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* EUR is underpricing Brexit and that shorting Euro was a cheaper way to express such a view via options. CHF tends to perform strongly when risks become more localized. Closed on 28 Aug 2016: Buy EUR/USD 6m _1.00/1.20 strangle for 155 usd pips (off 1.1020 spot, DF two-way vols 12.1/12.3) (29 Feb 2016) *Owning low delta EURUSD strangles may be an effective and cheap double hedge in the scenario that either the US enters a recession or the European debt crisis resurfaces. Options Risk Statement Potential Risk at Expiry & Options Limited Duration Risk Unlike owning or shorting a stock, employing any listed options strategy is by definition governed by a finite duration. The most severe risks associated with general options trading are total loss of capital invested and delivery/assignment risk, all of which can occur in a short period. Investor suitability The use of standardized options and other related derivatives instruments are considered unsuitable for many investors. Investors considering such strategies are encouraged to become familiar with the "Characteristics and Risks of Standardized Options" (an OCC authored white paper on options risks). U.S. investors should consult with a FINRA Registered Options Principal. For detailed information regarding the risks involved with investing in listed options: http://Awww.theocc.com/about/publications/character-risks.jsp. Analyst Certification |, Adarsh Sinha, hereby certify that the views expressed in this research report about securities and issuers accurately reflect the research model applied in such analysis. | also certify that no part of my compensation was, is, or will be, directly or indirectly, related to the specific recommendations or view expressed in this research report. Bankof America Merrill Lynch Liquid Insight | 22 September 2016 5 HOUSE_OVERSIGHT_010613