FX Et Commodities

FX Et Commodities Protection trade for a risk-off market environment J.P.Morgan 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 8O 7O 6O Sc cO 1O 2C IC O • Swedish owners. exc -: xseHolds s Households Foreign owners 1969 1'931 1993 1995 1997 Source: Swedish Financial Supervisory Authority 1599 2131)1 2OO3 2OC5 2OC-7 2OC9 2011 Data up to and ricluding 2O11 SP500 volatility expensive relative to SEK volatility 7O - —SPX Index - 3M Call Imp Vol —USOSEKV3M Curncy 6O 5O 4O 3O 2O 1O O S&P500 sell-offs vs. S&P500 and SEK correlation 16OO 15OO 14OO 13OO 12OO 11OO 1OOO 9OO 8OO 7OO It) SPX Index — — Correlation (SEK and SPX) a. es. am % ... " I I . 1 % I ) i i 1 6OO Figtirfe7: Bl oonita -Pg8( as of Verc1811) 0"4 Dec-O9 Aug-1O Apr-11 12O% 1OO% 8O% 6O% 4O% 2O% O% -2O% - -4O% - -6O% 8O% Historical USD/SEK exchange rate 9.5O 9.00 8.5O 8.OO 7.5O 7.OO 6.5O 6.OO 5.5O Skioun . rce: -O8 De Jun Bloomberg (as of c09 2011) Jun-1O Jun-11 Jun-1O Jun-11 Jun 07 Jun-O8 Jun-O9 Source: Bloomberg (as of Dec 2O11) EFTA01117941