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This document is page 3 of a 'Global Equity Volatility Insights' report produced by Bank of America Merrill Lynch on June 20, 2017. It presents four charts analyzing global financial market stress, volatility, and credit spreads across various regions (US, Europe, Japan, EM) and asset classes (Equities, Credit, Rates, FX, Commodities). The document bears the Bates stamp 'HOUSE_OVERSIGHT_014974', indicating it was part of a document production for a congressional oversight investigation, likely related to inquiries into bank records.
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Chart 3: Stress in commodities fell the most last week (driven by a drop in crude oil vol) while stress in equities rose marginally (led by equity skew)
[Chart 3 Axis: 0.2, 0.0, -0.2, -0.4, -0.6, -0.8, -1.0]
[Chart 3 Data Labels: 0.04, -0.03, -0.03, -0.08, 0.16]
Equities Credit Rates FX Commodities
■ Latest stress (16-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
[Chart 3 Data Labels: 0.04, -0.03, -0.03, -0.08, 0.16]
Equities Credit Rates FX Commodities
■ Latest stress (16-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
Chart 4: EM and the US are the least stressed GFSI regions globally
[Chart 4 Axis: 0.05, 0.00, -0.05, -0.10, -0.15, -0.20, -0.25, -0.30, -0.35, -0.40]
[Chart 4 Data Labels: 0.02, 0.02, -0.01, -0.03]
EM Europe Japan US
■ Latest stress (16-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
[Chart 4 Data Labels: 0.02, 0.02, -0.01, -0.03]
EM Europe Japan US
■ Latest stress (16-Jun-17) ■ Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*)
■ Stress fall
■ Stress rise
■ Stress rise
[Chart 5 Y-Axis: %-ile of abs chg in stress vs history*]
[Chart 5 Axis: 100%, 90%, 80%, 70%, 60%, 50%]
[Chart 5 Data Labels: 92%, 83%, 82%, 82%, 81%, 80%, 79%, 79%, 77%, 67%]
ESTX50 Skew
Libor-OIS USD
USDJPY Skew
Bond Basis EUR
Basis Swap EURUSD
Comdty Imp Vol Gold
Basis Swap USDJPY
AUDJPY Skew
Euro member Bond Spread
Comdty Imp Vol Crude
[Chart 5 Axis: 100%, 90%, 80%, 70%, 60%, 50%]
[Chart 5 Data Labels: 92%, 83%, 82%, 82%, 81%, 80%, 79%, 79%, 77%, 67%]
ESTX50 Skew
Libor-OIS USD
USDJPY Skew
Bond Basis EUR
Basis Swap EURUSD
Comdty Imp Vol Gold
Basis Swap USDJPY
AUDJPY Skew
Euro member Bond Spread
Comdty Imp Vol Crude
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 (9-Jun-17 to 16-Jun-17).
Chart 6: Global volatility & credit spread stress in the GFSI
■ Latest stress (16-Jun-17) ■ Change in stress
[Chart 6 Axis: 0.2, 0.0, -0.2, -0.4, -0.6, -0.8, -1.0, -1.2, -1.4]
[Chart 6 Data Labels: 0.01, 0.01, 0.00, -0.01, -0.02, -0.06, 0.16]
HY CDS
FX Vol
IG CDS
Equity Vol
Sovrn risk
Rates Vol
Commodity Vol
[Chart 6 Axis: 0.2, 0.0, -0.2, -0.4, -0.6, -0.8, -1.0, -1.2, -1.4]
[Chart 6 Data Labels: 0.01, 0.01, 0.00, -0.01, -0.02, -0.06, 0.16]
HY CDS
FX Vol
IG CDS
Equity Vol
Sovrn risk
Rates Vol
Commodity Vol
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
Bank of America Merrill Lynch
Global Equity Volatility Insights | 20 June 2017 3
HOUSE_OVERSIGHT_014974
Global Equity Volatility Insights | 20 June 2017 3
HOUSE_OVERSIGHT_014974
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