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Chart 3: Equity stresses fell by the most last week 0.1 0.05 0.03 0.01 0.0 0.1 0.2 03 0.4 05 06 07 08 0.9 Commodities Credit FX Rates Equities mLatest stress (02-Jun-17) | = Change in stress Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17). Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*) Chart 4: Among regions, Japan & US stresses declined the most gas Stress fall @@s Stress rise 100% 90% 80% 70% 86% 33% 82% Q, 76% 70, 63% 61% 61% 61% sg% %-ile of abs chg in stress vs history* 60% 50% or com Qa $ 6 88 & & Ep 5 Sra SF 2 > oO > 5 6 E235 885 4h G D es 2H 2 xneck 8B OAS ” = Boe FG 8220 2 eS 2 9 Saes § E> eco FB -s FF = © 78 Bo £5 & = SQ og | o 2 Source: BofA Merrill Lynch Global Research. * %-ile of weekly mave in stress vs all historical weekly moves (earliest 3-Jan-00). Bar colours represent rise (red) or fall (green) in stress. 1wk change (26- May-17 to 2-Jun-17). 0.10 0.00 -0.10 -0.20 -0.30 -0.40 -0.50 EM Europe US Japan mLatest stress (02-Jun-17) © Change in stress Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17). Chart 6: Global volatility & credit spread stress in the GFSI mLatest stress (02-Jun-17) = Change in stress 0.4 0.2 0.0 -~0.2 0.4 -0.6 0.8 -1.0 -1.2 -1.4 0.05 0.03 0.00 FX Vol HY CDS IG CDS Equity Vol Rates Vol x pe) = cS = > fo) vp) Commodity Vol Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17). Bankof America Merrill Lynch Global Equity Volatility Insights | O06 June 2017 3 HOUSE_OVERSIGHT_023577