Cross-asset implications of repatriation Repatriation should spur USD-buying — up to 40% may be non-USD denominated While few companies disclose the currency composition of their offshore cash, our FX team estimates that 60-75% is already in USD while 25-40% is non-dollar-denominated. (If we extrapolate based on the S&P 500’s geographic revenue exposure, the largest proportion could be in Europe, followed by emerging Asia.} This may result in upward pressure on the USD (which they estimate could amount to $250-$400bn if half of all offshore cash, which they estimate at ~$2tn, was repatriated). Their analysis of the EUR-USD during the last repatriation holiday suggests an “announcement effect” is likely, as the dollar strengthened ahead of the bulk of the actual repatriation flows. Repatriation could put upward pressure on bank funding costs Our rates team’s analysis of some of the largest multinationals with offshore cash suggests ~70% of cash is invested in securities with maturities greater than one year, with the remaining 30% having shorter maturities. See table below. They believe repatriation could put upward pressure on bank funding costs as firms reduce their holdings in these short-term investments. According to Crane Data on offshore money fund holdings, our rates team cites that $161bn of offshore funds are held in commercial paper and CDs, of which the majority are from financial institutions with Japan, France and Canada the largest issuers. Table 14: Offshore holdings and investment allocation for select firms Exhibit 2: Offshore money fund USD asset holdings (Sbn) as of 9/30/16 (see footnote) per BofAML Rates team (as published 12/9/2016) jon* _ VRDN, Agency, Allocation an ; 5 $0.28 $12.69 Cash & MMF 8% ' cP &CD 5% Repo, [a Tsy & Agy 35% $52.08 Corporate 36% I Non-US Sov 4% | cp 7 Og Other 12% Treasury, : 105.23 Maturity of securities holdings** $ CD, $4.17 <ly 28% 1-5y 50% 5-10y 7% >10y 6% *Allocation = weighted avg of holdings across all company in