Chart 35: issuance of Korean structured products ticked up in Jul-16, but stays relatively low as majority of the products still haven’t knocked out 3500 -mmmm KOSPI2 tems HSCEI 9000 Korean structured product issuance increased to US$1.9bn 5000 SX5E — _ in July; KOSPI2-linked products dominated Een HS! == Total issuance (RHS) - 7000 Korean auto-callable product issuance ticked up last month, 2,500 6000 with a total of US$ 1.9bn notional issued, vs. USS 1.6bn total issuance in June. £2,000 5000 = B 4,500 4000 8 Looking at individual underlyings, KOSPI2-linked products 3000 (currently US$578mn) saw the largest increase. KOSPI2-linked 1,000 — issuance hence took over SX5E-linked issuance (currently 500 US$436mn), which was relatively unchanged compared to June. 1000 HSCEl-linked issuance (currently USS 69mn) further declined : 0 whereas HSl-linked issuance (currently USS 262mn) increased = > = = S 8 ‘= Pa BE > = 5 again. SPX-linked issuance grew to USS 281mn. qonoo27z7qanrnxruwseatss”> ‘ KOSPI2 outstanding vega: US$23mn Source: BofA Merrill Lynch Global Research. HSCEI outstanding vega: USS74mn Chart 36: We estimate that structured product Issuers are currently long Chart 37: We estimate that structured product Issuers are currently long USS$23mn of KOSPI2 vega USS74mn of HSCEI vega 80 ——=KOSPI2 Autocall Vega Outstanding Profile ia ———=HSCEI Autocall Vega Outstanding Profile x 70 wo 90 mo t=?) od d 80 = £ 70 z 50 E 60 : 2= 4 ge °C o of 40 : SB 30 mS i a3 o> 30 i g = bestenensananecenssssesracansaeseeereeseeaeny D : < 620 i > «(20 : = 10 E10 i = E = : an = 7) - Hi Lu . Lu O2O CO CO CO OO Oe Ge Gee eae co 2 oO oclUmcrWCUchCOCcOUlUlUCchCOUCUCcCOUCUUCUCUhChOUCUchOOUhUCchOUCUCUchOhOlUCUhOUCUCO "2D Oo CO CO CO OO GO Ge ae Se eae Se eS mS OD ODO Trin Onwer oo bh OD OD mooiwmodwoocewowoao wo GO WOW KOSPI2 Spot Level HSCEI Spot Level Source: BofA Merrill Lynch Global Research. Source: BofA Merrill Lynch Global Research. Table 5: Volatility measures of major Asi