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This document is page 3 of a 'Global Equity Volatility Insights' report by Bank of America Merrill Lynch dated June 6, 2017. It contains four charts analyzing global financial market stresses, volatility, and credit spreads for the week ending June 2, 2017. The document bears the Bates stamp 'HOUSE_OVERSIGHT_023577', indicating it was part of a document production for a House Oversight Committee investigation, likely regarding financial institutions' relationships with Jeffrey Epstein, though no specific Epstein-related entities or individuals are mentioned in the text of this specific page.
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Chart 3: Equity stresses fell by the most last week
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-0.02
-0.12
Commodities Credit FX Rates Equities
■ Latest stress (02-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
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-0.02
-0.12
Commodities Credit FX Rates Equities
■ Latest stress (02-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
Chart 4: Among regions, Japan & US stresses declined the most
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-0.50
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EM Europe US Japan
■ Latest stress (02-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
0.10
0.00
-0.10
-0.20
-0.30
-0.40
-0.50
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-0.05
-0.13
EM Europe US Japan
■ Latest stress (02-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*)
Stress fall
Stress rise
%-ile of abs chg in stress vs history*
100%
90%
80%
70%
60%
50%
86% 83% 82% 76% 72% 63% 61% 61% 61% 59%
Nikkei Skew
SP500 Skew
Euro member Bond Spread
Libor-OIS USD
CDS Index Skew USD
IG Foreign Sovrn Bond Spread
ESTX50 Skew
Basis Swap USDJPY
Libor-OIS JPY
Libor-OIS EUR
Source: BofA Merrill Lynch Global Research. * %-ile of weekly move in stress vs all historical weekly moves (earliest 3-Jan-00). Bar colours represent rise (red) or fall (green) in stress. 1wk change (26-May-17 to 2-Jun-17).
Stress fall
Stress rise
%-ile of abs chg in stress vs history*
100%
90%
80%
70%
60%
50%
86% 83% 82% 76% 72% 63% 61% 61% 61% 59%
Nikkei Skew
SP500 Skew
Euro member Bond Spread
Libor-OIS USD
CDS Index Skew USD
IG Foreign Sovrn Bond Spread
ESTX50 Skew
Basis Swap USDJPY
Libor-OIS JPY
Libor-OIS EUR
Source: BofA Merrill Lynch Global Research. * %-ile of weekly move in stress vs all historical weekly moves (earliest 3-Jan-00). Bar colours represent rise (red) or fall (green) in stress. 1wk change (26-May-17 to 2-Jun-17).
Chart 6: Global volatility & credit spread stress in the GFSI
■ Latest stress (02-Jun-17) ■ Change in stress
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0.0
-0.2
-0.4
-0.6
-0.8
-1.0
-1.2
-1.4
0.06 0.05 0.03 0.00 -0.01 -0.02 0.03
Sovrn risk
Commodity Vol
FX Vol
Equity Vol
HY CDS
IG CDS
Rates Vol
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
■ Latest stress (02-Jun-17) ■ Change in stress
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
-1.2
-1.4
0.06 0.05 0.03 0.00 -0.01 -0.02 0.03
Sovrn risk
Commodity Vol
FX Vol
Equity Vol
HY CDS
IG CDS
Rates Vol
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
Bank of America Merrill Lynch
Global Equity Volatility Insights | 06 June 2017
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HOUSE_OVERSIGHT_023577
Global Equity Volatility Insights | 06 June 2017
3
HOUSE_OVERSIGHT_023577
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