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rr Sh Appendix 3 - Indicative pricing/ levels Table 5: Latest indicative pricing/ levels for cross asset trades Asset Trade idea Indicative price / level Long European Quality Yield Screen (yield) 5% Long SXDP Index 681.6 Equities Long Nikkei 18307 Long European index dividend futures 113.4 Long MSCI Asia ex-Japan 525.7 Long RTY short SPX 2y variance swap 37" 3000-2850 SX5E put spread Dec 16 expiry 1.20% Equity vol Long NKY short SPX Dec 18 variance swap 6vols Long SX5E short SPX Dec 18 variance spread 6vols Eurostoxx 2y/3y put calendar 1.99 Short EUR/SEK 9.762 Long USD/CNH call 0.56%USD FX Short GBP/USD 1.250 Long USD/AUD 1.342 Long RUB/ZAR 0.213 2s-5s-10s fly (bp) 11 Fixed Income Short US 10y real rates (bp) 50 Paying 5y GBP real rate swap (bp) -204 Buy 30y US IG Industrial spreads (bp) 187 Credit Buy basket of Euro ATs 5.80% Long Xover short Main (ratio) 4 22x Source: BofA Merrill Lynch Global Research, Bloomberg. Note: *all levels and prices as of 29/1 1/2016 at ~3pm or most recent local market close. **This is a theoretical level which may differ from actual tradable prices. ***This level is obtained by bootstrapping At-the-money forward volatility levels, does not represent a tradable instrument. The tradable strike of an FVA will likely differ considerably. Appendix 4 - Closed trades Table 6: Closed trades Closed Asset Trade idea Strategist Open date date Long Nikkei Kenji Abe 2201/20 01/04/2016 Long MSCI EM 1x 1x call ratio Ajay Kapur 01/03/20 18/04/2016 Equities Long MSCI EM 1x 1x call ratio Ajay Kapur 01/03/20 18/04/2016 Long US Energy Savita Subramanian | 07/09/021 28/11/2016 Long MSC! EM Ajay Kapur 19/04/20 30/09/2016 Long SXDP Index vs Short SX3P Index Ronan Carr 22/01/2041 28/11/2016 Long June V2X call spread collar Abhinandan Deb 01/04/20 18/04/2016 Long Kospi fwd vol 6M/18M William Chan 22/01/201 28/11/2016 Short June V2X put Abhinandan Deb 01/04/20 Expired Long (30-35) V2X Jul call spreads Abhinandan Deb 18/06/20 Expired Long 2050-1950 S&P 500 Jul put spread Abhinandan Deb 18/06/20 Expired Equity vol Long NOK/USD Kamal Sharma 01/03/20 04/05/2016 Long RUB/ZAR David Hauner 22/01/20 17/05/2016 FX Short EUR/SEK Kamal Sharma 22/01/20 08/07/2016 Long JPY/KRW Adarsh Sinha 22/01/20 31/03/2016 Long USD/CAD lan Gordon 28/07/20 07/07/2016 Short EUR/JPY Athanasios Vamvakidis | 21/01/20 30/09/2016 Short EUR/USD Athanasios Vamvakidis | 08/07/20 04/11/2016 Short EUR 5Y5Y inflation breakevens Ralf Preusser 22/01/20 23/01/2016 Buy 30y real rates (bp) Ralf Preusser 22/01/20 24/05/2016 Receive EUR pay US 5y5y fwd (bp) Ralf Preusser 22/01/20 27/05/2016 Fixed Sell 6m 2s-5s-10s OTM receiver fly Shyam R. Rajan 07/09/20 08/09/2016 Income US +15y IG credit (total return) Hans Mikkelsen 2201/20 04/05/2016 US +15y IG credit (Govt OAS) Hans Mikkelsen 04/05/20 28/07/2016 Paying 2y3y GBP real rate swap Mark Capleton 02/09/20 12/10/2016 3y 2s-10s US flattener Shyam R. Rajan 27/05/20 10/10/2016 Source: BofA Merrill Lynch Global Research. Trades closed in this report (or recently) in bold. 24 Global Cross Asset Strategy - Year Ahead | 30 November 2016 Bankof America 2 Merrill Lynch HOUSE_OVERSIGHT_014455