Steen Stress Indicators

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
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
S&P/LSTA Leveraged Loan 100 INDEX Price

100
98
96
94
92
90
88
86
84
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
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
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
160
European stock markets (indexed)
150
140
130
120
110
100
90
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
German and Hungarian Ind. Production

20
20
15
15
10
10
-5
-5
-10
-10
Market iTraxx Europe Senior Financial Index

170
150
130
110
90
70
50
100-days MA
30
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
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
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
CRUDE WTI Contango (2 Year )
20
15
10
5
0
-5
-10
-15
-20
.WTICON INDEX
-25
-30
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
Central bank balance sheet as % of nominal GDP

80
70
Fed
60
ECB
50
1200
BoJ
BoE
40
30
20
10
0
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
JPMorgan Chase & Co

100
90
80
70
60
50
50-day MA
CDS USD SR 5 YR (bps.)
40
Market iTraxx Europe (EUR CDS 5YR)

400
350
300
250
200
150
100
50
0
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.)
Japan 5-Year USD CDS

80
70
60
50
40
30
Percentage of NYSE Stocks above 200 MA

90
85
80
75
70
65
60
55
50
45
40
35
30
25
20
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
105
AUDJPY - Ultimate Risk Indicator
100
95
90
85
80
75
AUDJPY Spot
70
Gasoline Price (Consumer tax)

300
280
260
240
220
200
180
160
140
120
100
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
US Real Rates(10 Y Generic- 5Y5Y fwd US)

-0.60
-0.70
-0.80
-0.90
-1.00
-1.10
-1.20
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
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
Eurocoin Growth Indicator

EC Econimic
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Bloomberg World Exchange Market Capitalization

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

Source: Bloomberg, Saxo Bank Strategy & Research

SAXO Euro Growth Input(Brent, Bunds & EUR

Source: Bloomberg, Saxo Bank Strategy & Research

Port of Long Island Inbound Containers

Source: Bloomberg, Saxo Bank Strategy & Research

S&P/LSTA Leveraged Loan 100 INDEX Price

Source: Bloomberg, Saxo Bank Strategy & Research

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

Source: Bloomberg, Saxo Bank Strategy & Research

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

Source: Bloomberg, Saxo Bank Strategy & Research

US Non-farm & Employ/Population

Source: Bloomberg, Saxo Bank Strategy & Research

European stock markets (indexed)

Source: Bloomberg, Saxo Bank Strategy & Research

Demand Deposits (EUR, indexed)

Source: Bloomberg, Saxo Bank Strategy & Research

German and Hungarian Ind. Production

Source: Bloomberg, Saxo Bank Strategy & Research

Market iTraxx Europe Senior Financial Index

Source: Bloomberg, Saxo Bank Strategy & Research

EURUSD 3 Month 25 Delta Risk Reversal

Source: Bloomberg, Saxo Bank Strategy & Research

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

Source: Bloomberg, Saxo Bank Strategy & Research

US Dollar High Yield Energy (OAS spread)

Source: Bloomberg, Saxo Bank Strategy & Research

CRUDE WTI Contango (2 Year )

Source: Bloomberg, Saxo Bank Strategy & Research

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

iShares iBoxx $ High Yield

Source: Bloomberg, Saxo Bank Strategy & Research

Central bank balance sheet as % of nominal GDP

Source: Bloomberg, Saxo Bank Strategy & Research

US & Germany Breakeven Rates

Germany 10 year (bps.)

Source: Bloomberg, Saxo Bank Strategy & Research

JPMorgan Chase & Co

Source: Bloomberg, Saxo Bank Strategy & Research

Market iTraxx Europe (EUR CDS 5YR)

Source: Bloomberg, Saxo Bank Strategy & Research

MARKIT ITRX EUROPE 06/20 (bps.)

Japan 10-Year Government Bond Yield

Source: Bloomberg, Saxo Bank Strategy & Research

Japan 5-Year USD CDS

Source: Bloomberg, Saxo Bank Strategy & Research

Percentage of NYSE Stocks above 200 MA

Source: Bloomberg, Saxo Bank Strategy & Research

Japan -5Y5Y JPY Swap (Inflation gauge)

Source: Bloomberg, Saxo Bank Strategy & Research

AUDJPY - Ultimate Risk Indicator

Source: Bloomberg, Saxo Bank Strategy & Research

Gasoline Price (Consumer tax)

Source: Bloomberg, Saxo Bank Strategy & Research

Merrill Lynch Option Volatility Estimate (MOVE INDEX)

Source: Bloomberg, Saxo Bank Strategy & Research

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