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Chart 31: Among the 50 names highlighted by BofAML equity & credit strategists, the 15 below have liquid options. Notably, Shell equity shows best value vs CDS (highest div yield - CDS). Enel risk reversals price lowest across names & vs history (large bubble size denotes low %-ile of risk reversal price vs 5y history) e@ Automobiles & Parts @Oil&Gas HealthCare @RealEstate O@Telecommunications Utilities -0.10% Highest div yield vs CDS Bubble size legend: The bigger the bubble RDSA NA the cheaper the risk reversal versus history* 0.15% 0.20% 0.25% 0.30% 0.35% 0% -~0.40% -~0.45% 0.50% Cheapest risk- 0.55% reversal i 0 2.0% 2.5% 3.0% 3.5% 40% 45% 5.0% 5.5% 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% Projected 1y div yield** - CDS Current price of 3m -25d put / +25d call bullish risk reversal Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17. *5-yr percentile of 3m 959%f-105%f bullish risk-reversals. **Projected dividend yield = implied 12m dividends/current stack price, where implied 12m dividends are derived from mid-single stock dividend swap pricing. This screen is not a recommended list either individually or as a group of stocks. Investors should consider the fundamentals of the companies and their own individual circumstances/abjectives before making any investment decisions Chart 32: Korean-issued SX5E-linked structured products in May1/7 fell Chart 33: We estimate current vega outstanding from Korean-issued to €0.9bn from €1.3bn in Apr17 SX5E-linked structured products sums up to €53mn vega and would peak at €81mn vega should the SX5E fall to 2875 (all else equal) EUR bn . 35 m Issuance of SX5E structured products in South Korea SX5E Vega (from Korean structured product issuance) 90 M ax vega: 2.0 80 €81mn at ~2875 45 70 , — 60 = 1.0 0.9 w 50 > 40 0.5 > 30 20 0.0 tttTTTMONMONMNNNDODOWOWOORRRER 10 = 08 = 0 BOS SO 8 = 2000 2500 3000 3500 4000 — 4500 Source: BofA Merrill Lynch Global Research. Monthly Korean structured product issuance data from Jan-14 to May-17 Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17. SX5E Dec18 div futures are high relative to Dec17 and BofAML div forecasts SX5E Dec18 dividend futures are trading at €122.4 (6.8% higher than Dec17 dividend futures), which is unusually high relative to history. Indeed, Chart 34 highlights that the second DED future (currently Dec18) is at its highest level in 8 years relative to the first (currently Dec17). Moreover, Dec18 div futures are trading only 1.5% below BofAML fundamental bottom-up forecasts of 124.2 for 2018, suggesting low upside potential if BofAML forecasts materialise (Chart 35). deg oct Bankof America 16 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch HOUSE_OVERSIGHT_023590