BofAML GFSI™ X-Asset Risk Landscape
Stress now below normal for all asset classes The indicator was little changed last week, finishing at -0.23.
¢ Stress is now in benign territory across all five asset classes: Stress in across all asset classes (except equity) declined last week. Notably, rates stress turned negative (benign territory) and stresses across all five asset classes are now negative.
¢ Stress in Equity skew rose as ESTX50 and (to a lesser extent) S&P500 skew steepened; indeed the gain in ESTX50 skew was the greatest across GFSI sub- components (Chart 2) and also historically significant (Chart 5).
¢ Commodity-related stresses fell the most across asset classes (Chart 3), led
by declines in Crude and Gold vol (Chart 2}, reversing some of the gains after geopolitical tensions in the Middle East rose in recent weeks.
Chart 1: Latest* stress across GFSI sub-components
2.0 420 Bo
154m = © Sf Red shaded area highlights components in fi Green shaded area highlights components in 2 1.0 so © Bearish territory “—* Skew Bullish territory ® 05 Flow a 00 - 2 05 © 40 -2.0 : mes errarg ea ar aa Basn> ee ec © oc eB raxzsese SEO SEES DEBS EBSBRSEEHSHE EES SSS SSS ESSSSESsREsesHRsEES Ww 2? D woueduwu a SS On, Px Ow Weow ~ ee» ep pk fp Bet dO oe ow a aoann wn =n a nw” a) oO wn ° HAE SES SSV2MBPBEBS A2HESEHRESL CP NDHDBKL WY EEFEEXT ES ERC SBSBEEDS O2>T8EEBe@o0s5 22a FGOrsgsseogee SONORA S ERA SSF u ze se' FF e07 ao EX xX GB TtDAHHA PG Loe st EReaertoaoer 208 DF —>SB &—Sega2eoB (oa a Cc Az n oO 2 [o) a w > Oo <x” aS$<setZnnuer>xxRPo SSnl2®SRBSBeFESpoeeeseotarexegPprEEEZSE S6S BE mesStrseBaBRELE Sf§rtaat se sa E 62 Au sr tS Seu aZto a o 8 ze a > “@ co ne) a0° zp OF 2 =u = 23s > o Bas — -- = s ro) = os > =. > o”€g uo n nw = fo} 2 = of ere ce & @ Ww Aa fou iin Ss ian (= x= z >= 8 = co oo ue a 38 6 82° = iS) a > Source: BofA Merrill Lynch Global Research. *Latest as of 16-Jun-17. Chart 2: Change** in stress across GFSI sub-components 08 12 . 2 4 Gas Risk £ NN o> Skew 6045 s5Sn = oe Flow o o © 00 T T T T a a oe oe a i i Ee Ee Be Be Be T a T 1 2 rrrrriyy oO 2.04 =] Xi N = oe F978 oO es 08 ; ; ; [a saars QOeg 3S so>e “ou a sooxek seanpevoeaars ® [a SST ESRBBSTSHBABESS ESE, ES Esa SSS ST ESEBRESELSSRESBESESS HAtxvFeaer- De sar -GdeFfefPteuwseVoeetuexy er fuser r2eFKFSGHwUEL SEG ENDNDH ESE HR BSPREZTEL HD EHR EBHEED SO ExsSBRZREBRE GS Cy 2 @ BSSz-oo0oooFtABeBALRALZTOoO SBS ESOC LR F777, Fz rsegerPBTtrFzreasgeE >< mA TT YTStOs DOG ~? ia Cem tT Sseostuv aoc aes aSr>sags CPA REE EVE © ZzSoeQc05 FP and 5SB2e2ae° PPE E AP a BER BA ° Mx nDS FER 5 E2RB 5 B =a=as2se 8 PEELS BSR EEL CEH s 25>xeFEQernVS um 2FO0nHt oGEt AAFPs RS SFtTSESHZASBAX* BPEGVEHe PSF seaQESS £ 6 WeOm ao = =Ooos Cet £828 eR 2°SFtB°-B D io) =e ro) = 6 Qo eer sun ekaoe ao 2 >t =i te > eget A28Bss = O WW a oO ee =e gan ao 8 2 = 8 foe) Source: BofA Merrill Lynch Global Research. **Latest as of 16-Jun-17. Change vs 1 week prior (9-Jun-17). The GFSI Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1} suggested a 17.4% overweight position on 16-Jun (vs 13.0% OW as of 9-Jun}. The percentages of Bullish, Bearish and Neutral GFSI components (as used in the Risk Allocator) as of 16-Jun were 34.8%, 17.4% and 47.8% respectively. ; a ; Bankof America 2 Global Equity Volatility Insights | 20 June 2017 zi guinty yf lnsighies | 20.) Merrill Lynch
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