Chart 31: Among the 50 names highlighted by BofAML equity & credit strategists, the 15 below have liquid options. Notably, Shell equity shows best value vs CDS (highest div yield - CDS). Enel risk reversals price lowest across names & vs history (large bubble size denotes low %-ile of risk reversal price vs 5y history) =z @ Automobiles & Parts @Oil& Gas GHealthCare e@RealEstate OTelecommunications Utilities f -0.10% a 3 o— Highest div yield vs CDS 2 0.15% yoy 2 0.20% E 0.25% = -U. ‘0 g iu = Bubble size legend: B -0.30% The bigger the bubble N RDSA NA the cheaper the risk = -0.35% J 4 CY) Fa ENI IM reversal versus history* a aaa ABMW GY a. 0% oa f(y j & -0.40% <p " ar LW 50% & 0.45% —— \ DAIGYN, ro) REP SQ a 2 -0.50% : a . Cheapes! risk- 5 0.55% reversal é 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% Projected 1y div yield** - CDS Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17. *5-yr percentile of 3m 959%f-105%f bullish risk-reversals. **Projected dividend yield = implied 12m dividends/current stack price, where implied 12m dividends are derived from mid-single stock dividend swap pricing. This screen is not a recommended list either individually or as a group of stocks. Investors should consider the fundamentals of the companies and their own individual circumstances/abjectives before making any investment decisions Chart 32: Korean-issued SX5E-linked structured products in May17 fell Chart 33: We estimate current vega outstanding from Korean-issued to €0.9bn from €1.3bn in Apr17 SX5E-linked structured products sums up to €53mn vega and would peak at €81mn vega should the SX5E fall to 2875 (all else equal) BURR bn m Issuance of SX5E structured products in South Korea : 25 P === SX5E Vega (from Korean structured product issuance) 90 M ax vega: 2.0 = 80 €81mn at ~2875 43 70 | -* 53 = 1.0 0.9 w 50 > 40 0.5 > 30 20 0.0 HET PAIR SSeS See eee er ee 10 _ SSSSSSESSSSSESSSESE ESE 0 —— =O = 0 #@ =O = 2000 +2800 «= «3000S (s«3500)Ss«00