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8/21/2019 Steen Stress Indicators
1/13
8/21/2019 Steen Stress Indicators
2/13
50,000,000
55,000,000
60,000,000
65,000,000
70,000,000
75,000,000
Bloomberg World Exchange Market Capitalization
50-days MA
Euro swap (bps.)
Source: Bloomberg L.P., Saxo Bank Strategy & Research
1.00
1.20
1.40
1.60
1.80
2.00
2.20US Breakeven 5 Year
US Breakeven 5 Year
Source: Bloomberg, Saxo Bank Strategy & Research
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
SAXO Euro Growth Input(Brent, Bunds & EURtradeweighted (Jan 12 = 100)
.EURMONE U Index
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
3/13
15,000,000
17,000,000
19,000,000
21,000,000
23,000,000
25,000,000
27,000,000
29,000,000
31,000,000
33,000,000
35,000,000
Port of Long Island Inbound Containers
Source: Bloomberg, Saxo Bank Strategy & Research
84
86
88
90
92
94
96
98
100
S&P/LSTA Leveraged Loan 100 INDEX Price
Source: Bloomberg, Saxo Bank Strategy & Research
0.0
0.5
1.0
1.5
2.0
2.5
200
220
240
260
280
300
320Thomson/Reuters Com.Index & USD 5YR Break-even
Commidty Index
US 5YR B/E
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
4/13
2
2.2
2.4
2.6
2.8
3
3.2
3.4
200
220
240
260
280
300
320
Thomson/Reuters Commod.Index & USD infl swap 5y5y
Commidty Index
5Y5Y US
Source: Bloomberg, Saxo Bank Strategy & Research
56.00
57.00
58.00
59.00
60.00
61.00
62.00
-400
-300
-200
-100
0
100
200
300
400
500
600US Non-farm & Employ/Population
Non-farm
Source: Bloomberg, Saxo Bank Strategy & Research
90
100
110
120
130
140
150
160European stock markets (indexed)
FTSEMIB
DAX
IBEX
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
5/13
-10
-5
0
5
10
15
20
-10
-5
0
5
10
15
20
German and Hungarian Ind. Production
Source: Bloomberg, Saxo Bank Strategy & Research
30
50
70
90
110
130
150
170
Market iTraxx Europe Senior Financial Index
100-days MA
Source: Bloomberg, Saxo Bank Strategy & Research
80
100
120
140
160
180
200
220
240
260
280
300
320
01 02 03 04 05 06 07 08 09 10 11 12 13 14
Demand Deposits (EUR, indexed)
Greece
Italy
Germany
Portugal
Spain
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
6/13
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
EURUSD 3 Month 25 Delta Risk Reversal
200-day MA
3 mo. 25 delta risk reversal
Source: Bloomberg, Saxo Bank Strategy & Research
0
5
10
15
20
25
30
35
40
50
150
250
350
450
550
650
RUSSIA CDS USD SR 5Y Corp
GGGB10YR Index
Source: Bloomberg, Saxo Bank Strategy & Research
Russia 5 YR CDS and 10 YR Greece (NP in CDS)
200
300
400
500
600
700
800
900
1,000
1,100
1,200US Dollar High Yield Energy (OAS spread)
50-day MA
Risk index
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
7/13
-30
-25
-20
-15
-10
-5
0
5
10
15
20
.WTICON INDEX
Source: Bloomberg, Saxo Bank Strategy & Research
CRUDE WTI Contango (2 Year )
1000
1200
1400
1600
1800
2000
2200
80.00
82.00
84.00
86.00
88.00
90.00
92.00
94.00
96.00
98.00
iShares iBoxx $ High YieldCorporate Bond ETFS&P 500 Index
Source: Bloomberg, Saxo Bank Strategy & ResearchSource: Bloomberg, Saxo Bank Strategy & Research
US High Yield (HYG) vs. S&P-500 INDEX
0
10
20
30
40
50
60
70
80
Central bank balance sheet as % of nominal GDP
Fed
ECB
BoJ
BoE
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
8/13
30.00
50.00
70.00
90.00
110.00
130.00
150.00
170.00
190.00
130
150
170
190
210
230
250
US & Germany Breakeven Rates
US 10 year (bps.)
Germany 10 year (bps.)
Source: Bloomberg, Saxo Bank Strategy & Research
40
50
60
70
80
90
100
JPMorgan Chase & Co
50-day MA
CDS USD SR 5 YR (bps.)
Source: Bloomberg, Saxo Bank Strategy & Research
0
50
100
150
200
250
300
350
400Market iTraxx Europe (EUR CDS 5YR)
MARKIT ITRX EUROPE 06/20 (bps.)UniCredit SpASociete Generale SABanco Santander SA
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
9/13
0
10
20
30
40
50
60
70
80
90
Japan 10-Year Government Bond Yield
200-day MA
Yield (bps.)
Source: Bloomberg, Saxo Bank Strategy & Research
30
40
50
60
70
80Japan 5-Year USD CDS
Source: Bloomberg, Saxo Bank Strategy & Research
20
25
30
35
40
45
50
55
60
65
70
75
80
85
90
Percentage of NYSE Stocks above 200 MA
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
10/13
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
Japan -5Y5Y JPY Swap (Inflation gauge)
Source: Bloomberg, Saxo Bank Strategy & Research
70
75
80
85
90
95
100
105AUDJPY - Ultimate Risk Indicator
AUDJPY Spot…
Source: Bloomberg, Saxo Bank Strategy & Research
100
120
140
160
180
200
220
240
260
280
300
Gasoline Price (Consumer tax)
Source: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
11/13
40.00
50.00
60.00
70.00
80.00
90.00
100.00
110.00
120.00
Merrill Lynch Option Volatility Estimate (MOVE INDEX)
Source: Bloomberg, Saxo Bank Strategy & Research
-1.20
-1.10
-1.00
-0.90
-0.80
-0.70
-0.60US Real Rates(10 Y Generic- 5Y5Y fwd US)
Source: Bloomberg, Saxo Bank Strategy & Research
-80.00
-60.00
-40.00
-20.00
0.00
20.00
40.00
60.00
80.00
-80.00
-60.00
-40.00
-20.00
0.00
20.00
40.00
60.00
CESI US vs. CESI Euro
CESI US CESI EUROSource: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
12/13
NON-INDEPENDENT INVESTMENT RESEARCH This investment research has not been prepared in accordance with legal requirements designed to promote the independence of
investment research. Further it is not subject to any prohibition on dealing ahead of the dissemination of investment research. Saxo
Bank, its affiliates or staff, may perform services for, solicit business from, hold long or short positions in, or otherwise be interested
in the investments (including derivatives), of any issuer mentioned herein.
None of the information contained herein constitutes an offer (or solicitation of an offer) to buy or sell any currency, prod uct or
financial instrument, to make any investment, or to participate in any particular trading strategy. This material is produced for
marketing and/or informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting dir ectly or
through branch offices (“Saxo Bank”) make no representation or warranty, and assume no liability, for the accuracy or complet eness
of the information provided herein. In providing this material Saxo Bank has not taken into account any particular recipient’ s
investment objectives, special investment goals, financial situation, and specific needs and demands and nothing herein is in tended asa recommendation for any recipient to invest or divest in a particular manner and Saxo Bank assumes no liability for any reci pient
sustaining a loss from trading in accordance with a perceived recommendation. All investments entail a risk and may result in both
profits and losses. In particular investments in leveraged products, such as but not limited to foreign exchange, derivates a nd
commodities can be very speculative and profits and losses may fluctuate both violently and rapidly. Speculative trading is n ot
suitable for all investors and all recipients should carefully consider their financial situation and consult financial advis or(s) in order to
understand the risks involved and ensure the suitability of their situation prior to making any investment, divestment or ent ering into
any transaction. Any mentioning herein, if any, of any risk may not be, and should not be considered to be, neither a comprehensive
disclosure or risks nor a comprehensive description such risks. Any expression of opinion may be personal to the author and m ay not
reflect the opinion of Saxo Bank and all expressions of opinion are subject to change without notice (neither prior nor subse quent).
This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past
performance displayed on this publication will not necessarily be repeated in the future. No representation is being made that any
investment will or is likely to achieve profits or losses similar to those achieved in the past, or that significant losses w ill be avoided.
Statements contained on this publication that are not historical facts and which may be simulated past performance or future
performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such
statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon.
Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may diff er
materially from those reflected or contemplated in such forward-looking statements.
This material is confidential and should not be copied, distributed, published or reproduced in whole or in part or disclosed by
recipients to any other person.
0.00
20.00
40.00
60.00
80.00
100.00
120.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
Euro PMI Manufacturing vs. BOI Eurocoin
Eurocoin Growth IndicatorEC EconimicSource: Bloomberg, Saxo Bank Strategy & Research
8/21/2019 Steen Stress Indicators
13/13
Any information or opinions in this material are not intended for distribution to, or use by, any person in any jurisdiction or country
where such distribution or use would be lawful. The information in this document is not directed at or intended for “US Persons” within
the meaning of the United States Securities Act of 1993, as amended and the United States Securities Exchange Act of 1934, as
amended.
The Saxo Bank Group is under the supervision of the Danish Financial Supervisory Authority (In Danish: "Finanstilsynet") and is
subject to the Danish Executive Order on Good Business Practice for Financial Undertakings.
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Denmark
Phone: +45 39 77 40 00
Reg. No. 1149
CVR. No. 15731249
This disclaimer is subject to Saxo Bank's Full Disclaimer available at www.saxobank.com/disclaimer.