Chart 22: May has typically been the month with the least amount of The overall seasonality in ESTX50 realised volatility since 1987 a realised wee This has also been true in 2017 thus far (ESTX50 inception) has been one of relatively lower vol during = 12% a re a the summer months vs. autumn. In particular, May stands out as = 10% -| men '97 to'07 the lowest vol month across most 10 year horizons, and this g ——= (Overall trend (87 to '17) also appears to be the case so far this year. We note that Apr- ZS 9% ——2017 YTD 17 vol stands out mainly due to the 4% ESTX50 move on the 3 Monday following the first round of the French presidential me 6% elections. 2 Bi 4% — 1 9 2 2% oa £ $ 0% -2% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Source: BofA Merrill Lynch Global Research. Data: 1-Jan-87 to 16-Jun-17. Chart 23: ESTX50 1M 100-110 call skew is near-flattest since 2008 ESTX50 short-dated (1M) 100-110 (%fwd) call skew has 12% 7 ____§X5E 1M 100-110 (%fwd) call skew = ———Current flattened considerably since pre-French election (23-Apr) levels ‘0 and currently stands near 9 year+ lows. Consequently, limited ° upside structures (@.g., call spreads) price attractively both from 8% an ATMf volatility and skew basis. 6% 4% 2% 0% -2% 08 0910 11 120—CO 13 140 M516 17 Source: BofA Merrill Lynch Global Research. Data: 2-Jan-08 to 16-Jun-17. Table 4: Volatility measures of major equity indices in the EMEA region (data as of 16-Jun-17) 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 13.4% 0.3% 2% 9.6% 2.0% 17% 3.4% -0.2% 99% 8.4% 0.9% 72% -1.2% FTSE 10.0% -0.4% 1% 8.6% 1.1% 24% 3.6% 0.2% 100% 6.2% 0.2% 9% -0.8% DAX 12.6% 0.3% 1% 12.7% 2.9% 29% 3.9% -0.2% 100% 8.5% 0.7% 67% -0.5% CAC 13.3% 0.3% 3% 10.3% 2.0% 21% 2.6% -0.1% 100% 8.6% 1.2% 77% -0.7% SMI 11.4%