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Chart 22: May has typically been the month with the least amount of ESTX50 realised volatility. This has also been true in 2017 thus far 12% '07 to'17 > '87 to '07 = 10% mmm '97 to '07 2 ——— Overall trend (‘87 to '17) S 9% ——2017 YTD co 3. 3 6% B 4% = i?p) 2% 2s & 0% = -2% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Source: BofA Merrill Lynch Global Research. Data: 1-Jan-87 to 16-Jun-17. Chart 23: ESTX50 1M 100-110 call skew is near-flattest since 2008 12% 7 ____§X5E 1M 100-110 (%fwd) call skew = ———Current 10% 8% 6% 4% 2% 0% -2% 08 «=8='09 «6100 11 12—C—C 18 1401516 M7 Source: BofA Merrill Lynch Global Research. Data: 2-Jan-08 to 16-Jun-17. The overall seasonality in ESTX50 realised volatility since 1987 (ESTX50 inception) has been one of relatively lower vol during the summer months vs. autumn. In particular, May stands out as the lowest vol month across most 10 year horizons, and this also appears to be the case so far this year. We note that Apr- 17 vol stands out mainly due to the 4% ESTX50 move on the Monday following the first round of the French presidential elections. ESTX50 short-dated (1M) 100-110 (%fwd) call skew has flattened considerably since pre-French election (23-Apr) levels and currently stands near 9 year+ lows. Consequently, limited upside structures (@.g., call spreads) price attractively both from an ATMf volatility and skew basis. Table 4: Volatility measures of major equity indices in the EMEA region (data as of 16-Jun-17) Equity 3Mth ATM implied volatility 10D realised volatility {2Mth-3Mth ATM i-vol spread 3Mth 90-110 skew index Weekly Weekly Weekly Weekly Weekly Current change 2Yrpercentile Current change 2Yrpercentile Current change 2Yrpercentile Current change 2Yrpercentile return ESTX50 13.4% 0.3% 2% 9.6% 2.0% 17% 3.4% -0,2% 99% 8.4% 0.9% 72% -1.2% FTSE 10.0% -0.4% 1% 8.6% 1.1% 24% 3.6% 0.2% 100% 6.2% 0.2% 9% 0.8% DAX 12.6% 0.3% 1% 12.7% 2.9% 29% 3.9% -0,2% 100% 8.5% 0.7% 67% 0.5% CAC 13.3% 0.3% 3% 10.3% 2.0% 21% 2.6% -0.1% 100% 8.6% 1.2% 77% 0.7% SMI 11.4% 0.1% 3% 12.2% 3.3% 44% 2.4% -0.1% 96% 6.5% 0.1% 27% 1.3% RDXUSD 25.9% 0.9% 29% 16.2% -1.2% 17% 0.9% -0.4% 58% 5.2% 0.4% 27% -3.7% TOP40 16.9% 13% 17% 10.6% 0.2% 15% 1.7% -0,5% 47% 8.0% 0.4% 36% -3.0% ISE30 20.2% 0.4% 6% 10.1% -1.4% 5% 3.1% -0,3% 81% 6.9% 0.1% 74% 0.8% Source: BofA Merrill Lynch Global Research 14 — Global Equity Volatility Insights | 20 June 2017 moraine HOUSE_OVERSIGHT_014985