Epstein Secrets

reasuries & SPX - -06- -08- M-13 Dee.13 Tes-14 Od-14 Taar-15 Aug-15 Jan-16 Juri-16 3m relise ly restée • 6m 61y in'Oed 15% 14% 12% Tele I: Analys expeacbansitle suptiscson ILS cm. Weil errants Mile eere is I ttk rab pricedinin the epdonmeket vs lise:tical eanings moues Ex pected Option Pat 4

.1% 21.1% 87.9% 76.3% 71.9% ASS1 3.2% 13.8% 84.4% 701% 61.6% HSI 4.2% 17.7% 83.6% 692% 64.0% WISE 3.4% 13.2% 83.3% 69.7% 60.5% KOSPI2 2.8% 11.9% 78.1% 71.1% 71.6% NIFTY 3.4% 14.0% 72.6% 71.6% 73.6% NKY 62% 26.2% 71.6% 50.3% 47.0% S&P500 at all-time highs but net 'b

BofA Analytics = DATA DRIVEN = Global Equity Derivatives Rsch MLPI F&S Anshul Gupta >> Equi MLI Nitin Saksena Equi MLP Willi Equi ‘y-Linked Analys UK) y-Linked Analys F&S am Chan, CFA >> y-Linked Analys Merrill Lynch (Hong Kong) Abhi Equi MLI Benj Equi MLP nandan Deb >> ‘y-Linked Analys UK

% 2M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 1.16 98% ° Source: BofA Merrill Lynch Global Research 5% * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E a a oo a a a ee mid level implied vol ise] iss} o oO D o ise] D o ise] D o ise] oO > Sao 7 SYN FT EH FEY FOS Source:

over the last 1M. Moreover, the average festul Guna ss payoff of being long SXEP 3M 25d calls would have been >2x greater than USO 3M 25d Equi elated Analys calls (owing to more frequent positive returns), when sized for the same upfront cost. LSS clea aa i Abhinandan Deb >> Asia Eauity-Linked Ana ysl Own

t Level Table 5: Volatility measures of major Asian indices (data as of 5-Aug-16) Korean structured product issuance increased to US$1.9bn in July: KOSPI2-linked products dominated Korean auto-callable product issuance ticked up last month, with a total of USS 1.9bn notional issued, vs. USS 1.6bn total