Chart 23: European issuance of ESTX50-linked products rose to €9.9bn Chart 24: Issuance of ESTX50-linked structured products in Korea was in so far in 2016 (vs €7.2bn as of 4-Jul) line with the 2016 issuance trend n bn mKorea mEurope £52016 annualised 5 . 2 m Issuance of SX5E structured products in South Korea Total , 30 annualised 20 Rapid growth of SXSE Issuance slowed expected: 20.5 products in Korean <° . down due to 25 structured market * China sell-off and 70 pon, 1.9 Po . new local : : . . regulations E : 1.0 r 15 4 . Po ' qv 10 0.5 | eee a oe 5 0.0 a astrtrwrwrar Tr Ow HO WO WM HO OO OO © 0 EERBZSBRBEEEEREBEELER ESS 2013 2014 2015 2016 SSESFZSSFESFZSREEF Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 Source: BofA Merrill Lynch Global Research. Data as of 31-Jul-16 Current vega outstanding near at least 2.5y high as European Issuance picks up We estimate the current vega outstanding in SX5E-linked products (issued in Europe and Korea) sums up to €143Mnh, which is in its 97“ percentile since Jan-14 (when our records begin). Moreover, this could rise to as much as €169Mn if the SX5E rallies to 3280 (assuming no net SX5E-linked issuance', Chart 25, 26 and Chart 27). Chart 25: We estimate the current vega outstanding in SX5E-linked Chart 26: The ESTX50 vega outstanding due to structured products structured products is EUR 83Mn (European issuance) and EUR60Mn issuance could rise to EUR168Mn, assuming no new net issuance (Korean issuance) ; Max vega: ——=Vega (Aggregated issuance) emme Vega (Korean issuance) 480 EUR168mn at ~3220 120 9 Max y ega: === Vega (European issuance) 460 | spot level 400 4 EUR111mn at ~3400 140 spot level = 120 S 80 w~ 100 x 60 im 80 = A —- 40 s 60 > Max vega: = 40 > 20 EUR61mn at ~3000 20 spot level 0 0 00 Ref. spot = 2932 -20 Ref. spot = 2932 SS8SSSBSBESSBSBESSSBSBSSS SSE seesesgegeeeeseeeeeeee ANAAKAHBHASHSSYPASSS ANAKASBHSBSSBYIPIIFS SSB SX5E spot level SXSE spot level Source: BofA Merrill Lynch Global Research. Data as