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This document is page 21 of a 'Global Equity Volatility Insights' report by Bank of America Merrill Lynch, dated June 6, 2017. It details financial market data regarding Japanese Uridashi issuance and Korean auto-callable products, referencing specific indices like NKY, HSCEI, and KOSPI2. The document bears a 'HOUSE_OVERSIGHT' Bates stamp, suggesting it was included in materials provided to the House Oversight Committee, likely as part of a larger subpoena for financial records, though it contains no specific personal names or flight logs.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Author of the Global Equity Volatility Insights report
|
|
| House Oversight Committee |
Implied by Bates stamp HOUSE_OVERSIGHT_023595
|
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NKY Uridashi monthly issuance slightly picked-up in May-17
With NKY breaking above 19,500 in May and triggering some early knock-outs, Japanese Uridashi issuance picked up towards the end of May to US$630mn. We estimate there is now around US$7.9bn (vs. $8.1bn last month) in product outstanding and over 50% of it will be knocked out if the NKY rallies above 20,500. We estimate issuers are currently long US$44mn vega in NKY. The peak of the vega profile is around the 17,500 level and we expect issuers to lose US$2mn of vega for every 1% rally in the NKY.
With NKY breaking above 19,500 in May and triggering some early knock-outs, Japanese Uridashi issuance picked up towards the end of May to US$630mn. We estimate there is now around US$7.9bn (vs. $8.1bn last month) in product outstanding and over 50% of it will be knocked out if the NKY rallies above 20,500. We estimate issuers are currently long US$44mn vega in NKY. The peak of the vega profile is around the 17,500 level and we expect issuers to lose US$2mn of vega for every 1% rally in the NKY.
Chart 42: Korean auto-callable issuance fell 21% to US$3.6bn in May-17; Issuance in KOSPI2-linked products (rose from US$840mn to US$846mn) remained steady; HSI-linked products fell 66% from US$360mn to US$120mn as investors prefered HSCEI-linked products (which only fell from US$760mn to US$700mn)
[Chart 42 Legend: KOSPI2, HSCEI, SX5E, SPX, HSI, NKY, Total issuance (RHS)]
[Chart 42 Axis: May15 to May17, USD Mn]
Source: BofA Merrill Lynch Global Research. From May-15 to May-17
[Chart 42 Legend: KOSPI2, HSCEI, SX5E, SPX, HSI, NKY, Total issuance (RHS)]
[Chart 42 Axis: May15 to May17, USD Mn]
Source: BofA Merrill Lynch Global Research. From May-15 to May-17
Chart 43: Knock-out schedule for legacy HSCEI-linked products issued in 2015; we expect more knock-outs in Jul-17 if HSCEI stays above 9,600
[Chart 43 Data Points: Jun-17, Jul-17, Aug-17, Sep-17, Oct-17, Nov-17]
[Chart 43 Legend: Average HSCEI Knock-Out Level, Notional (US$mn)]
Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17
[Chart 43 Data Points: Jun-17, Jul-17, Aug-17, Sep-17, Oct-17, Nov-17]
[Chart 43 Legend: Average HSCEI Knock-Out Level, Notional (US$mn)]
Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17
Chart 44: In May-17, there was $630mn of Uridashi products issued which were NKY linked
[Chart 44 Legend: New NKY Linked Uridashi issuance, NKY Index]
[Chart 44 Axis: Jan-15 to May-17, Issuance (US$bn)]
Source: BofA Merrill Lynch Global Research. Monthly data from Jan-15 through May-17
[Chart 44 Legend: New NKY Linked Uridashi issuance, NKY Index]
[Chart 44 Axis: Jan-15 to May-17, Issuance (US$bn)]
Source: BofA Merrill Lynch Global Research. Monthly data from Jan-15 through May-17
Bank of America Merrill Lynch
Global Equity Volatility Insights | 06 June 2017
21
HOUSE_OVERSIGHT_023595
Global Equity Volatility Insights | 06 June 2017
21
HOUSE_OVERSIGHT_023595
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