Chart 34: The SX5E DED2 future (currently SX5E Dec18 div future) is the Chart 35: The DED2 div future (122.4) is not heavily discounted vs highest in 9-years relative to DED1 BofAML fundamental bottom-up forecasts (only 1.5% upside potential 440 me 100% versus forecasts) 130 mem 90% P| Esl ead realised dividends . _150 —tre= Dividend “ry 120 a D . — = 2140 Consensus 110 —_ 70% By3q | ctr BofAML 100 Median £120 po Fa. 90 40% A110 3 | | S NS 80 30% 5 100 [i L a eee ES 2 5lldiv 70 mmm 20% ti 99 L| oi meee 10% il o pts paid at 80 -R aes in 2017 =O Current 70 a 90 SODr™~nNMYTMOONnNRADADOAWCMTNWOMmAAD DED1 DED2 DED3 DED4 DEDS SSSSSSSSSESESES5SSSSSSESS MEN NN NN NNN NNN NNN NN NN ON Source: BofA Merrill Lynch Global Research. Data from 5-Jun-09 to 5-Jun-17. Historical values of DED1 are fixed at its current level of 116.6 and historical levels of DED2, DED3, DED4 and DED5 are re- Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17 scaled using historical their historical ratios to DED1 (DED2/DED1, DED3/DED1, DED4/DED1 and DED5/DED1) as a multiplying factor. Table 3: Volatility measures of major equity indices in the EMEA region (data as of 02-Jun-17) Equity 3Mth ATM implied volatility 10D realised volatility 12Mth-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 13.0% 0.4% 0% 6.1% -3.9% 3% 3.6% 0.4% 100% 7.1% 0A% 18% 0.4% FTSE 10.6% 0.4% 4% 4.2% -3.6% 3% 2.8% -0.1% 87% 5.3% 0.4% 2% 0.0% DAX 12.2% -0.7% 0% 7.1% -0,8% 8% 3.8% 0.4% 100% 7.1% 0.6% 22% 1.8% CAC 12.9% 0.3% 0% 6.1% -3.9% 3% 2.7% 0.3% 100% 7.2% 0.2% 18% 0.1% SMI 11.5% 0.1% 4% 6.5% -4.6% 6% 2.1% 0.0% 94% 6.2% 0.1% 19% 0.0% RDXUSD 24.7% 1.2% 14% 21.7% -7.3% 35% 14% -1.0% 80% 4.8% 0.1% 19% -3.3% TOP40 15.19% 1.0% 5% 9.3% 3.9% 9% 2.3% -0.4% 65% 7.2% 0.5% 15% -2.1% ISE30 19.6% 0.2% 1% 12.9% 0.6% 16% 3.5% -0.1% 86% 6.7% 0.1% 64% 1.4% Source: BofA Me