Chart 27: The current vega outstanding in the ESTX50-linked structured products is EUR 143mn, which is in the 97" percentile since 3-Jan-14 EUR Mn ————— SX5E structured products vega notional 160 seeeeeeee Current SX5E structured products vega notional outstanding Vl ee 97th percentile 120 100 80 60 = = 2 SS FS fF PB BS SP 2B SF SF S&S S&S Ff Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16 Table 3: Volatility measures of major equity indices in the EMEA region (data as of 05-Aug-16) Equity 3Mth ATM implied volatility 10D realised volatility {2Mth-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 19.2% -0.6% 31% 16.6% 5.6% 29% 1.0% 0.2% 87% 8.4% 0.1% 79% 0.6% FTSE 12.6% 0.7% 21% 10.9% 5.2% 29% 3.4% 0.5% 100% 7.5% 0.0% 10% 1.0% DAX 17.8% -1.1% 19% 13.6% 2.9% 11% 1.8% 0.4% 96% 8.6% 0.A% 78% 0.3% CAC 18.5% 0.7% 30% 15.4% 5.3% 27% 0.9% 0.3% 88% 8.6% 0.3% 86% 0.7% SMI 13.8% -1.2% 25% 14.5% 3.6% 51% 1.7% 0.6% 100% 7.6% 0.8% 57% 0.8% RDXUSD 28.2% -1.6% 6% 19.5% 9.2% 8% 1.1% 0.3% 89% 6.0% 0.1% 15% 1.7% TOP40 19.4% 0.3% 59% 11.1% 2.1% 19% 2.3% 0.1% 91% 8.7% 0.2% 63% -1.2% ISE30 29.9% 0.1% 96% 25.2% -21.6% 76% -0,9% 0.0% 7% 6.3% 0.1% 77% 1.0% Source: BofA Merrill Lynch Global Research European volatility: Sector snapshot Table 4: Volatility measures and indicative option prices for major European sector indices (data as of 05-Aug-16) Bearish <<< -------n----ennenenneneneenerenteneteneeneneeeees >>>> Bullish 3Mth 90%-110% risk Equity 3Mth ATM implied volatility Real vol* 3Mth 95%-85% put spread** 3Mth 100%-110% call spread* reversal™™ index Current Current Current price Weekly Max price Weekly Max price™* Weekly Weekly 2Yr (%of change 2Yr payout (%of change 2Yr payout (%of change 2Yr Weekly Current change %-ile Current spot) (bps) %-ile ratio spot) (bps) %-ile — ratio spot) (bps) %-ile — return SX3P (Fd&B