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Financial research report
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1.93 MB
Summary
This document is a Bank of America Merrill Lynch 'Global Equity Volatility Insights' report dated June 6, 2017. It analyzes the Global Financial Stress Index (GFSI), noting it fell below 'normal' levels, while highlighting specific risks in crude oil volatility and European sovereign bonds due to political instability in Italy. The document bears the Bates stamp 'HOUSE_OVERSIGHT_023576', indicating it was produced as part of a document dump to the House Oversight Committee, likely during investigations into financial institutions' relationships with Epstein, though no specific Epstein-related transactions appear on this page.
Organizations (4)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Publisher of the Global Equity Volatility Insights report
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| OPEC |
Mentioned regarding a meeting extending production cuts affecting oil volatility
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| ECB |
European Central Bank, mentioned in context of tapering and sovereign risk
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| House Oversight Committee |
Implied by the Bates stamp 'HOUSE_OVERSIGHT_023576'
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Key Quotes (3)
"The GFSI continued its decline last week, falling to -0.21 as of 2-Jun from -0.17 a week prior."Source
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Quote #1
"Euro member bond spreads recorded a historically significant move higher... as the potential for early Italian elections causing political instability amidst ECB tapering revived concerns about European sovereign risk"Source
HOUSE_OVERSIGHT_023576.jpg
Quote #2
"The GFSI Risk Allocator... suggested a 21.7% overweight position on 2-Jun"Source
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Quote #3
Full Extracted Text
Complete text extracted from the document (2,089 characters)
BofAML GFSI™ X-Asset Risk Landscape
GFSI below ‘normal’ for longest period since summer 2014
The GFSI continued its decline last week, falling to -0.21 as of 2-Jun from -0.17 a week prior. The indicator last spent a significant proportion of time below -0.2 back in summer 2014, when cross asset volatility recorded long term lows.
GFSI below ‘normal’ for longest period since summer 2014
The GFSI continued its decline last week, falling to -0.21 as of 2-Jun from -0.17 a week prior. The indicator last spent a significant proportion of time below -0.2 back in summer 2014, when cross asset volatility recorded long term lows.
• Equity risks led the broad based decline in stress across asset classes (Chart 2 and Chart 3), led by equity skew.
• While most stresses fell, crude oil volatility was among the top gainers (Chart 2) as oil continued its slide despite the May OPEC meeting seeing agreement for extending production cuts.
• Also, Euro member bond spreads recorded a historically significant move higher (Chart 5) as the potential for early Italian elections causing political instability amidst ECB tapering revived concerns about European sovereign risk
• While most stresses fell, crude oil volatility was among the top gainers (Chart 2) as oil continued its slide despite the May OPEC meeting seeing agreement for extending production cuts.
• Also, Euro member bond spreads recorded a historically significant move higher (Chart 5) as the potential for early Italian elections causing political instability amidst ECB tapering revived concerns about European sovereign risk
Chart 1: Latest* stress across GFSI sub-components
[Chart displaying bar graph of various financial indicators labeled: Basis Swap USDJPY, Govt-OIS EUR, Euro member Bond..., etc. Y-axis labeled 'GFSI Stress' ranging from -1.5 to 2.0. Legend: Risk (Blue), Skew (Yellow), Flow (Grey). Annotations: 'Red shaded area highlights components in Risk', 'Green shaded area highlights components in Bullish territory']
Source: BofA Merrill Lynch Global Research. *Latest as of 2-Jun-17.
[Chart displaying bar graph of various financial indicators labeled: Basis Swap USDJPY, Govt-OIS EUR, Euro member Bond..., etc. Y-axis labeled 'GFSI Stress' ranging from -1.5 to 2.0. Legend: Risk (Blue), Skew (Yellow), Flow (Grey). Annotations: 'Red shaded area highlights components in Risk', 'Green shaded area highlights components in Bullish territory']
Source: BofA Merrill Lynch Global Research. *Latest as of 2-Jun-17.
Chart 2: Change** in stress across GFSI sub-components.
[Chart displaying bar graph of changes in indicators. Y-axis labeled 'Change in GFSI Stress' ranging from -0.8 to 0.4. Labels include CDS Index Skew USD, Bond Basis EUR, etc.]
Source: BofA Merrill Lynch Global Research. **Latest as of 2-Jun-17. Change vs 1 week prior (26-May-17).
[Chart displaying bar graph of changes in indicators. Y-axis labeled 'Change in GFSI Stress' ranging from -0.8 to 0.4. Labels include CDS Index Skew USD, Bond Basis EUR, etc.]
Source: BofA Merrill Lynch Global Research. **Latest as of 2-Jun-17. Change vs 1 week prior (26-May-17).
The GFSI Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1) suggested a 21.7% overweight position on 2-Jun (vs 13.0% OW as of 26-May). The percentages of Bullish, Bearish and Neutral GFSI components (as used in the Risk Allocator) as of 2-Jun were 30.4%, 8.7% and 60.9% respectively.
2 Global Equity Volatility Insights | 06 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023576
Bank of America Merrill Lynch
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