Epstein Secrets

f this report or its contents. 28 Global Liquid Markets Weekly I 24 July 2017 Bankof America Merrill Lynch EFTA00788502 Research Analysts US David Woo FX, Rates & EM Strategist Shyam S.RaJan Rates Strategist Ralph Mel Rates Strategist MLPF&S Sebastian Cross Rates Strategist Pac Rim Tony Mo

al 10 year yield based on headline CPI 6 5 4 3 1 0 -1 -2 -3 -4 97 99 01 03 05 07 09 11 13 15 17 —US —Japan —Euro Area Source Bloomberg Chart 12: The term premium means that currencies maintain a positive spread between their 2 year and their 10 year interest 2Y10Y goverment bond y

ositions: buy Nasdaq (N DX) 95% 6m put contingent on USSW10 >ATMF +15bps at maturity for 0.95% (65% discount from vanilla) Rationale: • This week David Woo put out a piece on the Fed's hawkish turn and offered the explanation that the Fed is acting in response to overvalued equities, especially the tech

he bottom quartile over the last two years. Pricing on this structure is attractive, with a -65% discount to vanilla. 6m Daily Correlation Source: Bloomberg Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated EFTA_R1_01883235 EFTA02646431 One Bryant

2016 Source: BofA Merrill Lynch Global Research, Bloomberg Bankof America Merrill Lynch Global Rates, FX & E

est beneficiary of the eee ot ence oe Trump win. 4. Sell a basket of Brazilian, Mexican, and Colombian long bonds — Positioning in J - r r , Beth PBs David Woo EM fixed income market remains crowded while liquidity is poor. FX, Rates & EM Strategist MLPF&S [email protected] 5. Sell BRL/MXN — MXN is overso