Portfolio Strategy

Global Market Commentary 07 January 2011

Portfolio Strategy
2011 Equity Trading Calendar
Key points
As we all get back from Holiday Season its time to look forward to the next wave of trading and back office holidays. In this report we: Provide a full 2011 calendar for trading and settlement holidays in developed markets Show users how to access these calendars online using EDGE Show users how to see the same information for Emerging markets in EDGE

2011 Global Trading Calendar

Planning your trading desks vacations has never been easier. In the appendix to this report we include a 2011 Developed Markets Trading Calendar.

Trading & Settlement Holidays for all Developed Markets

This includes trading and Trading & Settlement holidays for all MSCI developed countries, in a month-to-a-page format. The Trading Calendar is also color coded to separate the key functions of trading and settlement (see exhibit 1). We also include note and reminders for large index rebalance dates.

Holidays for Emerging Markets Online in EDGE

The details in the attached calendar are also available online, in our EDGE website (go to TRADING menu/Market Holidays, see Exhibit 2). The online version also allows you to view: A whole year (for any single country) Actual settlement dates for an trade date during the year Net Cashflows by date for your own trade list, trading date & desired trading aggression level Emerging market calendars too.

Exhibit 1: Colored legend indicates holiday type and settlement based on selected date.

Exhibit 2: Trading calendar also online in EDGE

Online calendar in EDGE/Trading menu

Source: Credit Suisse Portfolio Strategy Source: Credit Suisse Portfolio Strategy

How do I get Access to EDGE?

Go to https://www.credit-suisse.com/edge
If you do not already have a username & password, send an email to your Derivatives & Portfolio Strategy contact, or to creditsuisse.qtds@credit-suisse.com. If you are already permissioned but forgot your login information, go to the site and enter your email address in the Forgot your password box. We will reset your credentials and send you a new one.

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Additional Tools Online

Compute settlement dates for your own trade day
EDGE also includes a settlement date calculator. Simply select your preferred trade date (it can be in the future or the past) and EDGE will compute the expected day the stock will settle taking into account holidays and settlement conventions (T+2 markets etc).
Exhibit 3: Compute your own settlement dates using the online calendar.

Use Trade Date Picker to enter your expected trade date

Trade & Settlement dates computed account for: T+2 settlement rules in Germany Trading holidays in Austria and Finland
Source: Credit Suisse Portfolio Strategy

12 month Calendars, for all countries

Calendars for the whole ear are also available in EDGE, in a one-page-percountry format. Using the country navigation menu on the left of the screen, search and click on each country to see trading and settlement dates for that country for the whole year.
Exhibit 4: All countries available online

This page includes a realtime clock to show whether the market selected

Live market Clock & trading hours

Want Emerging Markets? Theyre online too!

Select Brazil 12 month calendar The whole year calendars in EDGE include Emerging markets. The region navigation menu includes 50 countries from around the world, including Africa, Latam, China and eastern Europe (see Exhibit 4).

Source: Credit Suisse Portfolio Strategy

Portfolio Strategy How do I find Settlement conventions?

Guides that outline the rules and regulations of major markets around the world are also available in Edge. These guides provide key information for PMs and traders to understand when and how they can trade in each market.
Exhibit 5 Market Guide section includes settlement conventions by country

To navigate to Market Guide section

To navigate to Market Guide section

Germany T+2 convention

Advanced EDGE Calendar & Trading Tools

In the new Trade Planning section of EDGE/PORTFOLIOS, you can estimate cashflows out multiple days for very large trades. This is especially useful when planning large transtions or cashflows.
Exhibit 6 EDGE will forecast the value of residuals over multiple days

Forecast Multiday Residuals

The trade Shedule in EDGE/Tradeplanning section computes the rate of completion thruought a trade. For large trades, this will carry over to multiple days, until the lease liquid stock is expected to complete (Exh 6). Select your custom portfolio and trade strategies here For very large trades, EDGE forecasts residuals, over multiple days.

Forecast MultiCcy Settlements

By combining all of the calendar and market convention features above, with our pretrade liquidity forecast, EDGE Currency Schedule estimated the was cash will settle from these large trades. Note (See Exh 7) that: EUR includes german trades with T+2 settlements. USD trades take 2 days to finish. But on day one the US stocks were a net sell of $273m. Combined, the trade is expected to case a cash inflow (selling) or around US$243m on T+3

Exhibit 7 Currency schedule then computes the settlement dates for large trades

How do I load a trade into EDGE?

For details of how to load baskets (portfolios or trades) into EDGE, click on this report: EDGE Update: **NEW Portfolio Tools**

The computation of residuals is then married with the settlement calendar information, to compute expected

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January
Most countries celebrate New Years with a trading and settlement holiday. US Markets close for Martin Luther King day on Jan 17

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February
Chinese New year affects Singapore, HK and Chinese markets for a number of days early in the month. MSCI index rebalance effective MOC on Feb 28th

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March
Quarterly Futures Expiries (mostly on Friday 18 March). Quarterly index rebalances for many indexes (on Friday 18 March), including SPX, FTSE, ASX, TSX, DAX, Stoxx, MIB, CAC, Xinhua 25.

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April
Easter around 23 & 24th affects many (but not all) countries.

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May
MSCI index rebalance effective MOC on May 31st. Japan recognizes 3 consecutive holidays on May 3rd, 4th and 5th: Constitution Day, Greenery Day and Childrens Day. This is known as Japans Golden Week.

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June
Quarterly Futures Expiries (mostly on Friday, June 17th). Quarterly index rebalances for many indexes (on Friday, June 17th), including SPX, FTSE, ASX, TSX, DAX, Stoxx, MIB, CAC, Xinhua 25. In the US the annual Russell Reconstitution is expected on Friday, June 24th.

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July
US recognizes 4th of July Independence Day.

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August
MSCI index rebalance effective MOC on August 31st.

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September
Quarterly Futures Expiries (mostly on Friday, September 16th). Quarterly index rebalances for many indexes (on Friday, September 16th), including SPX, FTSE, ASX, TSX, DAX, Stoxx, MIB, CAC, Xinhua 25. US recognizes Labor Day on September 5th.

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October

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November
MSCI index rebalance effective MOC on November 30th. US Recognizes Thanksgiving on November 24th.

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December
Quarterly Futures Expiries (mostly on Friday, December 16th). Quarterly index rebalances for many indexes (on Friday, December 16th), including SPX, FTSE, ASX, TSX, DAX, Stoxx, MIB, CAC, Xinhua 25 and Nasdaq Annual Review. Most countries recognizing Christmas Day on December 26th.

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