Table 7: Summary of open trades as of 08-Aug-16 Open Open Trade Expected Trade Description Date Level Value TradeTerm Rationale Long SX5E vs short SPX Dec18 var swap 5SJul-16 61vols 52-vols Investors should re-assess attractiveness of popular and (typically) technically Long NKY vs short SPX Dec18 var swap 5Jul-16 5/vols 49vols Dec-18expiry motivated longer-dated RV vol trades, given environment of structurally higher Long SX5E vs short SPX Dec18 put vs put 5-Jul-16 0.00% -0.62% political & economic risks and increasingly limited policy options Long 3M 25d EFA put vs short 3M 25d UKX put 5-Jul-16 0.00% 0.16% 3 months FTSE 3M 25d put vol near 7hr highs vs. vol on EFA Buy CMB Sep16 105-115% call spread 5-Jul-16 2.32% 3.01% Sep-16 SQ Buy ICBC Sep16 105-115% call spread 5-Jul-16 = 2.12% 417% ren Continuous Southbound inflow benefit financials sector and narrow AH premium Buy BOC Sep16 105-115% call spread 5eJul-16 2.10% 3.79% pry Leng piteoce Aes Sebati Reigyllon SUSAN 11-Jul-16 0.25 vols -0.28vols Oct-16 expiry Hedge further Brexit fallout, Italian bank & referendum risk future, short V2X Jan-17 future Buy a 6M ATM worst-of call on XLP & GLD 11-Jul-16 1.05% 0.48% 6 months Cheaply construct risk-limited “uber-barbell” portfolio Buy a 6M ATM worstof {SPX put, GLD call} 11-Jul-16 1.60% 1.01% 6 months Low-cost macro hedge for US equity portfolios Buy Oct16 110%f calls on VIE FP, Al FP, IBE SQ, 9 9 . STAN LN and MUV2 GY a osha Gel16 expiry Add exposure via inexpensive upside on single names where positioning appears 5 . . ; ; Buy an Oct16 110%F call on an equally weighted 48-Jul-16 0.81% 0.69% Oct-16 expiry particularly bearish and stocks have underperformed vs. their sectors basket (quanto EUR) Buy Ee ang ® 2) puls ee ee ne To hedge potential earning downside surprise Buy CSL 25-Aug-16 95% puts 18-Jul-16 109% 072% an. 1 geP g P Buy Newcrest 25-Aug-16 105/115% callspreads 18-Jul-16 2.64% 1.90% g To hedae potential eaminas upside surprises Buy BHP 25-Aug-16 105/115% call spr