Price data for open level reflects the price on open date and does not necessarily reflect the price at which the trade could be executed at the date of this report. Our trades are structured to be executed on the open date and are not necessarily appropriate to execute as formulated beyond that date. Table 6: Summary of open trades as of 5-Jun-17 — Open Open Expected Trade... Trade Description P P P Rationale Date Level Term Long SX5E vs short SPX Dec18 var swap 5-Jul16 6.1 vols Investors should re-assess attractiveness of popular and {typically} technically motivated longer- Long NKY vs short SPX Dec18 var swap 5-Julk16 5.7 vols Dec-18 expiry dated RV vol trades, given environment of structurally higher political & economic risks and Long SX5E vs short SPX Dec18 put vs put 5-Juli6 0.00% increasingly limited policy options Buy a 1Y ATM worst-of call on SPX & TLT 18-Jul-16 0.9% 1 year Cheap equity upside in a bond / equity melt-up Buy SPX>UKX Jun17 ATM outperformance call, conditioned on SPX lower 17-Oct-16 2.0% Jun-17 expiry . eos yay . 7 . Risks of a hard Brexit rising and (weak) currency tailwind likely to prove short-lived; position almeluiny (USD) heaply for ETSE 100 (UKX) underperf cheaply for underperformance Buy UKX Jun17 6650 put, sell SPX Jun17 1850 put 17-Oct-16 2.6% Jun-17 expiry a R Buy an EWZ Jun-17 40 call conditional on SPX<2200 at expiry 24-Oct-16 1.7% Jun-17 expiry Using derivatives to capture Brazil (EWZ) upside potential following start of easing cycle Buy an SXSE Sep-17 95% put conditional on EUR 10Y CMS > 1.1% or < . . . ao. : 14-Nov-16 2.7% Sep-17 expiry Remain long equities and cheapen hedges by conditioning on rates 0.3% in Mar-17 Buy 2823 HK Jun-17 90/110 strangle 21-Nov-16 5.55% — Jun-17 expiry China risk premium rising but A-shares vol still at all-time lows . . . Equity-FX correlation is not priced for a spillover of populism into the EU, which could cause EUR Buy ESTX50 Dect? 90% put contingent on EURGBP < 0.82 by Jun17 expiry 2-Dec-16