<table><tr><th>From:</th><th>jeffrey E. &lt;jeevacation@gmail.com&gt;</th></tr><tr><td>Sent:
To:</td><td>Tuesday, August 9, 2016 3:43 PM
Ens, Amanda</td></tr><tr><td>Subject:</td><td>Re: MEGA AM: Risk Panty Scenario Tool</td></tr></table>

No more general emails please

On Tuesday, 9 Augus= 2016, Ens, Amanda <█████████████████<mailto:██████████████████> wrote:

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<pan style="font-size:10.0pt;font-family:"Verdana","sans-s-serif">Summary:

* *=A0 We expect US nonfarm productiv=ty to increase 0.6% qoq saar, up from -0.6% in 1=.

Japan: After a decent JGB auction, if yields decline further in the super long secto=, domestic investors seeking positive yields could lose the last destinati=n for their demand. <http://rsch.baml.com/r?q=8d6sHl!D069R9b3Trj=m2Q&e=jeevacation%40gmail.com&h=lc000A>

<=>* =C2* Global Equity Volatility Insights: Last week's sharp= sell-off in JGBs renewed concerns of forced selling by risk parity funds.<=span> <http://rsch.baml.com/r?q=HU9Lw0n0RR-JBtutLiAQUA&=e=jeevacation%40gmail.com&h=Az3eXg> We provide a simple scenario tool.

-China: July CPI inflation eased to 1=8% yoy from 1.9% in Jun on lower food inflation.=span style="font-size:10.0pt;font-family:"Verdana","sans-=erif""">

</=pan>The Reserve Bank=of India held the repo rate unchanged in today's policy meeting =iting continued upside risks to the 5% inflation target to be achieved by =arch 2017 <http://rsch.=aml.com/r?q=cBi971EQ5psYN2afhlilEA&e=jeevacation%40gmail.com&h=3DUfcyuw> .

=p class="MsoNormal">

We expect US nonfarm productivity to increase 0.6% <=pan>qoq saar, up from -0.6% in 1Q. However, it would still result in the year-over-year rate slowing to 0=1% from 0.7% in 10. With productivity improving, unit labor costs likely s=owed to a 2.1% pace from 4.5% in 10. This translates to a 3.1% year-over-y=ar pace versus 3.0% in 10.

=span style="font-size:10.0pt;font-family:"Verdana",sans-serif"

Japan: If yields decline further in the sup=r long sector, domestic investors seeking positive yields could lose the I=st destination for their demand.

<http://rsch.baml.com/r?q=8d6sH!!DD69R=b3Trj2mZQ&e=jeevacation%40gmail.com&h=Jc000A> Ex=essive easing by the central bank could end up depriving the market of low=r risk assets and raising systemic risk.

Japan: All eyes were on the 30Y JGB Auction and rate= are stable post the results. The bid-to-cover ratio in the 30y JGB =uction was of 3.07 and stronger than prior 2.64. H=wever, we are seeing very limited flows post auction results and no follow=through buying interests for now. Whi=e 10y JGB yields fell after the auction, the 40y did not. In equities, TPX is down 1% MTD but cro=ded defensive sectors are down 6% MTD and unloved high beta sectors are up=3%.

=b>Global Equity Volatility Insights= Last week's sharp sell-off in JGBs renewed concerns of forced selling=by risk parity funds. While the draw downs in US Treasuries, US equities, =nd ultimately risk parity portfolios were small (i) leverage is <http://rsch.baml.com/r?q=HU9L=0n0RR-lBtutliAQUA&e=jeevacatiorrY040gmail.com&h=Az3eXg> still markets decline=in near=max continue the levels S&P to 500 be across coupled skeptical a variety with of a of a 2016 -0.6% risk Fed parity fall hike= in parameterizations, 10y Hence Treasury </=pan> we provide prices (ii) bond (poor a simple allocations =iversification) scenario are historically tool. could For trigger example, elevated,=and a 25% a -2% daily (iii) deleveraging (of unlevered notional) t=day, whereas a -4% SPX drop and +1% bond rally (good diversification) woul= generate no selling pressure, underscoring the critical role played by bo=d-equity correlation in governing the severity of risk parity unwinds.<=u>

<=>:

<=pan style="font-size:10.0pt;font-family:"Verdana","sans-s=if"">

UK: GBP traded below 1.3000, after comments from the <=pan>BoE's Ian McCafferty. In a= op-ed in The Times, he noted that if the UK economy proves to have turned=down in line with initial survey signals, he believes more easing would li=ely be required. At the same time he acknowledges that rates can be cut cl=ser to zero and QE could be stepped up. The article goes on to say that th= BoE should follow a gradual approach in how it responds to Brexit given i=formation on the exact reaction is still very limited. While McCafferty was in favour of last week=E2 s rate cut, he was one of three officials to vote against more QE.=/span>

=C2

UK: J-Curve worsens the trade balance

Situation Room: We find that the BOE and=ECB corporate bond QE programs are creating a lot of attractive relative v=lue in the dollar market

<http://rsch.baml.com/r7q=HKeFNr9v9=ylBtutliAQUA&e=jeevacation%40gmail.com&h=Lhb8pg>

Spanish l0y Bond Yields fall be=ow 1% for the first time.<=b>

In Gold we a=e still seeing further interest by investors to buy year-end upsides, so sentiment still remains bullish but perhaps the timi=g for higher prices is now being put towards the back of the year, coincid=ng with the US presidential election.

AUSTRALIAN JULY BUSINESS CONDITIONS FALLS TO =

AUSTRA=IAN JULY BUSINESS CONFIDENCE FALLS TO 4 =/p>

A sharp drop in conditions but stil= above the 5 average. More in line with our expectation for a slower profi=e of growth to justify the rate cut last week.

Greg Kaldor
Managi=g Director</=>

US MEGA (Macro Equity &=mp; Global Alpha) </=pan>

Bank of America =errill Lynch
T +1-646=855-2572

B/Berry +1-347-276-9374
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