TM H BofAML GFSI'™ X-Asset Risk Landscape GFSI below ‘normal’ for longest period since summer 2014 The GFSI continued its decline last week, falling to -0.21 as of 2-Jun from -0.17 a week prior. The indicator last spent a significant proportion of time below -0.2 back in summer 2014, when cross asset volatility recorded long term lows. « Equity risks led the broad based decline in stress across asset classes (Chart 2 and Chart 3), led by equity skew. ¢ While most stresses fell, crude oil volatility was among the top gainers (Chart 2) as oil continued its slide despite the May OPEC meeting seeing agreement for extending production cuts. « Also, Euro member bond spreads recorded a historically significant move higher (Chart 5) as the potential for early Italian elections causing political instability amidst ECB tapering revived concerns about European sovereign risk Chart 1: Latest* stress across GFSI sub-components fj = <x n rf . i 1.5 Ec 2 Red shaded area highlights components in = Risk Green shaded area highlights components in e 1.0 . = Skew Bullish territory B FI £05 | ai & 0. ie a5 as sa TT T THT Til i li l 45 4 a oe — ESGESPERSRESRERSS ESE SERES SSS FSR ESSE ESBS RSH ESS auPrPaXtAHP DEY aH et Ones ete AYHSDSFYGHSYHF ee ete ea 82a aa QL Es G> esV eee eVeEe VP SSS FeEVYana zt VCevoBAGQsFELVPLSEESEBEESE ~-OmS8 6a 2OL2 5s l26 0 RA SO0SPFCEULSBORASHRSELSARSr Zw zsSrtoeoseorgaz et g EMR Z=z#eEnNNHNMA GEARS te oeoDavBvDVee io Oo roalYwnrwroertse sace2oqer? SSeS nR2Gx>xeP@ BSS sgeareasss<aePehe PestervrExaRPEZSE APFESS COStFSSE Sane SAT ZeSaese8rtsS B “SBSEHREG LAE D 2 a 5 = «ag © Fo S$Fo B= =S5¢4— § ig Q ou wo wo 2 2.2 = e= Og a & = a ce co & Q a uF ° flo CO = = = co S) Ss) oO n os) Re [o) o) = 8 foe] Source: BofA Merrill Lynch Global Research. *Latest as of 2-Jun-17. Chart 2: Change** in stress across GFSI sub-components. 445m ®@ OE 8 soot 8 am Risk B li Yl ca o> Skew z 0.0 SE En EE Renee ah ane ne ann a oO ~_ oO £ eS Se g04 S fae) 5 cor ° 08 | > Boe See SSC eS TS ES