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 bn mKorea mEurope £52016 annualised , . ah m Issuance of SX5E structured products in South Korea Total , 30 annualised 20 Rapid growth of SXSE Issuance slowed expected: 20.5 products in Korean 25
& down due to structured market *
China sell-off and
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10 0.5 i 5 0.0 astatrwrwrwr Ts Ow WO WM WM HO OO OO © 0 ee ee 463 ¢e eugase ei sag 2013 2014 2015 2016 SSSSZSSESEFSSIESES 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) ome Vega (Korean issuance) 480 EUR168mn at ~3220 120 7 Max vega: === Vega (European issuance) 460 | spot level 400 4 EUR111mn at ~3400
spot level = 120 = 80 = ce 100 m= 60 in 380 5 — A s, 60 od > Max vega: > 40 > 20 EUR61mn at ~3000 20 0 spot level 0 -20 “20 aoa Beeseseseeeeeeesee SSese se see seseeseseese se sese ese 8 ANNNN HO YM YO OMT tT FT TF YH en vr oaoagoagagyteaesogaq#4#rtegseas ANANKNN HHO MOOT St TF HB SXS5E spot level SXSE spot level Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 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 <> ; re Merrill Lynch Global Equity Volatility Insights |09 August 2016 13
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