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15
People
3
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0
Locations
1
Events
2
Relationships
2
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Summary
This document is page 24 of a Bank of America Merrill Lynch 'Global Cross Asset Strategy – Year Ahead' report dated November 30, 2016. It contains Appendix 3 and Appendix 4, detailing indicative pricing levels for cross-asset trades and a list of closed trades for 2016. The document lists numerous bank strategists and their specific trade positions but does not contain direct communications or financial transactions involving Jeffrey Epstein, despite the 'HOUSE_OVERSIGHT' Bates stamp indicating it was part of a subpoena production.
People (15)
| Name | Role | Context |
|---|---|---|
| Kenji Abe | Strategist |
Listed as strategist for Long Nikkei trade
|
| Ajay Kapur | Strategist |
Listed as strategist for multiple MSCI EM trades
|
| Savita Subramanian | Strategist |
Listed as strategist for Long US Energy trade
|
| Ronan Carr | Strategist |
Listed as strategist for Long SXDP Index vs Short SX3P Index trade
|
| Abhinandan Deb | Strategist |
Listed as strategist for multiple Equity vol trades
|
| William Chan | Strategist |
Listed as strategist for Long Kospi fwd vol trade
|
| Kamal Sharma | Strategist |
Listed as strategist for FX trades (NOK/USD, EUR/SEK)
|
| David Hauner | Strategist |
Listed as strategist for Long RUB/ZAR trade
|
| Adarsh Sinha | Strategist |
Listed as strategist for Long JPY/KRW trade
|
| Ian Gordon | Strategist |
Listed as strategist for Long USD/CAD trade
|
| Athanasios Vamvakidis | Strategist |
Listed as strategist for FX trades (EUR/JPY, EUR/USD)
|
| Ralf Preusser | Strategist |
Listed as strategist for multiple Fixed Income trades
|
| Shyam R. Rajan | Strategist |
Listed as strategist for Fixed Income trades
|
| Hans Mikkelsen | Strategist |
Listed as strategist for US IG credit trades
|
| Mark Capleton | Strategist |
Listed as strategist for GBP real rate swap trade
|
Organizations (3)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| Bloomberg | ||
| House Oversight Committee |
Timeline (1 events)
Relationships (2)
Listed as strategist in BofA report
Listed as strategist in BofA report
Full Extracted Text
Complete text extracted from the document (3,490 characters)
Appendix 3 – Indicative pricing/ levels
Table 5: Latest indicative pricing/ levels for cross asset trades
Asset | Trade idea | Indicative price / level
Equities | Long European Quality Yield Screen (yield) | 5%
| Long SXDP Index | 681.6
| Long Nikkei | 18307
| Long European index dividend futures | 113.4
| Long MSCI Asia ex-Japan | 525.7
Equity vol | Long RTY short SPX 2y variance swap | 3.7**
| 3000-2850 SX5E put spread Dec 16 expiry | 1.20%
| Long NKY short SPX Dec 18 variance swap | 6vols
| Long SX5E short SPX Dec 18 variance spread | 6vols
| Eurostoxx 2y/3y put calendar | 1.99
FX | Short EUR/SEK | 9.762
| Long USD/CNH call | 0.56%USD
| Short GBP/USD | 1.250
| Long USD/AUD | 1.342
| Long RUB/ZAR | 0.213
Fixed Income | 2s-5s-10s fly (bp) | 11
| Short US 10y real rates (bp) | 50
| Paying 5y GBP real rate swap (bp) | -254
Credit | Buy 30y US IG Industrial spreads (bp) | 187
| Buy basket of Euro AT1s | 5.80%
| Long Xover short Main (ratio) | 4.22x
Source: BofA Merrill Lynch Global Research, Bloomberg. Note: *all levels and prices as of 29/11/2016 at ~3pm or most recent local market close. **This is a theoretical level which may differ from actual tradable prices. ***This level is obtained by bootstrapping At-the-money forward volatility levels, does not represent a tradable instrument. The tradable strike of an FVA will likely differ considerably.
Table 5: Latest indicative pricing/ levels for cross asset trades
Asset | Trade idea | Indicative price / level
Equities | Long European Quality Yield Screen (yield) | 5%
| Long SXDP Index | 681.6
| Long Nikkei | 18307
| Long European index dividend futures | 113.4
| Long MSCI Asia ex-Japan | 525.7
Equity vol | Long RTY short SPX 2y variance swap | 3.7**
| 3000-2850 SX5E put spread Dec 16 expiry | 1.20%
| Long NKY short SPX Dec 18 variance swap | 6vols
| Long SX5E short SPX Dec 18 variance spread | 6vols
| Eurostoxx 2y/3y put calendar | 1.99
FX | Short EUR/SEK | 9.762
| Long USD/CNH call | 0.56%USD
| Short GBP/USD | 1.250
| Long USD/AUD | 1.342
| Long RUB/ZAR | 0.213
Fixed Income | 2s-5s-10s fly (bp) | 11
| Short US 10y real rates (bp) | 50
| Paying 5y GBP real rate swap (bp) | -254
Credit | Buy 30y US IG Industrial spreads (bp) | 187
| Buy basket of Euro AT1s | 5.80%
| Long Xover short Main (ratio) | 4.22x
Source: BofA Merrill Lynch Global Research, Bloomberg. Note: *all levels and prices as of 29/11/2016 at ~3pm or most recent local market close. **This is a theoretical level which may differ from actual tradable prices. ***This level is obtained by bootstrapping At-the-money forward volatility levels, does not represent a tradable instrument. The tradable strike of an FVA will likely differ considerably.
Appendix 4 – Closed trades
Table 6: Closed trades
Asset | Trade idea | Strategist | Open date | Closed date
Equities | Long Nikkei | Kenji Abe | 22/01/2016 | 01/04/2016
| Long MSCI EM 1x 1x call ratio | Ajay Kapur | 01/03/2016 | 18/04/2016
| Long MSCI EM 1x 1x call ratio | Ajay Kapur | 01/03/2016 | 18/04/2016
| Long US Energy | Savita Subramanian | 07/09/0216 | 28/11/2016
| Long MSCI EM | Ajay Kapur | 19/04/2016 | 30/09/2016
| Long SXDP Index vs Short SX3P Index | Ronan Carr | 22/01/2016 | 28/11/2016
Equity vol | Long June V2X call spread collar | Abhinandan Deb | 01/04/2016 | 18/04/2016
| Long Kospi fwd vol 6M/18M | William Chan | 22/01/2016 | 28/11/2016
| Short June V2X put | Abhinandan Deb | 01/04/2016 | Expired
| Long (30-35) V2X Jul call spreads | Abhinandan Deb | 18/06/2016 | Expired
| Long 2050-1950 S&P 500 Jul put spread | Abhinandan Deb | 18/06/2016 | Expired
FX | Long NOK/USD | Kamal Sharma | 01/03/2016 | 04/05/2016
| Long RUB/ZAR | David Hauner | 22/01/2016 | 17/05/2016
| Short EUR/SEK | Kamal Sharma | 22/01/2016 | 08/07/2016
| Long JPY/KRW | Adarsh Sinha | 22/01/2016 | 31/03/2016
| Long USD/CAD | Ian Gordon | 28/07/2016 | 07/07/2016
| Short EUR/JPY | Athanasios Vamvakidis | 21/01/2016 | 30/09/2016
| Short EUR/USD | Athanasios Vamvakidis | 08/07/2016 | 04/11/2016
Fixed Income | Short EUR 5Y5Y inflation breakevens | Ralf Preusser | 22/01/2016 | 23/01/2016
| Buy 30y real rates (bp) | Ralf Preusser | 22/01/2016 | 24/05/2016
| Receive EUR pay US 5y5y fwd (bp) | Ralf Preusser | 22/01/2016 | 27/05/2016
| Sell 6m 2s-5s-10s OTM receiver fly | Shyam R. Rajan | 07/09/2016 | 08/09/2016
| US +15y IG credit (total return) | Hans Mikkelsen | 22/01/2016 | 04/05/2016
| US +15y IG credit (Govt OAS) | Hans Mikkelsen | 04/05/2016 | 28/07/2016
| Paying 2y3y GBP real rate swap | Mark Capleton | 02/09/2016 | 12/10/2016
| 3y 2s-10s US flattener | Shyam R. Rajan | 27/05/2016 | 10/10/2016
Source: BofA Merrill Lynch Global Research. Trades closed in this report (or recently) in bold.
Table 6: Closed trades
Asset | Trade idea | Strategist | Open date | Closed date
Equities | Long Nikkei | Kenji Abe | 22/01/2016 | 01/04/2016
| Long MSCI EM 1x 1x call ratio | Ajay Kapur | 01/03/2016 | 18/04/2016
| Long MSCI EM 1x 1x call ratio | Ajay Kapur | 01/03/2016 | 18/04/2016
| Long US Energy | Savita Subramanian | 07/09/0216 | 28/11/2016
| Long MSCI EM | Ajay Kapur | 19/04/2016 | 30/09/2016
| Long SXDP Index vs Short SX3P Index | Ronan Carr | 22/01/2016 | 28/11/2016
Equity vol | Long June V2X call spread collar | Abhinandan Deb | 01/04/2016 | 18/04/2016
| Long Kospi fwd vol 6M/18M | William Chan | 22/01/2016 | 28/11/2016
| Short June V2X put | Abhinandan Deb | 01/04/2016 | Expired
| Long (30-35) V2X Jul call spreads | Abhinandan Deb | 18/06/2016 | Expired
| Long 2050-1950 S&P 500 Jul put spread | Abhinandan Deb | 18/06/2016 | Expired
FX | Long NOK/USD | Kamal Sharma | 01/03/2016 | 04/05/2016
| Long RUB/ZAR | David Hauner | 22/01/2016 | 17/05/2016
| Short EUR/SEK | Kamal Sharma | 22/01/2016 | 08/07/2016
| Long JPY/KRW | Adarsh Sinha | 22/01/2016 | 31/03/2016
| Long USD/CAD | Ian Gordon | 28/07/2016 | 07/07/2016
| Short EUR/JPY | Athanasios Vamvakidis | 21/01/2016 | 30/09/2016
| Short EUR/USD | Athanasios Vamvakidis | 08/07/2016 | 04/11/2016
Fixed Income | Short EUR 5Y5Y inflation breakevens | Ralf Preusser | 22/01/2016 | 23/01/2016
| Buy 30y real rates (bp) | Ralf Preusser | 22/01/2016 | 24/05/2016
| Receive EUR pay US 5y5y fwd (bp) | Ralf Preusser | 22/01/2016 | 27/05/2016
| Sell 6m 2s-5s-10s OTM receiver fly | Shyam R. Rajan | 07/09/2016 | 08/09/2016
| US +15y IG credit (total return) | Hans Mikkelsen | 22/01/2016 | 04/05/2016
| US +15y IG credit (Govt OAS) | Hans Mikkelsen | 04/05/2016 | 28/07/2016
| Paying 2y3y GBP real rate swap | Mark Capleton | 02/09/2016 | 12/10/2016
| 3y 2s-10s US flattener | Shyam R. Rajan | 27/05/2016 | 10/10/2016
Source: BofA Merrill Lynch Global Research. Trades closed in this report (or recently) in bold.
24 Global Cross Asset Strategy – Year Ahead | 30 November 2016
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_014455
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_014455
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