=eighted basket of Telefonica; lberdrola; Enel; Unicredit & Santander 26/10/2017 15/02/2018 97.8 92.9 X Rates market =ontinues to re-price ECB. lyly Eonia is almost back at recent =ighs pointing to more upside for SX7E. Long SX7E Mar18 145 calls (40d, 142 ref) 25/01/2018 22/02/2018 2.85 0.2 X Rus

=eighted basket of Telefonica; lberdrola; Enel; Unicredit & Santander 26/10/2017 15/02/2018 97.8 92.9 X Rates market =ontinues to re-price ECB. lyly Eonia is almost back at recent =ighs pointing to more upside for SX7E. Long SX7E Mar18 145 calls (40d, 142 ref) 25/01/2018 22/02/2018 2.85 0.2 X Rus

bout 10bp rate rises were =riced over 12 months — expect this to increase further when =arkets open. Our preferred proxy of ECB rates expectations, lyly Eonia =orwards, have surged almost 20bp since the start of the month. Market has aggressively =e-priced ECB Outlook -> lyly Eonia Forwards have surged 3.