Steen Stress Indicators

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    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

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    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

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    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

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    -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

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    -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

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    -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

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    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

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    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

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    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

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    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

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    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

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