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Summary
This document is page 3 of a Bank of America Merrill Lynch 'Global Equity Volatility Insights' report dated August 09, 2016. It provides technical financial analysis regarding the GFSI Risk Allocator, displaying four charts tracking stress across assets, regions (US, Japan, Europe, EM), and volatility movers. The document bears the Bates stamp HOUSE_OVERSIGHT_025980, indicating it was part of a document production for the US House Committee on Oversight and Reform, likely related to investigations into financial institutions' handling of accounts related to Jeffrey Epstein.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Creator of the Global Equity Volatility Insights report
|
|
| House Oversight Committee |
Document stamped with HOUSE_OVERSIGHT bates number, indicating it was obtained during a congressional investigation (...
|
Key Quotes (2)
"The GFSI Risk Allocator favours being underweight risk assets given the distribution of stresses within the GFSI."Source
HOUSE_OVERSIGHT_025980.jpg
Quote #1
"The Risk Allocator... suggests reducing the underweight position to 4.3% UW from last week's 17.4% UW."Source
HOUSE_OVERSIGHT_025980.jpg
Quote #2
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The GFSI Risk Allocator favours being underweight risk assets given the distribution of
stresses within the GFSI. The percentages of Bullish, Bearish and Neutral GFSI
components (as used in the Risk Allocator) were 8.7%, 13.0% & 78.3%, respectively as
of 5-Aug. The Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1) suggests
reducing the underweight position to 4.3% UW from last week’s 17.4% UW.
stresses within the GFSI. The percentages of Bullish, Bearish and Neutral GFSI
components (as used in the Risk Allocator) were 8.7%, 13.0% & 78.3%, respectively as
of 5-Aug. The Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1) suggests
reducing the underweight position to 4.3% UW from last week’s 17.4% UW.
Chart 3: Stress across assets (Rates & FX are the most stressed asset
classes – credit stress declined the most last week
classes – credit stress declined the most last week
[Chart 3 Bar Graph showing Commodities, Rates, FX, Equities, Credit]
Values visible: 0.01, -0.01, -0.05, -0.12
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Values visible: 0.01, -0.01, -0.05, -0.12
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Chart 4: Stress across regions (Europe is the most stressed region in the
GFSI while EM is the least stressed)
GFSI while EM is the least stressed)
[Chart 4 Bar Graph showing US, Japan, Europe, EM]
Values visible: 0.03, -0.11, -0.11, -0.11
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Values visible: 0.03, -0.11, -0.11, -0.11
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*)
[Chart 5 Bar Graph]
Legend: Stress fall, Stress rise
Percentages: 100%, 99%, 95%, 93%, 85%, 81%, 80%, 78%, 77%, 69%
Labels: IG Foreign Sovrn Bond Spread, Sub IG Foreign Sovrn Bond..., Libor-OIS GBP, CDS Index Skew EUR, GBPUSD Imp Vol, Libor-OIS JPY, Comdty Imp Vol Copper, Basis Swap EURUSD, Libor-OIS USD, 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 (22-Jul-
16 to 29-Jul-16).
Legend: Stress fall, Stress rise
Percentages: 100%, 99%, 95%, 93%, 85%, 81%, 80%, 78%, 77%, 69%
Labels: IG Foreign Sovrn Bond Spread, Sub IG Foreign Sovrn Bond..., Libor-OIS GBP, CDS Index Skew EUR, GBPUSD Imp Vol, Libor-OIS JPY, Comdty Imp Vol Copper, Basis Swap EURUSD, Libor-OIS USD, 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 (22-Jul-
16 to 29-Jul-16).
Chart 6: Global volatility & credit spread stress in the GFSI
[Chart 6 Bar Graph]
Values visible: 0.04, 0.01, -0.01, -0.03, -0.08, -0.10, -0.23
Labels: Rates Vol, Commodity Vol, HY CDS, IG CDS, FX Vol, Equity Vol, Sovrn risk
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Values visible: 0.04, 0.01, -0.01, -0.03, -0.08, -0.10, -0.23
Labels: Rates Vol, Commodity Vol, HY CDS, IG CDS, FX Vol, Equity Vol, Sovrn risk
Legend: Latest stress (05-Aug-16), Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (22-Jul-16 to 29-Jul-16).
Bank of America
Merrill Lynch
Merrill Lynch
Global Equity Volatility Insights | 09 August 2016
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