T™ H d BofAML GFSI'™ X-Asset Risk Landscape GFSI makes new YTD lows as BoE & NFP boost risk assets The GFSI declined to a new YTD low of 0.18 as of 5-Aug, a level not seen since Nov-15. With the BoE surprising to the upside in terms of cutting rates, re-starting QE and guiding towards more accommodative policy down the line, as well as better than expected US non-farm payrolls, risk assets globally got a boost. ¢ Credit experienced the biggest decline in stress across assets: Chart 3 shows that credit (followed by equities) experienced the biggest weekly stress decline. Indeed, Chart 5 and Chart 6 show that sovereign risk as measured by IG & sub-IG foreign sovereign bond spreads experienced the most significant weekly declines in stress versus their history in the GFSI. - Europe continues to be most stressed region: Chart 4 shows that Europe is the most stressed region in the GFSI, despite the stress declines last week. US- related stresses which were already relatively lower vs the other regions, were more resilient. Indeed the only significant move higher in regional stress was in USD Libor-OlS spreads (Chart 5), which our Rates strategists view as driven by the anticipation of US money market mutual fund reform in October. Chart 1: Latest* stress across GFSI sub-components 40 12 — oo MB Risk 30 € _Red shaded area highlights components in Bearish m™™) Skew Green shaded area highlights components in — © A A % 20 ~Ag Flow Bullish territory BH 10 | ie wn Oo 0.0 || T T T a anna iealtetitiiaiaiait it YY YY | -1.0 SM & © 20 | oe Se 4 “ .>aoeeravseae® see zSEOeAwSFFKADTESSOKSEESrOeLVPeESeE ELC SQse Se 2 ee Be eee ee eB ee BS Ter eg eB ABA ee ERE 8 Se DRERSRE SERFS So ZrELLHRAEESELSEEHRRELELHRSEREXZSLEBES ~uUOCsev Bes, O8e282F 09849 5 2~ 8 Set FRSaOeg PES RBZFRw2zSb 8S S7o? ent mnea i exeartasaismunagsrveoftrngnor so 2 A my>oesege Sssunx FS SS<eARHZRSZeCSLSd>xRNsaV@®aAaFXEasxsetBaereEerrweegrrese AFOSESERREw SREOPS Tes 5a24 278 5H4 AKVSSeSrtSEBPHLE D aD mae 25 = oO £a o 2