EFTA01117941.pdf

FX Et Commodities J.P.Morgan Protection trade for a risk-off market environment In the case of another round of declining prices in risk assets we believe the Swedish krona would provide a relatively cheap overlay opportunity Ownership of shares quoted on Swedish Exchanges S&P500 sell-offs vs. S&P500 and SEK correlation 8O SPX Index — — Correlation (SEK and SPX) 16OO 12O% • Swedish owners. exc -: xseHolds 7O s Households 15OO 1OO% a. es. am % Foreign owners " II. ... 6O 14OO % 8O% I 1 13OO 6O% ii ) Sc 1 12OO 4O% cO 11OO 2O% 1O It) 1OOO O% 2C 0" 4 9OO -2O% IC 8OO - -4O% O 7OO - -6O% 1969 1'931 1993 1995 1997 1599 2131)1 2OO3 2OC5 2OC-7 2OC9 2011 Source: Swedish Financial Supervisory 6OO 8O% Authority Data up to and ricluding 2O11 Dec-O9 Aug-1O Apr-11 Figtirfe7: Bloonita -Pg8( as of Verc1811) SP500 volatility expensive relative to SEK volatility Historical USD/SEK exchange rate 7O - —SPX Index - 3M Call Imp Vol —USOSEKV3M Curncy 9.5O 6O 9.00 8.5O 5O 8.OO 4O 7.5O 3O 7.OO 2O 6.5O 1O 6.OO O 5.5O . -O8 Jun Jun-1O Jun-11 Jun 07 Jun-O8 Jun-O9 Jun-1O Jun-11 Ski ounrce: Bloomberg (as of Dec09 2011) Source: Bloomberg (as of Dec 2O11) EFTA01117941