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Chart 23: European issuance of ESTX50-linked products rose to €9.9bn Chart 24: Issuance of ESTX50-linked structured products in Korea was in so far in 2016 (vs €7.2bn as of 4-Jul) line with the 2016 issuance trend n Hi mKorea sEurope £52016 annualised , a i i Issuance of SX5E structured products in South Korea Total , 30 annualised 20 Rapid growth of SXSE Issuance slowed expected: 20.5 " products in Korean down due to 95 structured market * China sell-off and 90 poe 1.9 i . new local H : - . regulations 15 Pt "0 4 10 0.5 . 5 0.0 astratrwrwrwr Tyr OOH WO WM HO OO OO © 0 ees eg ae 243442 44 435 2013 2014 2015 2016 SSESFZSSFSFZSLIEEF Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 Source: BofA Merrill Lynch Global Research. Data as of 31-Jul-16 Current vega outstanding near at least 2.5y high as European Issuance picks up We estimate the current vega outstanding in SX5E-linked products (issued in Europe and Korea) sums up to €143Mnh, which is in its 97“ percentile since Jan-14 (when our records begin). Moreover, this could rise to as much as €169Mn if the SX5E rallies to 3280 (assuming no net SX5E-linked issuance', Chart 25, 26 and Chart 27). Chart 25: We estimate the current vega outstanding in SX5E-linked Chart 26: The ESTX50 vega outstanding due to structured products structured products is EUR 83Mn (European issuance) and EUR60Mn issuance could rise to EUR168Mnh, assuming no new net issuance (Korean issuance) ; Max vega: ——=Vega (Aggregated issuance) em Vega (Korean issuance) 480 EUR168mn at ~3220 120 Max vege: «=== Vega (European issuance) EUR111mn at ~3400 spot level 160 4 spot level 100 = 120 S 80 w 100 = a 60 im 80 = WwW = 40 Bo aD > Max vega: > 40 > 20 EUR61mn at ~3000 20 0 spot level 0 -20 20 na et at SRESSSsSeessesee28838 SSS8SSBS8ESB8SBESBSBEBSBBSSBSBSSB AN ANN MO OO OS TTT TH ON SF O DOAN FT O DON AT O WO OD NN NN N OO OO OO MOM MO DS TF Tt FT OO SX5E spot level Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 SX5E spot level Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 ‘i.e. notional of newly issued structured products = notional of expiring structured products Bankof America <> eg boc Merrill Lynch Global Equity Volatility Insights |09 August 2016 13 HOUSE_OVERSIGHT_025990