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BofAML GFSI™ X-Asset Risk Landscape Stress now below normal for all asset classes The indicator was little changed last week, finishing at -0.23. ¢ Stress is now in benign territory across all five asset classes: Stress in across all asset classes (except equity) declined last week. Notably, rates stress turned negative (benign territory) and stresses across all five asset classes are now negative. « Stress in Equity skew rose as ESTX50 and (to a lesser extent) S&P500 skew steepened; indeed the gain in ESTX50 skew was the greatest across GFSI sub- components (Chart 2) and also historically significant (Chart 5). ¢ Commodity-related stresses fell the most across asset classes (Chart 3), led by declines in Crude and Gold vol (Chart 2}, reversing some of the gains after geopolitical tensions in the Middle East rose in recent weeks. Chart 1: Latest* stress across GFSI sub-components 2.0 12 Bo 15 me a == y Red shaded area highlights components in GS Risk Green shaded area highlights components in » 1.0 so © Bearish territory “—* Skew Bullish territory & 05 Flow a 00 - 2 05 © 410 -1.5 4 mS es cs erarg “ea ae aa BDaoor Ew ec ® ia oi rate npe SEO SEES DEBS EBSBRSEEHSHE EES SSS SSS ESSSSEsResesHssss UMeapawnntrbebouZFrrAszsnamaPaea GPRS GZtrSDSUSFtUSse oat easawrFso ou ARS exp sSYREERS OHESERELL EPH FHRLPRPEEEXPESELSESEES C2 eee BOS See BSCE S SCALE SORES SESE ZY wWZS8SES5 zzz aS tae g eEtZtRaO#tDTHHVNA2eOLVARBGtinsae ft OO Rat SPaAa nH BF HSBPSSE 2 eSLFR Ba 6€ ae tH soe>xxAwvsBSEG” B S8@t& 682 an 822 eqatitsF ox ite) EEX Ee 8s e2eE OeezGEELRZL:2 ce S2@PFtP5 242 E25 € F 55 aust eozt-=szg- CAG uweo caportrtoat aia 78 8ogs oma 2) 2nE”n 3 2 BS se a 2 co £E co 2 2 © ane > 5 =u Fos - 3 Bas = 4 = > oO = os Ore Ww es @w Ze fom 2 2 oa e <= = >= 8 = oD Source: BofA Merrill Lynch Global Research. *Latest as of 16-Jun-17. Chart 2: Change** in stress across GFSI sub-components 0.8 y19 . 2 4 Gas Risk o ~N N B04 ss =e ~ “> Skew = oe Flow “td fo) © 00 ™T a ee ee a a ee os se ee ae ee ee os i re rrvTTTTT ine] P04 gaan = oe FR Ss (s) S656 08 ; ; ; ia saaks a =e i) ore eso asnonoee ease Psoeaogar?rs ® [a4 BS ESBBSSHBABESS ESE, ESS eGE SSS SEER RES ELSSRESBESSESS Au AFeaer- Messer -FZ<SeHFf eSGfteusat_ COeaeatosear- Frage er rpg ZS5GHUE SESEHHHRESHPSEHREZFELZLVEREPMEERGLESSSERZSERS RSLS eB 22S8n900 Cet a gana Ss, P0OfRG B80 e 7, SBS uz aozen La -F=egesagsg Hern LE #te#eeoEovOmM DORMXEA 5 Le Satis 2 Onadane2z#se2E6EQ97MN Ql 25 ans AxGHDSSSKSeavsetrtzAnassgsee®s SPxBerTrerERgEsSS xe FSEaeRsu mus "rr f#38 8h er Ss §t 5 AASSS8SEtTIAGZSZRAt* eEetEXe Ss eER2=EBE f= a mpomAao 5 = ‘p £ Sea see De? ans >” «a g © 22 290 = 2 a SeeCua"e2e¢es5 =F a om ral ral ao 8 O uw a 2) ee £Ee ga ao 8 1S) > 8 foe] Source: BofA Merrill Lynch Global Research. **Latest as of 16-Jun-17. Change vs 1 week prior (9-Jun-17). The GFSI Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1} suggested a 17.4% overweight position on 16-Jun (vs 13.0% OW as of 9-Jun}. The percentages of Bullish, Bearish and Neutral GFSI components (as used in the Risk Allocator) as of 16-Jun were 34.8%, 17.4% and 47.8% respectively. Z Global Equity Volatility Insights | 20 June 2017 oat a HOUSE_OVERSIGHT_014973