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This document is page 18 of a 'Global Equity Volatility Insights' report published by Bank of America Merrill Lynch on August 9, 2016. It provides technical financial analysis regarding Korean structured product issuance and volatility measures for major Asian indices (HSI, HSCEI, NKY, KOSPI2, ASX 200, NIFTY, TWSE). While the content is purely financial market data, the document bears the stamp 'HOUSE_OVERSIGHT_025995', indicating it was part of a document production for the US House Oversight Committee, likely as part of an investigation into financial institutions connected to Jeffrey Epstein.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Financial institution producing the Global Equity Volatility Insights report.
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| House Oversight Committee |
Implied by the Bates stamp 'HOUSE_OVERSIGHT_025995' indicating this document was produced for a congressional investi...
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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
3,500 KOSPI2 HSCEI 9000
3,000 SX5E SPX 8000
2,500 HSI Total issuance (RHS) 7000
USD Mn 2,000 6000
1,500 5000 USD Mn
1,000 4000
500 3000
0 2000
1000
0
Jul15 Aug15 Sep15 Oct15 Nov15 Dec15 Jan16 Feb16 Mar16 Apr16 May16 Jun16 Jul16
Source: BofA Merrill Lynch Global Research.
3,500 KOSPI2 HSCEI 9000
3,000 SX5E SPX 8000
2,500 HSI Total issuance (RHS) 7000
USD Mn 2,000 6000
1,500 5000 USD Mn
1,000 4000
500 3000
0 2000
1000
0
Jul15 Aug15 Sep15 Oct15 Nov15 Dec15 Jan16 Feb16 Mar16 Apr16 May16 Jun16 Jul16
Source: BofA Merrill Lynch Global Research.
Korean structured product issuance increased to US$1.9bn in July; KOSPI2-linked products dominated
Korean auto-callable product issuance ticked up last month, with a total of US$ 1.9bn notional issued, vs. US$ 1.6bn total issuance in June.
Looking at individual underlyings, KOSPI2-linked products (currently US$578mn) saw the largest increase. KOSPI2-linked issuance hence took over SX5E-linked issuance (currently US$436mn), which was relatively unchanged compared to June. HSCEI-linked issuance (currently US$ 69mn) further declined whereas HSI-linked issuance (currently US$ 262mn) increased again. SPX-linked issuance grew to US$ 281mn.
KOSPI2 outstanding vega: US$23mn
HSCEI outstanding vega: US$74mn
Korean auto-callable product issuance ticked up last month, with a total of US$ 1.9bn notional issued, vs. US$ 1.6bn total issuance in June.
Looking at individual underlyings, KOSPI2-linked products (currently US$578mn) saw the largest increase. KOSPI2-linked issuance hence took over SX5E-linked issuance (currently US$436mn), which was relatively unchanged compared to June. HSCEI-linked issuance (currently US$ 69mn) further declined whereas HSI-linked issuance (currently US$ 262mn) increased again. SPX-linked issuance grew to US$ 281mn.
KOSPI2 outstanding vega: US$23mn
HSCEI outstanding vega: US$74mn
Chart 36: We estimate that structured product Issuers are currently long US$23mn of KOSPI2 vega
80 KOSPI2 Autocall Vega Outstanding Profile
70
60
Estimate KOSPI2 outstanding vega (US$mn) 50
40
30
20
10
-
170 180 190 200 210 220 230 240 250 260 270 280 290 300 310
KOSPI2 Spot Level
Source: BofA Merrill Lynch Global Research.
80 KOSPI2 Autocall Vega Outstanding Profile
70
60
Estimate KOSPI2 outstanding vega (US$mn) 50
40
30
20
10
-
170 180 190 200 210 220 230 240 250 260 270 280 290 300 310
KOSPI2 Spot Level
Source: BofA Merrill Lynch Global Research.
Chart 37: We estimate that structured product Issuers are currently long US$74mn of HSCEI vega
100 HSCEI Autocall Vega Outstanding Profile
90
80
Estimate HSCEI outstanding vega (US$mn) 70
60
50
40
30
20
10
-
6500 7000 7500 8000 8500 9000 9500 10000 10500 11000 11500 12000 12500 13000
HSCEI Spot Level
Source: BofA Merrill Lynch Global Research.
100 HSCEI Autocall Vega Outstanding Profile
90
80
Estimate HSCEI outstanding vega (US$mn) 70
60
50
40
30
20
10
-
6500 7000 7500 8000 8500 9000 9500 10000 10500 11000 11500 12000 12500 13000
HSCEI Spot Level
Source: BofA Merrill Lynch Global Research.
Table 5: Volatility measures of major Asian indices (data as of 5-Aug-16)
3Mth ATM Implied Volatility
10D Realized Volatility
12Mth-1Mth ATM Vol Spread
3Mth 90-110 Skew Spread
Equity Market
Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly
Current change percentile Current change percentile Current change percentile Current change percentile return
HSI 17.5% -0.6% 57.2% 15.7% 4.9% 56.4% 2.2% 0.3% 52.0% 5.4% -0.2% 82.8% 1.2%
HSCEI 20.8% -0.5% 30.4% 17.4% 6.6% 38.1% 3.3% 0.2% 88.9% 4.2% -0.7% 77.5% 1.9%
NKY 21.7% -1.1% 47.3% 19.2% 2.0% 46.2% 1.2% 3.0% 67.5% 5.1% -0.3% 75.9% -1.9%
KOSPI2 12.6% -0.4% 15.4% 12.4% 7.1% 57.5% 3.9% 0.5% 75.6% 5.2% -0.7% 80.5% 0.3%
ASX 200 14.3% 0.5% 60.1% 9.9% 4.7% 34.0% 2.7% 0.1% 64.2% 7.1% 0.0% 55.6% -1.2%
NIFTY 14.2% -0.2% 6.3% 11.8% 2.9% 32.6% 2.6% 0.7% 38.4% 5.8% 0.6% 74.0% 0.5%
TWSE 14.6% -0.3% 63.1% 10.2% 2.0% 37.2% 0.7% 1.0% 16.8% 4.1% -0.5% 63.5% 1.2%
Source: BofA Merrill Lynch Global Research
3Mth ATM Implied Volatility
10D Realized Volatility
12Mth-1Mth ATM Vol Spread
3Mth 90-110 Skew Spread
Equity Market
Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly
Current change percentile Current change percentile Current change percentile Current change percentile return
HSI 17.5% -0.6% 57.2% 15.7% 4.9% 56.4% 2.2% 0.3% 52.0% 5.4% -0.2% 82.8% 1.2%
HSCEI 20.8% -0.5% 30.4% 17.4% 6.6% 38.1% 3.3% 0.2% 88.9% 4.2% -0.7% 77.5% 1.9%
NKY 21.7% -1.1% 47.3% 19.2% 2.0% 46.2% 1.2% 3.0% 67.5% 5.1% -0.3% 75.9% -1.9%
KOSPI2 12.6% -0.4% 15.4% 12.4% 7.1% 57.5% 3.9% 0.5% 75.6% 5.2% -0.7% 80.5% 0.3%
ASX 200 14.3% 0.5% 60.1% 9.9% 4.7% 34.0% 2.7% 0.1% 64.2% 7.1% 0.0% 55.6% -1.2%
NIFTY 14.2% -0.2% 6.3% 11.8% 2.9% 32.6% 2.6% 0.7% 38.4% 5.8% 0.6% 74.0% 0.5%
TWSE 14.6% -0.3% 63.1% 10.2% 2.0% 37.2% 0.7% 1.0% 16.8% 4.1% -0.5% 63.5% 1.2%
Source: BofA Merrill Lynch Global Research
18 Global Equity Volatility Insights | 09 August 2016
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025995
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025995
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