TM ‘ d 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 ‘oS a ; : 15 Wes Red shaded area highlights components in = Risk Green shaded area highlights components in ” to so ‘© Bearish territory Skew Bullish territory & 05 Flow a 00 a _ - D 05 al | © 40 15 DUNS S 2.0 : ; ; abe ael Crave eereazraere FaQOaOaSsFBPVASrFeEere na nAeHkBEe sSegenaersrazrSELrCArySSES re oe ee 2 PGAXSsxpaeeslttER> $l Sea eEVESS EL nnBstEBZVFEFESEESEZESOCELSESEEESB GS2TSeRe eso ssssesoOSS sala SOeaescsssageRr~uzssssztzszacs SS Sse Cee ESAS SR ESS ES Se ERE aepeeSeastSEBPSKReESCEKELZE CAFE “SOT SS 3 SStC SUF APSAS B88 =z S82 B SHREK ZR EAE D aoe & a cr a => .e O GQ Poa. F > 2u 5 53 3 Ds 2 nig Ow 5 tol = =oeg zg = = Ore oc && aa @ Z = 8 = S=ES = oD Source: BofA Merrill Lynch Global Research. *Latest as of 16-Jun-17. Chart 2: Change** in stress across GFSI sub-components 08 415 5 os Nfow om Skew 2” CSS Flow Nf fon) oO T T T T a T T T ss T — a T=T T T T TT wT 1 Po 4 segs 5 o FSR 8 08 oS “ Be BBEOROAKC SE RQAAE A SRST KBE BPEL SESeKe ssbaseTSAArYBs MOBY B ne ee a 2 SESEQHHRESH FEHR EGELZLRELEZPMEERS ESscStBpt&E?BS QS Ss 2 @ 22809090 SERB PSF SPO BFS FESS eS stu eseetea Ft