correlations
Notes: Correlations and betas are calculated using a rolling window of 52 weeks. Arrows denote the change in correlation over the past 10 weeks. Significant betas (at
95% confidence level) are denoted by an asterisk
Source: Bloomberg, Danske Bank Markets calculations
Correlation monitor - current levels (52-week window) and 10-week changes (arrows)
USD
JPY 79% ↓
GBP 67% ↓ 64% ↑
CHF 27% ↓ 25% ↓ 40% ↓
AUD 60% ↓ 54% ↑ 59% ↓ 22% ↑
NZD 44% ↓ 33% ↓ 48% ↑ 15% ↑ 83% ↓
CAD 76% ↓ 59% ↑ 77% ↑ 27% ↓ 73% ↓ 66% ↓
SEK 32% ↑ 17% ↑ 20% ↓ 20% ↓ 51% ↑ 45% ↑ 42% ↑
NOK 38% ↓ 20% ↓ 40% ↓ 26% ↓ 36% ↓ 31% ↓ 47% ↓ 70% ↑
PLN -45% ↓ -43% ↓ -19% ↓ 3% ↑ -2% ↓ 4% ↓ -16% ↓ 10% ↑ 3% ↓
CZK -36% ↓ -27% ↓ -4% ↓ -15% ↓ -17% ↓ -25% ↓ -14% ↓ -16% ↑ -8% ↑ 47% ↓
HUF -25% ↓ -36% ↓ -10% ↓ 6% ↑ 11% ↓ 24% ↓ 5% ↓ 19% ↑ 15% ↑ 57% ↑ 25% ↓
RUB 22% ↓ 22% ↑ 40% ↓ -4% ↓ 54% ↓ 42% ↑ 47% ↓ 37% ↑ 30% ↓ 32% ↓ 31% ↓ 26% ↓
TRY 74% ↑ 53% ↓ 55% ↓ 14% ↓ 68% ↓ 65% ↓ 74% ↓ 57% ↑ 51% ↓ -8% ↓ -34% ↓ 17% ↓ 42% ↓
ZAR 45% ↓ 38% ↑ 49% ↓ 24% ↓ 68% ↓ 61% ↑ 54% ↓ 54% ↑ 41% ↓ 2% ↓ 0% ↓ 15% ↓ 44% ↓ 59% ↓
BRL 57% ↓ 29% ↓ 46% ↓ 12% ↓ 55% ↓ 50% ↓ 61% ↓ 56% ↑ 52% ↑ -8% ↑ 3% ↑ 5% ↑ 43% ↓ 57% ↓ 71% ↑
Notes: Correlations based on weekly changes using 52-week rolling window using EUR as numeraire. Arrows denote 10-week change in correlation. Source: Bloomberg.
CZKPLNNOK ZARTRYRUBHUFUSD JPY SEKCADNZDAUDCHFGBP
# FX Corr. (10w chg.) Beta1 USDRUB -73% -0.65*2 JPYRUB -73% -0.84*3 USDCAD -69% -0.3*4 USDSEK -64% -0.47*5 JPYPLN -61% -0.83*6 JPYCZK -60% -0.73*7 USDPLN -60% -0.6*8 NZDUSD 59% 0.42*9 CHFPLN -59% -0.35*
10 AUDJPY 59% 0.52*
# FX Corr. (10w chg.) Beta1 EURCZK 37% 0.13*2 CHFSEK 35% 0.17*3 EURSEK 35% 0.07*4 EURNOK 33% 0.05*5 GBPZAR -32% -0.16*6 NZDUSD 29% 0.1*7 SEKCZK 28% 0.17*8 USDCAD 28% 0.08*9 SEKZAR -28% -0.15*
10 NZDNOK 27% 0.12*
# FX Corr. (10w chg.) Beta1 USDRUB -63% -0.33*2 EURRUB -61% -0.26*3 CHFRUB -60% -0.28*4 GBPRUB -55% -0.23*5 NOKRUB -53% -0.23*6 AUDRUB -51% -0.2*7 USDCAD -51% -0.13*8 NZDRUB -50% -0.23*9 CADRUB -50% -0.21*
10 EURCZK -49% -0.14*
# Asset Corr. (10w chg.) Beta1 EURGBP 67% 0.76*2 Aluminium 54% 0.24*3 Copper 53% 0.27*4 Zinc 51% 0.21*5 Global equit. 49% 0.32*6 NZDUSD 48% 0.44*7 Itraxx -48% -0.09*8 EURPLN -45% -0.53*9 USDTRY -43% -0.61*
10 USDCAD -43% -0.64*
# Asset Corr. (10w chg.) Beta1 US10YGOV 55% 0.06*2 US10YSWP 55% 0.07*3 Jap. equit. 52% 0.25*4 2Y10Y spr. 46% 0.08*5 10Y swp. spr. 46% 0.08*6 Gold -44% -0.24*7 G10 Carry 44% 0.61*8 VIX -41% 0*9 Itraxx -37% -0.07*
10 Rel. equit. -37% -0.21*
# Asset Corr. (10w chg.) Beta1 EURUSD 67% 0.59*2 USDJPY 34% 0.3*3 Aluminium 30% 0.12*4 Itraxx -30% -0.05*5 US10YGOV 28% 0.03*6 US10YSWP 25% 0.037 US2YGOV 24% 0.128 IT10YGOV -23% -0.019 2Y10Y spr. 22% 0.1
10 USDTRY -21% -0.26
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EUR/CHF correlations EUR/SEK correlations EUR/NOK correlations
USD/SEK correlations USD/NOK correlations NOK/SEK correlations
AUD/USD correlations NZD/USD correlations USD/CAD correlations
EUR/CZK correlations EUR/RUB correlations EUR/PLN correlations
EUR/HUF correlations USD/TRY correlations USD/ZAR correlations
Notes: Correlations and betas are calculated using a rolling window of 52 weeks. Arrows denote the change in correlation over the past 10 weeks. Significant betas (at
95% confidence level) are denoted by an asterisk. Source: Bloomberg, Danske Bank Markets calculations
# Asset Corr. (10w chg.) Beta1 G10 Carry -38% -0.47*2 EURUSD 32% 0.3*3 VIX 30% 0*4 FX volatility 30% 0.06*5 Aluminium 30% 0.12*6 US equit. -29% -0.18*7 USDTRY 29% 0.38*8 Global equit. -26% -0.159 AUDUSD -23% -0.23
10 Ger. equit. -23% -0.11
# Asset Corr. (10w chg.) Beta1 EURNOK 58% 0.75*2 2Y swp. spr. 35% 0.07*3 US2YSWP 25% 0.054 US2YGOV 24% 0.055 10Y swp. spr. 24% 0.046 NZDUSD -24% -0.087 IT10YGOV -23% -0.018 EURGBP 19% 0.099 Crude oil -19% -0.03
10 G10 Carry -18% -0.1
# Asset Corr. (10w chg.) Beta1 EURSEK 58% 0.45*2 2Y swp. spr. 33% 0.05*3 US2YGOV 32% 0.05*4 US2YSWP 28% 0.04*5 10Y swp. spr. 26% 0.036 VIX -25% 07 US10YGOV 23% 0.018 US10YSWP 23% 0.019 IT10YGOV -22% 0
10 US equit. 22% 0.05
# Asset Corr. (10w chg.) Beta1 Global equit. -64% -0.47*2 USDTRY 63% 1*3 EURUSD -62% -0.7*4 G10 Carry -56% -0.85*5 US equit. -55% -0.43*6 NZDUSD -55% -0.56*7 Itraxx 54% 0.11*8 AUDUSD -54% -0.66*9 EURCHF 54% 0.65*
10 Ger. equit. -53% -0.31*
# Asset Corr. (10w chg.) Beta1 EURUSD -76% -0.74*2 Global equit. -57% -0.36*3 Itraxx 56% 0.1*4 USDTRY 55% 0.76*5 G10 Carry -51% -0.68*6 Copper -50% -0.25*7 USDCAD 50% 0.72*8 Ger. equit. -50% -0.26*9 US equit. -48% -0.32*
10 EURPLN 47% 0.55*
# Asset Corr. (10w chg.) Beta1 EURCHF 67% 0.47*2 Jap. equit. -33% -0.1*3 AUDUSD -31% -0.22*4 USDTRY 25% 0.235 NZDUSD -24% -0.146 Global equit. -24% -0.17 US equit. -22% -0.18 IT10YGOV -20% -0.019 Rel. equit. 19% 0.09
10 G10 Carry -18% -0.16
# Asset Corr. (10w chg.) Beta1 NZDUSD 83% 0.69*2 G10 Carry 75% 0.93*3 USDCAD -61% -0.82*4 Global equit. 58% 0.34*5 USDTRY -54% -0.7*6 US equit. 51% 0.32*7 Copper 46% 0.21*8 EURPLN -46% -0.5*9 Ger. equit. 45% 0.22*
10 Itraxx -42% -0.07*
# Asset Corr. (10w chg.) Beta1 AUDUSD 83% 0.99*2 G10 Carry 78% 1.16*3 USDCAD -65% -1.06*4 USDTRY -63% -0.97*5 Global equit. 59% 0.42*6 Rel. equit. -56% -0.34*7 US equit. 55% 0.41*8 Copper 53% 0.3*9 EURUSD 48% 0.53*
10 FX volatility -46% -0.12*
# Asset Corr. (10w chg.) Beta1 Global equit. -69% -0.3*2 Copper -67% -0.23*3 US equit. -66% -0.31*4 NZDUSD -65% -0.4*5 AUDUSD -61% -0.45*6 VIX 59% 0*7 G10 Carry -58% -0.54*8 Ger. equit. -56% -0.2*9 FX volatility 52% 0.08*
10 USDTRY 52% 0.49*
# Asset Corr. (10w chg.) Beta1 Crude oil -49% -0.14*2 EURPLN 47% 0.4*3 Global equit. -45% -0.21*4 US10YGOV -44% -0.04*5 US equit. -44% -0.21*6 Ger. equit. -44% -0.16*7 Copper -43% -0.16*8 Itraxx 42% 0.06*9 US10YSWP -41% -0.04*
10 Aluminium -38% -0.12*
# Asset Corr. (10w chg.) Beta1 Crude oil -61% -0.26*2 US equit. -44% -0.33*3 Ger. equit. -43% -0.25*4 G10 Carry -42% -0.64*5 Global equit. -42% -0.3*6 EURGBP 40% 0.5*7 AUDUSD -39% -0.48*8 VIX 39% 0*9 FX volatility 38% 0.1*
10 EURCHF 37% 0.44*
# Asset Corr. (10w chg.) Beta1 Global equit. -54% -0.3*2 USDTRY 52% 0.62*3 Itraxx 52% 0.08*4 GR10YGOV 49% 0*5 US equit. -49% -0.28*6 G10 Carry -48% -0.55*7 AUDUSD -46% -0.42*8 FX volatility 45% 0.09*9 EURUSD -45% -0.38*
10 NZDUSD -44% -0.34*
# Asset Corr. (10w chg.) Beta1 USDTRY 59% 0.87*2 EURPLN 57% 0.71*3 G10 Carry -56% -0.79*4 NZDUSD -46% -0.43*5 USDCAD 44% 0.67*6 Global equit. -40% -0.27*7 FX volatility 40% 0.1*8 AUDUSD -39% -0.45*9 US equit. -39% -0.28*
10 VIX 38% 0*
# Asset Corr. (10w chg.) Beta1 NZDUSD -63% -0.4*2 G10 Carry -63% -0.6*3 GR10YGOV 60% 0*4 FX volatility 54% 0.09*5 AUDUSD -54% -0.41*6 EURPLN 52% 0.44*7 USDCAD 52% 0.54*8 Global equit. -47% -0.22*9 Itraxx 45% 0.06*
10 EURUSD -43% -0.31*
# Asset Corr. (10w chg.) Beta1 AUDUSD -61% -0.93*2 NZDUSD -54% -0.69*3 G10 Carry -54% -1.02*4 USDTRY 48% 0.95*5 GR10YGOV 45% 0.01*6 USDCAD 41% 0.85*7 Global equit. -36% -0.33*8 EURCHF 36% 0.55*9 Itraxx 35% 0.09*
10 Copper -34% -0.24*
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Carry monitor
Carry overview (against EUR)
Top 10 carry currency pairs (1M) Top 10 carry currency pairs (3M)
G10 carry index (total return) G10 carry index (average deviation from PPP)
Source: Bloomberg, Danske Bank Markets calculations
1W 1M 3M 1Y 1W 1M 3M 1Y
EUR USD 0.2% 0.2% 0.3% 0.3% USD 0.0 0.0 0.0 0.0
JPY 0.0% 0.0% 0.0% 0.0% JPY 0.0 0.0 0.0 0.0
GBP 0.5% 0.5% 0.5% 0.5% GBP 0.1 0.1 0.1 0.1
CHF -0.1% -0.1% -0.1% -0.2% CHF 0.0 0.0 0.0 0.0
SEK 1.0% 1.1% 1.1% 1.0% SEK 0.1 0.2 0.2 0.2
NOK 1.6% 1.6% 1.7% 1.6% NOK 0.2 0.2 0.3 0.2
AUD 3.0% 3.0% 3.1% 2.9% AUD 0.3 0.4 0.4 0.3
NZD 2.7% 2.9% 2.8% 2.9% NZD 0.3 0.3 0.3 0.3
CAD 1.0% 1.1% 1.1% 1.1% CAD 0.1 0.2 0.1 0.1
DKK -0.2% -0.2% -0.2% -0.2% DKK n/a n/a n/a n/a
PLN 3.0% 3.0% 2.7% 2.3% PLN 0.4 0.5 0.4 0.3
TRY 4.0% 4.1% 4.0% 4.5% TRY 0.6 0.6 0.6 0.6
MXN 3.2% 3.5% 3.4% 3.5% MXN 0.3 0.4 0.4 0.3
ZAR 5.2% 5.3% 5.3% 5.2% ZAR 0.0 0.0 0.0 0.0
Carry in forward market (annualized) Carry-to-risk (carry / ATM volatility)
Currency pair Carry-to-risk Carry
1 TRY/USD 0.74 3.9%
2 TRY/EUR 0.65 4.1%
3 PLN/EUR 0.46 3.0%
4 AUD/USD 0.41 2.9%
5 AUD/CHF 0.41 3.1%
6 AUD/EUR 0.38 3.0%
7 AUD/CAD 0.37 2.0%
8 AUD/GBP 0.37 2.6%
9 NZD/CHF 0.33 3.0%
10 NZD/EUR 0.31 2.8%
Currency pair Carry-to-risk Carry
1 TRY/USD 0.61 3.7%
2 TRY/EUR 0.61 4.0%
3 AUD/CHF 0.40 3.2%
4 PLN/EUR 0.40 2.7%
5 AUD/EUR 0.37 3.0%
6 AUD/USD 0.36 2.7%
7 AUD/GBP 0.33 2.5%
8 AUD/CAD 0.32 1.9%
9 NZD/CHF 0.32 3.0%
10 NZD/EUR 0.30 2.8%
200
220
240
260
280
300
320
340
360
G10 Carry index Interest rate gain
-20%
-10%
0%
10%
20%
30%
40%
Avg PPP missalignment
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Volatility overview
Current implied volatilities, one-week changes and actual volatilities
Note: The table shows current levels of ATM implied volatilities, historical volatilities and the Z-score on the spread calculated using one year of observations. The last
column shows the slope of the implied volatility term structure and a Z-score calculated using one year of observations. The chart shows current levels of 1M, 3M and
1Y ATM implied volatilities, the level one week ago, the average level of the past year and the 1Y interval.
Source: Bloomberg, Danske Bank Markets calculations
Act. / Spr. Z-scr. Act. / Spr. Z-scr. Act. / Spr. Z-scr.
EUR/USD 9.4% 7.5% 0.9 8.0% 7.9% -0.4 8.1% 8.9% -1.2 9.0% 8.5% -0.2 1.1 -0.5
EUR/JPY 14.7% 13.3% 0.6 14.0% 16.7% -1.5 13.8% 17.0% -2.4 13.4% 13.3% -1.2 -0.6 -0.9
USD/JPY 12.6% 10.9% 0.4 11.8% 14.1% -3.2 11.4% 12.8% -2.7 11.0% 9.1% -0.2 -0.7 -1.3
GBP/USD 6.9% 8.2% -1.4 6.6% 7.1% -0.9 6.8% 8.0% -2.0 7.5% 6.8% -0.3 1.0 -0.8
EUR/GBP 7.5% 8.3% -0.4 6.8% 7.2% -0.2 6.9% 9.2% -2.1 7.3% 7.4% -1.2 0.5 -0.8
EUR/CHF 4.7% 5.0% -0.2 4.2% 3.7% 0.4 4.4% 5.4% -0.9 4.9% 4.2% 0.4 0.7 -1.0
EUR/SEK 7.6% 6.9% 1.0 6.8% 7.7% -0.6 6.7% 7.2% -0.3 6.6% 7.3% -1.4 -0.2 -1.7
EUR/NOK 7.5% 5.4% 1.6 6.6% 5.9% 1.1 6.4% 6.5% 0.4 6.3% 6.6% -0.2 -0.3 -2.4
EUR/AUD 8.8% 7.3% 1.1 8.0% 8.6% -0.6 8.2% 9.4% -1.6 8.7% 8.2% -0.7 0.7 -1.0
EUR/NZD 10.5% 9.9% 0.7 9.2% 10.1% -0.6 9.4% 10.9% -1.7 9.8% 9.4% 0.1 0.6 -0.9
EUR/CAD 8.4% 7.6% 0.8 7.4% 8.1% -0.7 7.6% 9.0% -1.9 8.3% 7.9% -0.4 0.9 -0.5
EUR/PLN 6.9% 6.1% 0.8 6.5% 5.9% 0.8 6.8% 6.4% 0.3 7.5% 8.4% -1.0 1.0 -0.8
EUR/CZK 5.5% 5.6% 0.5 5.0% 5.6% 0.3 5.2% 5.6% 0.4 5.6% 7.4% -1.0 0.5 -0.6
EUR/TRY 7.2% 6.7% 0.4 6.4% 6.7% -0.6 6.6% 7.2% -1.4 7.7% 7.3% 0.4 1.3 -1.1
EUR/RUB 9.0% 7.9% 0.0 8.3% 8.3% -1.1 8.4% 6.9% -0.1 8.9% 7.7% -0.7 0.7 -1.6
USD/CHF 9.2% 7.3% 0.9 7.8% 7.7% -0.4 7.9% 7.9% -0.7 8.8% 8.2% 1.0 1.0 -0.8
USD/SEK 10.7% 10.1% 0.8 9.5% 11.3% -1.5 9.7% 10.7% -0.9 10.7% 10.5% 0.8 1.3 -0.7
USD/NOK 9.9% 9.1% 0.9 8.6% 9.6% -0.7 8.9% 9.7% -0.9 10.1% 9.8% 0.7 1.4 -0.9
AUD/USD 7.6% 7.1% 0.2 7.0% 8.1% -1.3 7.5% 7.6% -0.7 8.7% 8.4% 0.9 1.7 -0.9
NZD/USD 9.6% 9.7% 0.0 9.0% 9.6% -0.5 9.4% 9.8% -0.7 10.5% 9.8% 1.2 1.5 -0.8
USD/CAD 5.7% 5.1% 0.6 5.6% 5.7% -0.5 5.8% 5.8% -0.5 6.8% 6.4% 0.8 1.2 -0.8
NOK/SEK 6.8% 6.6% 1.2 6.3% 7.6% -0.4 6.2% 7.2% -0.2 6.2% 7.0% -0.2 -0.2 -1.9
USD/ZAR 13.0% 13.3% -0.3 12.1% 12.6% -0.5 12.7% 12.4% -0.3 15.0% 14.1% 0.7 2.8 0.3
EUR/HUF 9.3% 9.8% -0.1 9.1% 10.7% -1.2 9.2% 9.7% 0.0 9.6% 10.5% 0.6 0.6 -0.5
USD/TRY 5.3% 4.6% 0.0 5.4% 4.9% -0.4 6.1% 5.3% -0.6 7.6% 6.7% 0.5 2.2 -0.7
USD/RUB 9.5% 7.7% 0.3 8.9% 8.9% -0.9 9.2% 7.0% 0.3 9.6% 9.4% -0.9 0.6 -1.2
1W imp./chg. 1M imp./chg. 3M imp./chg. 1Y imp./chg.Act. / Spr. Z-scr. 1M-1Y slope/Z-scr.
8.9%
5.4%
9.1%
12.1%
6.3%
5.6%
9.0%
7.0%
8.6%
9.5%
7.8%
8.3%
6.4%
5.0%
6.5%
7.4%
9.2%
8.0%
6.6%
6.8%
4.2%
6.8%
6.6%
11.8%
14.0%
8.0%
0% 5% 10% 15% 20% 25%
USD/RUB
USD/TRY
EUR/HUF
USD/ZAR
NOK/SEK
USD/CAD
NZD/USD
AUD/USD
USD/NOK
USD/SEK
USD/CHF
EUR/RUB
EUR/TRY
EUR/CZK
EUR/PLN
EUR/CAD
EUR/NZD
EUR/AUD
EUR/NOK
EUR/SEK
EUR/CHF
EUR/GBP
GBP/USD
USD/JPY
EUR/JPY
EUR/USD
1M volatilities (pct.'ile)
9.2%
6.1%
9.2%
12.7%
6.2%
5.8%
9.4%
7.5%
8.9%
9.7%
7.9%
8.4%
6.6%
5.2%
6.8%
7.6%
9.4%
8.2%
6.4%
6.7%
4.4%
6.9%
6.8%
11.4%
13.8%
8.1%
0% 5% 10% 15% 20% 25%
3M volatilities
1Y interval Now Average 1W ago
9.6%
7.6%
9.6%
15.0%
6.2%
6.8%
10.5%
8.7%
10.1%
10.7%
8.8%
8.9%
7.7%
5.6%
7.5%
8.3%
9.8%
8.7%
6.3%
6.6%
4.9%
7.3%
7.5%
11.0%
13.4%
9.0%
0% 5% 10% 15% 20% 25%
1Y volatilities
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G10 and EM implied volatility cones
Note: The volatility cones show ATM implied volatilities for G10 and EM currency pairs
Source: Bloomberg, Danske Bank Markets
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
1W 1M 3M 6M 12M
EUR/USD
1Y interval Now Average Last week
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
1W 1M 3M 6M 12M
USD/JPY
1Y interval Now Average Last week
7.5%
10.0%
12.5%
15.0%
17.5%
20.0%
1W 1M 3M 6M 12M
EUR/JPY
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
1W 1M 3M 6M 12M
EUR/GBP
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
1W 1M 3M 6M 12M
GBP/USD
1Y interval Now Average Last week
0.0%
5.0%
10.0%
1W 1M 3M 6M 12M
EUR/CHF
1Y interval Now Average Last week
5.0%
7.5%
10.0%
1W 1M 3M 6M 12M
EUR/SEK
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
1W 1M 3M 6M 12M
EUR/NOK
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
1W 1M 3M 6M 12M
AUD/USD
1Y interval Now Average Last week
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
1W 1M 3M 6M 12M
NZD/USD
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
1W 1M 3M 6M 12M
USD/CAD
1Y interval Now Average Last week
5.0%
7.5%
10.0%
12.5%
15.0%
1W 1M 3M 6M 12M
EUR/PLN
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
1W 1M 3M 6M 12M
EUR/RUB
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
1W 1M 3M 6M 12M
EUR/CZK
1Y interval Now Average Last week
7.5%
10.0%
12.5%
15.0%
17.5%
20.0%
22.5%
25.0%
1W 1M 3M 6M 12M
USD/ZAR
1Y interval Now Average Last week
5.0%
10.0%
15.0%
20.0%
1W 1M 3M 6M 12M
EUR/HUF
1Y interval Now Average Last week
2.5%
5.0%
7.5%
10.0%
12.5%
15.0%
1W 1M 3M 6M 12M
USD/TRY
1Y interval Now Average Last week
5.0%
10.0%
15.0%
20.0%
1W 1M 3M 6M 12M
USD/RUB
1Y interval Now Average Last week
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G10 and EM implied volatility surfaces
Note: The chart shows the implied volatility surface for G10 and EM currency pairs. Data is based on mid-prices and is indicative only. The data is shown for maturities of
one and six months for various moneyness. Put deltas are denoted ‘xP’, while call deltas are denoted ‘xC’
Source: Danske Bank Markets
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
EUR/USD
1M
6M
10.0%
12.5%
15.0%
5P 20P 35P ATM 35C 20C 5C
USD/JPY
1M
6M
10%
15%
20%
5P 20P 35P ATM 35C 20C 5C
EUR/JPY
1M
6M
5%
10%
5P 20P 35P ATM 35C 20C 5C
EUR/GBP
1M
6M
5.0%
7.5%
10.0%
12.5%
5P 20P 35P ATM 35C 20C 5C
GBP/USD
1M
6M
0%
5%
10%
5P 20P 35P ATM 35C 20C 5C
EUR/CHF
1M
6M
5.0%
7.5%
10.0%
5P 20P 35P ATM 35C 20C 5C
EUR/SEK
1M
6M
5.0%
7.5%
10.0%
5P 20P 35P ATM 35C 20C 5C
EUR/NOK
1M
6M
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
AUD/USD
1M
6M
5%
10%
15%
20%
5P 20P 35P ATM 35C 20C 5C
NZD/USD
1M
6M
5%
10%
5P 20P 35P ATM 35C 20C 5C
USD/CAD
1M
6M
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
EUR/PLN
1M
6M
0%
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
EUR/CZK
1M
6M
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
EUR/RUB
1M
6M
10%
15%
20%
25%
5P 20P 35P ATM 35C 20C 5C
USD/ZAR
1M
6M
5%
10%
15%
20%
5P 20P 35P ATM 35C 20C 5C
EUR/HUF
1M
6M
5%
10%
15%
5P 20P 35P ATM 35C 20C 5C
USD/TRY
1M
6M
5%
10%
15%
20%
5P 20P 35P ATM 35C 20C 5C
USD/RUB
1M
6M
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Range trading monitor
Ranking of range trade candidates
1W range trade no. 1 – EUR/USD 1W range trade no. 2 – EUR/TRY
1M range trade no. 1 – NOK/SEK 1M range trade no. 2 – AUD/NOK
3M range trade no. 1 – EUR/PLN 3M range trade no. 2 – CAD/CHF
Notes: Range trades are ranked by the realised range relative to the pay-off received by selling a straddle, with the strike set at-the-money (DNS convention).*A ratio
below 1 implies that the historically realised range is smaller than the break-even range.**ADX provides a measure of the strength of the trend in a given currency pair.
Generally, a value above 25 characterises a pair that is trending. The bands in the charts show break-even levels. Indicative prices and levels
Source: Bloomberg, Danske Bank Markets calculations
1 EUR/USD 166 pips 152 pips 1.1 19.8 1 NOK/SEK 227 pips 163 pips 1.4 13.8 1 EUR/PLN 1210 pips 1150 pips 1.1 21.02 EUR/TRY 228 pips 199 pips 1.2 24.6 2 AUD/NOK 1927 pips 1196 pips 1.6 16.5 2 CAD/CHF 411 pips 281 pips 1.5 22.33 NOK/JPY 36 pips 31 pips 1.2 15.6 3 GBP/NZD 572 pips 355 pips 1.6 9.1 3 EUR/RUB 20294 pips 13770 pips 1.5 23.7
ADX**# FX Actual range
Delta-neutral straddle
Ratio* # FX Actual range
Delta-neutral straddle
Ratio*
3 month strategiesActual range
Delta-neutral straddle
Ratio* ADX**FX#
1 week strategies
ADX**
1 month strategies
1.27
1.28
1.29
1.30
1.31
1.32
1.33
26/03 31/03 05/04 10/04 15/04 20/04 25/04 30/04 05/05
2.28
2.30
2.32
2.34
2.36
2.38
26/03 31/03 05/04 10/04 15/04 20/04 25/04 30/04 05/05
1.10
1.12
1.14
1.16
1.18
08/01 08/02 08/03 08/04 08/055.60
5.70
5.80
5.90
6.00
6.10
6.20
08/01 08/02 08/03 08/04 08/05
4.00
4.05
4.10
4.15
4.20
4.25
4.30
21/08 21/11 21/02 21/050.88
0.90
0.92
0.94
0.96
0.98
1.00
21/08 21/10 21/12 21/02 21/04 21/06
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Option market positioning and skew valuation
1M 25-delta risk reversals (z-scores, vol adjusted) 1M 25-delta risk reversals (z-scores, vol adjusted)
Risk reversals explained by currency spot betas to equities Valuation signals from simple comparison with equity betas
EUR/USD 1M 25-delta risk reversal USD/JPY 1M 25-delta risk reversal
Note: Z-scores are computed using maximum available data and on risk reversals divided by ATM volatility. Spot beta to equities ( ‘risk beta’) is the beta coefficient from a
linear regression of weekly spot returns on weekly returns on the S&P500 equity index using a 1Y estimation window. Red broken lines in 1M RR charts indicate the +/-
2 std dev band (computed on a volatility adjusted basis)
Source: Bloomberg (synthetic risk reversal quotes are used for non-standard currency pairs), Danske Bank Markets calculations
1W chg
0.64
-0.12
-0.01
0.08
-0.10
0.18
0.02
0.25
-0.24
-0.06
-0.13
Cheap Rich
-2 -1 0 1 2
USD/JPY
EUR/CHF
USD/CAD
NZD/USD
AUD/USD
EUR/USD
EUR/GBP
EUR/PLN
EUR/SEK
EUR/NOK
EUR/TRY# Currency Z-score RR 1W chg # Currency Z-score RR 1W chg
1 CHF/TRY -1.7 0.3 1 TRY/JPY 1.9 -0.6
2 EUR/NZD -1.7 0.1 2 AUD/JPY 1.8 -0.6
3 AUD/CAD -1.5 -1.1 3 CAD/CHF 1.8 0.2
4 GBP/NZD -1.5 0.1 4 PLN/JPY 1.7 -1.0
5 EUR/TRY -1.2 0.2 5 EUR/JPY 1.5 -0.6
6 NZD/CAD -1.2 -1.1 6 GBP/JPY 1.5 -0.4
7 EUR/AUD -1.0 0.2 7 USD/CHF 1.5 0.8
8 EUR/NOK -1.0 -0.2 8 NZD/JPY 1.4 -0.7
9 EUR/SEK -0.9 0.2 9 CAD/JPY 1.3 -0.4
10 EUR/PLN -0.7 0.8 10 NOK/JPY 1.3 -0.5
Cheap Rich
EURGBP
EURAUDEURNZD
EURUSD
EURJPYEURCAD
EURCHF
EURNOK
EURSEK
EURPLN
EURTRYGBPAUD
GBPNZD
GBPUSD
GBPJPYGBPCADGBPCHF
GBPNOKGBPSEK
GBPTRY
AUDNZD
AUDUSD
AUDJPY
AUDCAD
AUDCHFAUDNOK
AUDSEK
NZDUSD
NZDJPY
NZDCAD
NZDCHF
USDJPY
USDCAD
USDCHFUSDNOKUSDSEK
USDPLN
USDTRY
CADJPYCHFJPY NOKJPYSEKJPY
PLNJPYTRYJPY
CADCHF
NOKCAD
NOKCHF
CHFSEK
PLNCHF
CHFTRYNOKSEK
TRYNOK
SEKPLN
TRYSEK
R² = 0.3366
-0.25
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
0.25
-1.0 -0.5 0.0 0.5 1.0
1M 25-delta RR (vol adj)
Spot beta to equities
RR rich
RR cheap
# Currency Risk beta RR (adj) RR # Currency Residual RR (adj) RR
1 TRYSEK -0.2 -0.1 cheap 1 AUDCAD -0.2 -0.2 cheap
2 USDJPY 0.2 0.0 rich 2 USDTRY 0.2 0.2 rich
3 TRYNOK -0.1 -0.1 cheap 3 NZDCAD -0.1 -0.2 cheap
4 CADCHF 0.1 0.0 rich 4 TRYNOK -0.1 -0.1 cheap
5 GBPCAD -0.1 0.0 cheap 5 GBPTRY 0.1 0.1 rich
6 EURNOK -0.1 0.0 cheap 6 TRYSEK -0.1 -0.1 cheap
7 AUDSEK -0.1 0.0 cheap 7 AUDUSD -0.1 -0.1 cheap
8 EURCAD -0.1 0.0 cheap 8 EURPLN 0.1 0.1 rich
9 AUDNZD -0.1 0.0 cheap 9 USDCAD 0.1 0.1 rich
10 EURTRY 0.0 0.0 rich 10 SEKPLN 0.1 0.1 rich
'RR sign' = 'Risk beta sign' Residuals (simple model)
-3
-2
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
+/- 2 std dev
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-5
-4
-3
-2
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
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EUR/GBP 1M 25-delta risk reversal EUR/CHF 1M 25-delta risk reversal
EUR/SEK 1M 25-delta risk reversal EUR/NOK 1M 25-delta risk reversal
USD/CAD 1M 25-delta risk reversal AUD/USD 1M 25-delta risk reversal
NZD/USD 1M 25-delta risk reversal EM 1M 25-delta risk reversal
Source: Bloomberg (synthetic risk reversal quotes are used for non-standard currency pairs), Danske Bank Markets calculations
-1.0
-0.5
0.0
0.5
1.0
1.5
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-3
-2
-2
-1
-1
0
1
1
2
2
3
3
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-2
-1
0
1
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-3
-2
-1
0
1
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
+/- 2 std dev
-1
0
1
2
Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13
Calls more expensive than puts
Puts more expensive than calls
EUR/TRY
EUR/PLN
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Central bank overview
Main G10 central banks outlook
ECB market pricing Fed market pricing
BoE market pricing Riksbank market pricing
Note: The charts show the cumulated market pricing of rate changes on meeting dates
Source: Danske Bank Markets
Official policy rate Current Next decision Official policy rate Current Next decision
EUR Minimum bid rate 0.75% 02 May 13 0.50 0.50 0.50 SEK Repo rate 1.00% 03 Jul 13 1.00 1.00 1.25
USD Federal funds rate 0.25% 01 May 13 0.25 0.25 0.25 NOK Sight deposit rate 1.50% 08 May 13 1.50 1.50 1.75
JPY Overnight call rate 0.10% 22 May 13 0.10 0.10 0.10 CAD Overnight rate 1.00% 29 May 13 1.00 1.00 1.00
GBP Base rate 0.50% 09 May 13 0.50 0.50 0.50 AUD Cash rate 3.00% 07 May 13 3.00 2.75 2.50
CHF 3-month Libor 0.00% 20 Jun 13 0.00 0.00 0.00 NZD Cash rate 2.50% 12 Jun 13 2.50 2.50 2.50
DB forecasts (3M-6M-12M)DB forecasts (3M-6M-12M)
0.080% -1 -1 -2 -2 -2 -2
0.75%
-0.10%
0.10%
0.30%
0.50%
0.70%
0.90%
May 13 Jun 13 Jul 13 Aug 13 Sep 13 Oct 13 Nov 13
EONIA fixing
ECB dates EONIA Refi rate
0.139%-1 -3 -2 -2 -1 -1
0.25%
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
Mar 2013
May 2013
Jul 2013 Sep 2013
Nov 2013
Jan 2014
Fed dates USD OIS Fed funds target
0.433%-1-3
-4-6
-8-9 -10 -11 -12 -12 -13 -13 -13 -14 -14 -13 -13
0.50%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
0.50%
0.55%
Apr 2013
Jul 2013 Oct 2013
Jan 2014
Apr 2014
Jul 2014
BoE dates SONIA Base rate
1.06%
-10
-16-17 -17 -17-16
-12
-7-4
-1
1.00%
0.80%
0.85%
0.90%
0.95%
1.00%
1.05%
1.10%
1.15%
1.20%
Apr 2013
Jul 2013
Oct 2013
Jan 2014
Apr 2014
Jul 2014
Oct 2014
Jan 2015
Riksbank dates STINA Repo rate
19 | 01 May 2013 www.danskeresearch.com
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FX trade overview
FX trade recommendations
Source: Danske Bank Markets
FX Top Trades 2013
Source: Danske Bank Markets
Type Trade Idea Target & P/L* Opened 05/12/2012 Start 1.31 Target/Stop Now 1.32 P/L 0.50% Opened 05/12/2012 Start 6.36
Target/Stop 3.2% / 2.5% Now 6.20
P/L 2.44% Opened 05/12/2012 Start 100.0
Target/Stop 110 / 95 Now 100.369
P/L 1.97%
Spot Long TRY, MXN, HUF vs. Short USD
Buy equally weighted carry basket (Long TRY, MXN, HUF vs. Short USD) spot at index 100 for a 110 target; stop at 95.This basket yields an indicative carry of close to 4%
Forward Sell USD/CNH 12 Forward
Sell 12M USD/CNH @ 6.3550. We set a 3.2% profit target and will close the trade if we incur a 2.5% mark-to-market loss on the trade. Spot-ref: 6.2120
Open FX Top Trades
Option EUR/USD butterfly
Enter 6M EUR/USD 1.30-1.36-1.42 butterfly at an indicative cost of USD 176 pips
# Type Trade Opened Level Closed Level P/L 1 Option Bearish 6M JPY/SEK risk reversal 05/12/12 8.02 11/01/13 7.320 6.44% 2 Spot Sell GBP/NOK 05/12/12 9.04 16/01/13 8.962 1.00% 3 Spot Buy EUR/CHF 05/12/12 1.2145 18/01/13 1.250 2.89% 4 Spot Sell USD/CAD 05/12/12 0.9914 19/01/13 1.015 -2.16% 5 Spot Sell USD/SGD 05/12/12 1.2183 11/03/13 1.250 -2.70% 6 Option USD/JPY option strategy 05/12/12 82.20 22/03/13 94.850 11.45% 7 Spot Buy RUB/CZK 05/12/12 0.6246 16/04/13 0.6305 3.33%
Closed FX Top Trades
# Cum Return Avg Return Avg Days Open Profitable 7 29.0% 4.1% 93 days
Loss-making 3 -4.9% -1.6% 95 days
All trades 10 24.1% 2.4% 93 days
FX Top Trades 2013
Type Trade Idea Target & P/L* Opened 22/03/2013 Start 1.557
Target/Stop n/a Now 1.570
P/L -0.75% Opened 22/03/2013 Start 94.850
Target/Stop n/a Now 97.460
P/L 1.51% Opened 22/04/2013 Start 9.940
Target/Stop 9.50 / 10.25 Now 10.048
P/L -1.07%
Spot Sell GBP/SEK spot
To benefit from strong Swedish numbers, we would like to position for a move lower in GBP/SEK
Option Enter 3M GBP/CAD call spread
Carney will be looking to do whatever it takes to prop up the UK economy whereas strong US growth should support CAD. We recommend to express our bearish view on GBP/CAD via 3M GBP/CAD call spread (sell 1.5000 call and buy 1.5640 call)
Option Enter 6M USD/JPY risk reversal
We expect further JPY weakness to materialize and recommend entering a new 6M USD/JPY risk reversal at zero costs (sell 6M 91.90 putand buy 6M 98.00 call). The strategy utilizes the significant correction lower in the option skew into negative territory and extends maturity on our long
Open FX Trades
# Cum Return Avg Return Avg Days Open Profitable 7 14.2% 2.0% 136 days
Loss-making 3 -4.9% -1.6% 27 days
All trades 10 9.2% 0.9% 103 days
FX Trade Performance 2013
# Type Trade Opened Level Closed Level P/L 1 Option 6M USD/JPY Seagull 15/08/12 78.71 15/02/13 93.39 5.03% 2 Option 1M-3M EUR/SEK call calendar spread 02/10/12 8.51 02/01/13 8.55 0.93% 3 Spot Buy RUB, AUD, NOK versus USD 19/09/12 100 19/04/13 100.65 0.65% 4 Spot Buy EUR/CZK 05/11/12 25.267 19/04/13 25.860 2.34% 5 Spot Buy MXN/JPY spot 04/04/13 7.74 16/04/13 7.950 2.78% 6 Spot Sell CHF/NOK 22/03/13 6.17 23/04/13 6.290 -1.78% 7 Option Sell 3M EUR/CHF put spread 28/02/13 1.2200 24/04/13 1.2315 0.51%
Closed FX Trades
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FX and Commodities Research
Arne Lohmann Rasmussen Head of FX Research NOK, SEK, DKK +45 45 12 85 32 arr@danskebank.dk
Kasper Kirkegaard Senior Analyst G10 +45 45 13 70 18 kaki@danskebank.dk
Stefan Mellin Senior Analyst SEK +46 8 568 805 92 mell@danskebank.se
Morten Helt Senior Analyst G10 +45 45 12 85 18 mohel@danskebank.dk
Christin Kyrme Tuxen Senior Analyst Commodities +45 45 13 78 67 tux@danskebank.dk
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Disclosure This research report has been prepared by Danske Research, a division of Danske Bank A/S (‘Danske Bank’). The author of the research report is Morten Helt, Senior
Analyst.
Analyst certification
Each research analyst responsible for the content of this research report certifies that the views expressed in the research report accurately reflect the research analyst’s
personal view about the financial instruments and issuers covered by the research report. Each responsible research analyst further certifies that no part of the compensation
of the research analyst was, is or will be, directly or indirectly, related to the specific recommendations expressed in the research report.
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other jurisdictions where it conducts business. Danske Bank is subject to limited regulation by the Financial Services Authority (UK). Details on the extent of the regulation
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