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Chart 27: The current vega outstanding in the ESTX50-linked structured products is EUR 143mn, which is in the 97" percentile since 3-Jan-14 EUR Mn SX5E structured products vega notional 160 7 an enanene Current SX5E structured products vega notional outstanding 44g. proctitis eee eee ee ceeeeeee eee een ne 97th percentile 120 100 80 60 + s+ + s+ + + Ke) Ke) Ww Ww Ww WwW oO io) oO oO 2535253 235 28823 Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 Table 3: Volatility measures of major equity indices in the EMEA region (data as of 05-Aug-16) 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 19.2% -0.6% 31% 16.6% 5.6% 29% 1.0% 0.2% 87% 8.4% 0.1% 79% 0.6% FTSE 12.6% -0.7% 21% 10.9% 5.2% 29% 3.4% 0.5% 100% 7.5% 0.0% 10% 1.0% DAX 17.8% -1.1% 19% 13.6% 2.9% 11% 1.8% 0.4% 96% 8.6% 0.4% 78% 0.3% CAC 18.5% -0.7% 30% 15.4% 5.3% 27% 0.9% 0.3% 88% 8.6% 0.3% 86% 0.7% SMI 13.8% -1.2% 25% 14.5% 3.6% 51% 1.7% 0.6% 100% 7.6% 0.8% 57% 0.8% RDXUSD 28.2% -1.6% 6% 19.5% 9.2% 8% 1.1% 0.3% 89% 6.0% 0.1% 15% 1.7% TOP40 19.4% 0.3% 59% 11.1% 2.1% 19% 23% 0.1% 91% 8.7% 0.2% 63% -1.2% ISE30 29.9% 0.1% 96% 25.2% -21.6% 76% -0,9% 0.0% 7% 6.3% 0.1% 77% 1.0% Source: BofA Merrill Lynch Global Research European volatility: Sector snapshot Table 4: Volatility measures and indicative option prices for major European sector indices (data as of 05-Aug-16) Bearish — <<<< --------------------nnecnnnnecnnenncnnencnnnnnnns >>>> Bullish 3Mth 90%-110% risk Equity 3Mth ATM implied volatility Real vol* 3Mth 95%-85% put spread** 3Mth 100%-110% call spread** reversal™™ index Current Current Current price Weekly Max price Weekly Max price™* Weekly Weekly 2Yr (%of change 2Yr payout (%of change 2Yr payout (%of change 2Yr Weekly Current change %-ile Current spot) (bps) %-ile ratio spot) (bps) %-ile — ratio spot) (bps) %-ile — return SX3P (Fd&Bv) 13.0% 27% 6% 12.9% 0.9% 27 15%) = NT 2.5% -18 19% 39 0.5% 33 20% = -0.5% SX6P (Utils) 164% -10% 32% 20.6% 1.2% -10 31% 83 3.0% -11 45% 3.3 -0.6% 0 22% = -1.1% SX7E (Banks) 33.5% -23% 16% 48.0% 2.6% -13. 82% 3.9 4.0% -T 15% 25 0.5% 0 37% = -1.8% SX7P (Banks) 28.2% -2.8% 15% 39.8% 2.2% -T 1% 46 3.8% 7 11% = 27 -0.5% 7 35% 0.0% SXAP (Auto) 25.5% -1.1% 56% 33.4% 2.0% -T 52% 49 3.7% 8 64% 27 -0.6% 3 21% 0.6% SXDP (Health) 15.3% 05% 24% 12.7% A% 5 27% 9.1 2.8% -T 35% 3.5 0.4% 3 16% -0.9% SXEP (Oil&Gas) 23.5% 04% 44% 23.6% 9% -2 44% 54 3.6% 4 44% = 2.8 -0.6% 3 28% -0.4% SXIP (Insur) 23.6% 04% 86% 31.7% 8% -2 84% 5.6 3.6% 3 88% 28 -0.6% 2 15% 0.8% SXKP (Telecom) 224% = =-0.2% 81% 234% 1% -{ 15% 5.9 3.6% -2 87% 828 0.7% 1 1% 0.5% SXNP (Indust) 21.5% 0.0% 67% 21.9% 1% 0 M% 58 3.4% 0 66% 29 0.4% 1 14% = 0.2% SXPP (Basic) 32.4% -1.6% 58% 29.7% 2.5% 1 53% 3.9 3.9% 5 59% 25 0.4% 2 8% 1.3% SXQP (Prsnl&HH Gds) 154% 0.0% 33% 16.9% 0% 0 25% 97 2.8% -{ 34% 3.5 0.5% 1 17% 0.0% SXRP (Retail) 22.1% -0.1% 90% 23.4% 1% 0 89% 5.9 3.5% -{ 94% 28 -0.6% 1 T% 0.5% SXTP (Trvl&Lsre) 199% 01% 55% 26.9% 1% -{ 65% 6.0 3.2% -{ 53% «3.1 0.2% -1 69% 04% Source: BofA Merrill Lynch Global Research *Real vol = EWMA (Exponentially Weighted Moving Average) volatility, which measures historical price volatility but assigns greater importance to recent returns. Sigma(t)*2 = 0.94*Sigma(t- 1)*2+(1-0.94)*r(t}*2, where r(t) is the return on day t. “Indicative mid prices; strikes as % of forward ***Negative values indicate that the bullish risk reversal takes in a credit. BankofAmerica <2” 14 Global Equity Volatility Insights | O09 August 2016 Merrill Lynch HOUSE_OVERSIGHT_025991