FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES

Similar documents
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES

FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES

FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES

MANAGED FUTURES INDEX

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS JANUARY 2019 INVEST WITH AUSPICE. AUSPICE Capital Advisors

MANAGED FUTURES INDEX

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS JULY 2018 INVEST WITH AUSPICE. AUSPICE Capital Advisors

MANAGED FUTURES INDEX

MANAGED FUTURES INDEX

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS APRIL 2018 INVEST WITH AUSPICE. AUSPICE Capital Advisors

Goldman Sachs Commodity Index

Commodity Price Outlook & Risks

MANAGED FUTURES INDEX

MANAGED FUTURES INDEX

Market and Economic Charts. Retail Fund Management Team Investec Asset Management

FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS MARCH 2018 INVEST WITH AUSPICE. AUSPICE Capital Advisors

Commodity Price Outlook & Risks

MANAGED FUTURES INDEX

BROAD COMMODITY INDEX

Commodity Price Outlook & Risks

Bache Commodity Index SM. Q Review

New Risk Management Strategies

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS FEBRUARY 2018 INVEST WITH AUSPICE. AUSPICE Capital Advisors

BROAD COMMODITY INDEX

Executive Summary. July 17, 2015

Hedging Potential for MGEX Soft Red Winter Wheat Index (SRWI) Futures

Commodity Price Outlook & Risks

Fourth Quarter 2015 Market Review. March 2016

Commodity Price Outlook & Risks

Vantage Investment Partners. Quarterly Market Review

Key Commodity Themes. Maxwell Gold Director of Investment Strategy. Gradient Investments Elite Advisor Forum October 5 th, 2017

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS OCTOBER 2017 INVEST WITH AUSPICE. AUSPICE Capital Advisors

Report to the Finance Committee Review of Variable Rate Debt. MTA Finance Department Patrick J. McCoy, Director April 24, 2017

CME Group 3Q 2015 Earnings Conference Call

Leading Economic Indicator Nebraska

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS JANUARY 2018 INVEST WITH AUSPICE. AUSPICE Capital Advisors

The Scream - Edvard Munch 1893 Current Market Update and Recent Developments

BROAD COMMODITY INDEX

Liquidity Monitor. 1 August Amy Auster Katie Dean Amber Rabinov Jasmine Robinson Economics & Markets Research

BROAD COMMODITY INDEX

Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri Monthly Economic & Capital Market Update

DIVERSIFIED PROGRAM COMMENTARY + PORTFOLIO FACTS NOVEMBER 2017 INVEST WITH AUSPICE. AUSPICE Capital Advisors

Weekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers. TOTAL Diversified Energy Industrial

GIMA Pulse Date of Report: 04/07/2017 a monthly snapshot of the UK Economy from

Leading Economic Indicator Nebraska

Leading Economic Indicator Nebraska

MAY 2018 Capital Markets Update

Leading Economic Indicator Nebraska

Leading Economic Indicator Nebraska

Introduction to Futures & Options Markets for Livestock

Bache Commodity Index SM Annual Review

NASDAQ Commodity Index Family

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. January 2019

Figure 1: Change in LEI-N August 2018

/ CRB Index May 2005

Nasdaq US Large Cap Equities for Rising Rates Index

Implications of Low Inflation Rates for Monetary Policy

CS/Tremont Hedge Fund Index Performance Review

Department of Agricultural and Resource Economics

Leading Economic Indicator Nebraska

Quarterly Investment Management Conference Call July 15, 2009

ETFs: Regulatory (High) Impact. Commerzbank, leaders in ETF February 2018

ETFs listed on TSE. TOPIX Daiwa ETF-TOPIX JP 0.11 Daiwa AM Jul. 13, 2001

CITI Bank Bangkok branch. Set B Capital Item1 Capital Structure Table 2 Capital of Foreign Banks Branchs Unit : THB. Item June 30, 2009

Weekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers TOTAL. Diversified Energy Industrial Precious

Leading Economic Indicator Nebraska

USCF Dynamic Commodity Insight Monthly Insight September 2018

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2018

2018 Investment and Economic Outlook

Spectrum Asset Management LLC

Weekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers. Diversified Energy Industrial

XML Publisher Balance Sheet Vision Operations (USA) Feb-02

Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri

Leading Economic Indicator Nebraska

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2017

26th International Aluminium Conference Moscow. Christoph Eibl Chief Executive September 2012

Stated Coupon. Notional. Value

Leading Economic Indicator Nebraska

The Crude Oil Comeback

MARCH 2018 Capital Markets Update

ETF Securities Weekly Flows Analysis Gold ETPs outflows after hawkish September FOMC minutes.

Looking at a Variety of Municipal Valuation Metrics

Bond Basics July 2006

DAILY MARKET REPORT 19 NOVEMBER 2018

COMMODITY INVESTMENTS

GLOBAL FUTUS MARGIN & COMMISSION

PHOENIX ENERGY MARKETING CONSULTANTS INC. HISTORICAL NATURAL GAS & CRUDE OIL PRICES UPDATED TO July, 2018

MTA Educational Web Series

Key market performance drivers. Monthly charts to 30 September 2018

APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES

GIMA Pulse Date of Report: 04/12/2017 a monthly snapshot of the UK Economy from

Analyze the Market for a Seasonal Bias. It is recommended never to buck the seasonal nature of a market. What is a Seasonal Trend?

Transparency in the U.S. Repo Market

XLF Financial Select Sector SPDR Fund

Economic Outlook: Global and India. Ajit Ranade IEEMA T & D Conclave December 12, 2014

Dairy Outlook. July By Jim Dunn Professor of Agricultural Economics, Penn State University. Market Psychology

Defined Benefit Plans and Hedge Funds: Enhancing Returns and Managing Volatility. By introducing a hedge

CONTENTS COMMENTARY CHARTS TABLES GLOSSARY. Section 1: Headline Inflation Section 2: Core Inflation

SYSTEMATIC GLOBAL MACRO ( CTAs ):

Transcription:

FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report Feb 1 th Median inflation expectations decreased over the two week period for both inflation tenors. The probability of high inflation for the 5-year tenor, defined as the market probability of more than 3% inflation, suffered its largest decline in 12 months. The S&P 5 fell by -.16%; both the 2 banks and 11 insurance firms we follow underperformed the broader market index, on average, returning -2% and - 1.1% respectively. MPD standard deviation for the 12-month S&P 5 tenor posted a 12 month low; several insurance firms followed this trend by posting respective 12-month lows, suggesting that investor uncertainty around these firms has diminished. The dollar was stronger against the euro and pound. Gold and silver posted gains of 3.6% and 4.3%, respectively; and the MPD skew for gold has returned to levels set prior to its precipitous decline in late November. Inflation Market-based inflation expectations derived from caps and floors on the CPI for 1- and 5-year periods were lower for both tenors: The 1-year declined slightly to 2.31%, and the 5-year decreased by 8.8 bps to 2.14%. The decrease registered by the 5-year tenor is shown for reference (see figure, below). Additional detail: The probability of high inflation, defined as the market probability of more than 3% inflation, fell by -2.9 percentage points; its largest change in 12-months (see chart, below). 1 of 3

Interest Rate Treasury prices increased over the two week period: The 5-year was higher by.5%, and the 1-year rose by.9%. As a result, yields fell. Changes in MPD standard deviation were minor. The metric fell by an average -.2 percentage points. Both LIBOR tenors declined over the two week period, with the 3-year tenor falling by 6.8 bps, and the 5-year tenor falling by 77 bps. Changes in MPD standard deviation were mixed. The metric was lower for the 3-year tenor, decreasing by -.6 percentage points, whereas the 5- year tenor experienced a slight increase of.1 percentage points. Banks and Insurance Companies The S&P 5 fell by.2% over the past two weeks. While changes in MPD standard deviation were flat for the 12-month tenor, the 6-month tenor experienced a 1.3% increase. The 2 banking firms we follow posted a -2.1% return, underperforming the market. The 11 insurance companies we follow underperformed the broader market index returning -1.1% on average. Additional details: The S&P 5 12-month tenor posted its lowest MPD standard deviation level in 1 year. This implies that investor uncertainty surrounding the broader market index has declined over the time period. MPD standard deviation changes were mixed for the banking and insurance firms we follow: the metric for banks was higher by.6 percentage points, while for insurers, it fell by -.8 percentage points. Specifically AFL, ALL, HIG, and LNC all posted new 12-month lows for MPD standard deviation. Other Markets The ishares US Real Estate Index outperformed the market, returning -.12%. Its MPD standard deviation increased by.8 percentage points. The dollar was stronger against the euro and pound, but lost ground against the yen. While MPD skew levels move higher for each currency pair, they all point toward neutral investor bias. Gold and silver moved higher by 3.6% and 4.3%, respectively. MPD standard deviation fell by an average -.55 percentage points for both metals and MPD skews currently signal neutral bias. Of note, The MPD skew for gold has steadily increased from the low set on 11/3/16, approaching the levels set prior to its decline. 2 of 3

WTI crude fell by -.95% over the 2 week period. Changes in MPD statistics were mostly flat. Corn, soybeans and wheat increased by 1.3%,.4% and.5%, respectively. Positive MPD skews for corn and wheat signal investor bias towards future higher crop prices. Cattle fell by -6.1% while lean hogs declined slightly. Both MPD skews signal investor bias towards lower future livestock prices. 3 of 3

Inflation MPD Statistics as of February 8, 217 Median 2.31%.55% MPD Std Dev.88%.98% MPD Skew 1.51.13 Market Prob of Less Than 1% Inflation Market Prob of More Than 3% Inflation 9.74%.2% 2.82%.17% Inflation (1 Year Expiry) 2.38.97 2.75 Apr6.87 1.8 1.59 9.1 Apr6 51.6 22.58 1.58 Inflation (5 Year Expiry) Feb1 Feb1 Feb1 Feb1 Jan4 2.31.15 2.38.88.83 2.75 1.51 1.59 2.5 9.74 9.1 85.35 2.82.23 26.16 Median 2.14%.88% MPD Std Dev 1%.16% MPD Skew.24.37 Market Prob of Less Than 1% Inflation Market Prob of More Than 3% Inflation 11.49% 1.6% 19.17% 2.9% 2.25 1.23 1.8.99.2.28 4.14 9.7 22.71 4.66 Feb1 Feb1 Feb1 Feb1 2.14 1.23 2.6 1.91 1.52.24.28.78 11.49 7.13 4.14 4.66 36.73 19.17 Source: Bloomberg Page 1 of 16

Medium to Long Bond Price MPD Statistics as of February 8, 217 5 Year Treasury (3 Month Expiry) 122.32 Spot 118.1.48% 117.1 MPD Std Dev 1.66%.19% MPD Skew.24.12 Market Prob of 3% 4.17% 1.1% Volume 2867 91% 1.95 1.3.19.67 6.51 1.84 325657 Feb18 Jul6 Dec21 Nov3 Dec14 Nov3 1 Year Treasury (3 Month Expiry) 118.1 117.1 122.32 last 29 months 1.66 1.3 2.3 last 29 months.24.67.36 last 29 months 4.17 1.84 8.74 last 29 months 2867 1678 37755 last 29 months 133.67 Spot 124.84.85% 123.3 MPD Std Dev 2.73%.21% MPD Skew.1.68 Market Prob of 5% 3.81%.69% 3.22 2.14.21.31 6.45 1.54 1143418 Volume 129852 13% Jul6 Jun15 Dec21 Nov3 Dec14 Nov3 124.84 122.97 133.67 last 4 months 2.73 2.14 3.8 last 4 months.1.75.31 last 4 months 3.81 1.54 8.48 last 4 months 11 118598 129852 last 4 months Source: Chicago Mercantile Exchange Page 2 of 16

Short Interest Rates MPD Statistics as of February 8, 217 3 Month LIBOR (3 Year Expiry) Median 1.75%.68% MPD Std Dev 1.18%.63% MPD Skew.95 2.7 Market Prob of Less Than.5% LIBOR Market Prob of More Than 1% + Spot 11.73%.47% 38.19%.63% 1.85.77 1.81.98 3.61.58 37.56 1.21 41.99 13.93 Jul6 Jul6 Dec21 Nov9 3 Month LIBOR (5 Year Expiry) Jan18 Dec21 1.75.72 1.85 1.18.77 2.17.95.4 6.1 11.73 9.79 38.2 38.19 13.93 67.85 Median 1.42%.77% MPD Std Dev 1.85%.1% MPD Skew 1.24.16 Market Prob of Less Than 1% LIBOR Market Prob of More Than 2% + Spot 2.19.83 2.28 1.31 2.77.81 3.56% 5.7% 24.89 25.2%.71% 56.28 42.2 7.2 Jul6 Jul6 Jul6 Oct19 Oct12 Dec21 Jan18 1.42.83 2.99 last 46 months 1.85 1.31 2.85 last 46 months 1.24.2 3.88 last 46 months 3.56 17.66 56.28 last 46 months.2 6.53 25.2 last 46 months Source: Bloomberg Page 3 of 16

Equity Index MPD Statistics as of February 8, 217 S&P 5 (6 Month Expiry) Spot 2294.67.16% MPD Std Dev 1.33% 1.3% MPD Skew 1.37.16 Market Prob of 2% 5.4% 1.8% Volume 43719 65% Spot 2294.67.16% MPD Std Dev 15.35%.27% MPD Skew 1.34.11 Market Prob of 2% 1.2%.16% Volume 4688 3% 2298.37 1851.86 17 9.4 1.13 1.74 Mar3 12.52 3.6 23426 S&P 5 (12 Month Expiry) 2298.37 1851.86 23.38 15.35 1.2 1.78 Mar3 17.9 9.5 167598 Jul13 Dec14 Feb8 Dec14 ishares US Real Estate Index (3 Month Expiry) 2294.67 152.42 2298.37 1.33 8.87 17 1.37 1.74.86 5.4 3.6 12.52 43719 13428 3938 2294.67 152.42 2298.37 15.35 1.5 23.52 1.34 1.78.98 1.2 5.51 17.37 4688 4874 167598 Spot 77.69.12% MPD Std Dev 7.98%.78% MPD Skew.72.22 Market Prob of 1% 12.15% 3% Volume 12919 78% 84.23 67.26 11.69 6.52.43 1.36 18.66 7.17 98246 Mar3 Aug1 Jul2 Jul2 Jan11 77.69 61.63 84.23 7.98 5.22 11.83.72 2.9.35 12.15 4.45 2.5 32 141443 12919 Source: FactSet Page 4 of 16

Exchange Rate MPD Statistics as of February 8, 217 Dollar Euro Futures (3 Month Expiry) Spot 1.7.93% MPD Std Dev 3.92%.12% MPD Skew.17.15 Market Prob of 1%.94%.34% Volume 4486 94% Spot 125.33.84% MPD Std Dev 4.95%.43% MPD Skew.17.15 Market Prob of 1% 2.69%.18% Volume 32564 13% 1.15 1.5 8.76 3.74.15.6 11.8.63 11627 May4 Dec21 Nov3 Aug1 Nov2 Jun15 Aug1 Nov3 Dollar Pound Futures (3 Month Expiry) 147.22 122.1 9.66 4.62 1.9 14.78 2.13 32564 May25 Jun15 Oct12 Aug1 Jun22 Jun15 Aug1 Dollar Yen Futures (3 Month Expiry) 1.7 1.5 1.39 3.92 2.4 8.76.17.6.2.94.2 11.8 4486 685 11627 125.33 122.1 171.39 4.95 2.36 9.66.17 1.9.1 2.69.1 14.78 32564 992 38626 99.92 Spot 89.3 1.3% 85.27 MPD Std Dev 5.83%.15% MPD Skew.15.56 Market Prob of 1% 3.93%.55% Volume 44445 15% 8.22 5.18.46.5 9.77 2.4 61215 May25 Aug17 Jun22 Aug1 Jan4 Nov3 Nov3 89.3 8.11 17.42 5.83 2.76 8.83.15.4.46 3.93.2 11.17 1611 61215 44445 Sources: Chicago Mercantile Exchange, Bloomberg Page 5 of 16

Metal and Energy Commodity MPD Statistics as of February 8, 217 Gold (6 Month Expiry) 1374.9 Spot 1245.9 3.6% 1137.71 MPD Std Dev 1.78%.37% MPD Skew.14.15 Market Prob of 2% 3.68%.35% Volume 3288 6% 14.59 1.41.39.39 8.69 2.99 47482 Spot 17.82 4.3% 15.9 MPD Std Dev 16.75%.68% MPD Skew.8.54 Market Prob of 2% 11.78% 1.5% Volume 127 42% Feb25 Feb25 Jul6 Silver (6 Month Expiry) 2.58 21.99 16.73.48.13 19.11 11.78 1785 Mar3 Jul13 Jul6 Jul13 Jul6 Dec21 Nov2 Sep28 Nov3 Feb1 Dec21 Feb8 West Texas Intermediate Crude (6 Month Expiry) 1245.9 154.83 1618.8 1.78 9.39 17.9.14.71.39 3.68 2.39 11.76 3288 378 47482 17.82 13.82 29.33 16.75 13.16 24.59.8.63.48 11.78 6.54 2.85 127 37 2231 Spot 54.27.95% MPD Std Dev 21.55%.54% MPD Skew.59.53 Market Prob of 2% 17.75%.63% Volume 715 99% 56.67 34.82 39.37 2.9.39.73 31.89 15.66 127236 Feb18 Apr2 Dec28 Dec28 Dec7 Dec28 54.27 32.5 12.41 21.55 1.25 39.37.59.81.1 17.75 3.65 31.89 165 132335 715 Sources: Chicago Mercantile Exchange, Bloomberg Page 6 of 16

Agricultural Crop Commodity MPD Statistics as of February 8, 217 Corn (6 Month Expiry) 439.62 Spot 385.87 1.3% 315.44 MPD Std Dev 14.88%.14% MPD Skew.42.49 Market Prob of 2% 8.7%.34% Volume 28244 15% 22.76 13.83.7.9 21.96 7.5 3158 Spot 173.61.43% 871.6 Apr13 Feb25 Jun15 Jun15 Jun15 Soybeans (6 Month Expiry) 1159.12 23.86 MPD Std Dev 14.48%.59% 1.21 MPD Skew.5.99 Market Prob of 2%.89.16 8.76%.78% 2.96 Volume 21497 73% 17.39 8482 Mar3 Jun8 Feb25 May11 Feb25 Jul13 Jul13 Wheat (6 Month Expiry) Nov3 Nov9 385.87 315.44 598.25 14.88 12.41 22.76.42.19.7 8.7 4.96 21.96 28244 45 37729 173.61 864.89 1343.75 14.48 1.21 23.86.5.5.89 8.76 2.96 17.39 21497 294 2459 548.3 Spot 455.44.51% 388.16 21.98 MPD Std Dev 16.63%.37% 15.14 MPD Skew.63.64 Market Prob of 2% 11.35%.28% Volume 883 3%.74.38 2.35 9.2 83594 Jun8 Apr2 Apr2 Sep21 Jun29 Sep21 Dec21 455.44 388.16 752.25 16.63 12.95 22.31.63.2.74 11.35 5.67 2.71 179 83594 883 Sources: Chicago Mercantile Exchange, Bloomberg Page 7 of 16

Agricultural Livestock Commodity MPD Statistics as of February 8, 217 Cattle (6 Month Expiry) Spot 11.52 6.1% MPD Std Dev 11.54%.1% MPD Skew.57.11 Market Prob of 5% 124.83 98.31 15.35 9.55.12.9 38.78 29.9% 1.5% 24.21 Volume 231 69% 1891 Mar17 Mar17 Mar23 Mar17 Hogs (6 Month Expiry) Oct19 Sep28 Oct19 Oct19 11.52 98.31 17.32 last 43 months 11.54 3.6 15.35 last 43 months.57.94.12 last 43 months 29.9 8.46 38.78 last 43 months 231 1263 3385 last 43 months Spot 78.18.89% MPD Std Dev 15.1%.62% MPD Skew.62.62 Market Prob of 2% 11.2% 1.1% Volume 1357 13% 81.22 51.28 24.26 13.42.99 21.98 7.18 1974 Mar17 Mar3 Mar3 Sep28 Sep28 Sep28 Nov16 Sep28 78.18 51.28 94.48 last 28 months 15.1 13 24.26 last 28 months.62.99.17 last 28 months 11.2 7.18 21.98 last 28 months 53 1673 1357 last 28 months Sources: Chicago Mercantile Exchange, Bloomberg Page 8 of 16

Bank MPD Statistics as of February 8, 217 MPD Standard Deviation (3 Month Expiry) American Express 1.22%.94% 15.87 8.2 Bank of America 13.61% 1.4% 21.78 11.39 BB&T 9.94%.59% 16.69 9.9 Barclays 16.78%.18% 31.5 14.24 Bank of NY Mellon 1.49%.41% 17.63 1.8 2.73 Citigroup 12.34% 1.8% 1.57 Capital One 12.14% 1.3% 18.85 1.8 Credit Suisse 19.76%.16% 31.32 15.53 Deutsche Bank 18.71% 1.7% 39.74 18.18 Fifth Third 13.44%.85% 19.87 11.62 Goldman Sachs 11.55%.19% 18.62 8.8 JP Morgan 1.62% 1.5% 16.5 9.2 Keycorp 13.65% 1.5% 18.8 11.79 22.74 Morgan Stanley 13.82% 1.9% 1.87 PNC Financial 1.52%.73% 15 9.59 Regions Financial 14.86%.63% 21.74 11.55 SunTrust 11.77%.7% 19.5 11.22 State Street 12.35%.8% 18.31 12.16 UBS 13.36% 19.2 8.7 US Bancorp 9.17% 1.1% 14.43 7.74 Wells Fargo 1.74%.31% 17.68 7.86 Mar3 Mar3 Feb18 Apr13 Apr2 Feb18 Feb18 Apr27 Mar6 Sep14 Sep7 Aug17 Jun29 Aug24 Dec28 Aug17 Sep7 Oct19 Sep7 Aug24 Sep24 Sep14 Sep7 1.22 7.82 15.87 13.61 9.68 21.78 9.94 7.29 16.69 16.78 1.93 31.5 1.49 7.13 17.63 12.34 8.52 2.73 12.14 7.72 19.11 19.76 9.84 31.32 18.71 11.33 39.74 last 42 months 13.44 8.21 19.87 11.55 8.23 18.62 1.62 7.41 16.5 13.65 8.98 18.8 13.82 8.97 22.74 1.52 7.45 15 14.86 1.9 21.74 last 47 months 11.77 7.82 19.5 12.35 8.81 18.49 13.36 8.7 24.21 last 23 months 9.17 6.58 14.54 7.16 17.68 1.74 Source: FactSet Page 9 of 16

Bank MPD Statistics as of February 8, 217 MPD Skew (3 Month Expiry) American Express.56.56 Bank of America.44.2 BB&T.76.25 Barclays.8.12 Bank of NY Mellon.68.12 Citigroup.49.28 Capital One.65.17 Credit Suisse.91.38 Deutsche Bank.12.3 Fifth Third.45.36 Goldman Sachs.43.21 JP Morgan.67.26 Keycorp.55.12 Morgan Stanley.49.28 PNC Financial.57.11 Regions Financial.53.13 SunTrust.54.73 State Street.84.14 UBS.4 US Bancorp.67.33 Wells Fargo.29.2.21.99.2.83.64 1.76.27 1.88.53 1.35.21 1.4.42 1.2.39 2.76.47 1.52.36 1.19.15.99.41 1.22.2 1.79.32 1.7.57 1.41.3 1.6.21 1.7.24 1.42.91 1.72.35 1.34.6 1.1 Feb18 Mar1 Feb25 Mar3 Feb25 May25 Apr27 Mar1 Mar3 Sep14 Sep21 Dec14 Sep14 Jan4 Dec28 Nov9 Dec28 Aug24 Dec28 Oct12 Jun29 May18 Sep14 Jul13 Sep28 Sep21 Aug3 Feb1 Oct19 Feb8 Sep14 Sep14 Dec31 Nov26.56.99.21.44.99.2.76 1.76.22.8 2.51 1.94.68 1.39.32.49 1.17.21.65 1.2.16.91 2.76 1.81.12 1.52.47 last 42 months.45 1.69 2.19.43 1.9.15.67 1.22.33.55 1.79.34.49 1.12.25.57 1.84.39.53 1.6.68 last 47 months.54 1.27.21.84 2.31.13.4 3.36.91 last 23 months.67 1.55.2 1.3.6.29 Source: FactSet Page 1 of 16

Bank MPD Statistics as of February 8, 217 Market Probability of 2% (3 Month Expiry) American Express 4.1%.99% Bank of America 9.22% 3.2% BB&T 3.9%.64% Barclays 11.89% 1.8% Bank of NY Mellon 4.41%.6% Citigroup 6.95% 3.3% Capital One 6.96% 2.5% Credit Suisse 15.41% 1.4% Deutsche Bank 12.49% 2.9% Fifth Third 8.65% 1.2% Goldman Sachs 5.43%.63% JP Morgan 5.9% 2.5% Keycorp 9.33% 3.8% Morgan Stanley 9.37% 3.2% PNC Financial 4.19%.56% Regions Financial 1.43%.53% SunTrust 5.34%.58% State Street 6.97% 1.5% UBS 7.28% US Bancorp 3.21% 1.6% Wells Fargo 4.53%.32% 1.35 1.85 17.74 4.75 12.22 3.18 28.98 7.47 15.17 3.81 16.5 3.69 15.15 4.48 34.48 5.13 23.73 12.45 17.6 5.41 13.1 2.2 11.65 2.64 16.35 5.49 18.1 3.71 1.55 3.78 2.23 4.72 15.8 5.28 15.57 6.37 18.15 1.53 9.69 1.64 9.41 1.58 Mar3 Mar6 Feb25 Sep7 Aug17 Jul27 Aug24 Aug1 Aug17 Sep7 Sep7 Sep21 Aug24 Sep14 Sep7 Jan11 Dec31 4.1 1.53 1.35 9.22 3.13 17.74 3.9 1.68 12.22 11.89 2.33 28.98 4.41 1.12 15.17 6.95 1.93 16.5 6.96 1.64 15.15 15.41 2.87 34.48 12.49 4.99 23.73 last 42 months 8.65.99 17.6 5.43 1.79 13.1 5.9 1.31 11.65 9.33 1.92 16.35 9.37 2.57 18.1 4.19 1.43 1.55 1.43 3.34 2.23 last 47 months 5.34 1.73 15.8 6.97 2.26 15.74 7.28 1.53 18.15 last 23 months 3.21.74 9.69 1.3 9.93 4.53 Source: FactSet Page 11 of 16

Bank MPD Statistics as of February 8, 217 Volume (3 Month Expiry) American Express 8257 41% Bank of America 31372 85% BB&T 2878 49% Barclays 426 67% Bank of NY Mellon 1848 1.2% Citigroup 1738 31% Capital One 299 13% Credit Suisse 656 19% Deutsche Bank 6888 48% Fifth Third 1375 14% Goldman Sachs 13647 23% JP Morgan 21428 1% Keycorp 613 98% Morgan Stanley 3672 9% PNC Financial 489 72% Regions Financial 222 94% SunTrust 273 98% State Street 733 56% UBS 124 US Bancorp 3695 7.7% Wells Fargo 12178 57% 15162 215456 5463 1899 33235 9561 1334 31577 99132 6123 492 66163 3181 37739 2996 47587 14765 27 234 33496 8746 8257 532 32713 31372 7419 215456 2878 126 649 426 8 1899 1848 44 33235 1738 181 14439 299 136 1334 656 1 31577 6888 76 99132 last 42 months 1375 24 19127 13647 612 492 21428 951 132116 613 44 3181 3672 327 48955 489 42 4932 222 2 4794 last 47 months 273 61 14765 733 19 5339 124 23 2766 last 23 months 3695 52 33496 95 121351 12178 Source: FactSet Page 12 of 16

Insurance Company MPD Statistics as of February 8, 217 MPD Standard Deviation (3 Month Expiry) Aflac 7.65%.63% AIG 1.4%.6% Allstate 6.97%.64% Ameriprise 13.32%.95% Chubb 7.84%.17% Hartford Financial 1.25% 1.4% Lincoln National 13.16%.6% Met Life 12.88% 1.1% Principal Financial 13.29%.67% Progressive 13.45% 7.9% Prudential 13.46%.42% 13.6 7.65 18.95 8.3 12.4 6.97 18.71 11.92 12.49 7.67 17.91 1.25 22.48 13.16 19.33 11.81 18.94 8.97 21.37 8.44 18.24 12.39 Feb18 Sep7 Aug1 Feb8 Feb8 Feb8 Feb8 Nov16 Sep28 7.65 7.11 13.91 1.4 8.3 18.95 6.97 5.83 13.18 13.32 8.98 18.71 7.84 5.96 24.8 1.25 8.35 18.69 13.16 8.98 22.48 12.88 9.4 19.33 13.29 8.2 23.83 13.45 5.79 21.37 last 47 months 1.9 18.54 13.46 Source: FactSet Page 13 of 16

Insurance Company MPD Statistics as of February 8, 217 MPD Skew (3 Month Expiry) Aflac 1.14.11 AIG.66.38 Allstate.72.51 Ameriprise.82.39 Chubb 1.26.35 Hartford Financial.83.32 Lincoln National.53.56 Met Life.56.19 Principal Financial 2.39.5 Progressive 3.98 4.6 Prudential.58.18.6 1.25.32 1.12.47 1.39.21 1.47.64 1.65.16 1.55.33 1.7.28 1.24.7 2.73.96 3.98.4 1.2 Apr6 May4 Nov16 Sep7 Dec14 Sep28 Feb1 Sep7 Nov3 Oct5 Nov3 Jul27 Jun1 Jun8 May18 Dec14 Oct19 Jan11 Feb8 Jan11 1.14 1.31.6.66 1.16.23.72 1.5.12.82 1.7.11 1.26 1.65.9.83 1.67.9.53 1.15.15.56 1.24.28 2.39 2.95.42 3.98 3.98.96 last 47 months 1.2.33.58 Source: FactSet Page 14 of 16

Insurance Company MPD Statistics as of February 8, 217 Market Probability of 2% (3 Month Expiry) Aflac 2.23%.27% AIG 4.16%.84% Allstate 1.11%.53% Ameriprise 8.9% 2% Chubb 2.48%.34% Hartford Financial 4.68%.72% Lincoln National 7.53%.79% Met Life 7.95% 2.4% Principal Financial 7.21%.36% Progressive 4.64% 2% Prudential 9.3% 1.9% 8.5 1.9 14.57 2.4 6.52 1.11 16.2 6.22 7.43 2.11 12.3 4.58 17.85 7.42 16.75 5.58 14.76 2.22 25.2 1.22 15.1 6.72 Jun1 Aug17 Nov16 Sep7 Jul27 Feb8 Dec28 Dec28 2.23 1.37 1.3 4.16 2.4 14.57 1.11.56 7.91 8.9 2.4 16.29 2.48.55 12.5 4.68 2.19 12.27 7.53 2.26 17.85 7.95 3.26 16.75 7.21.43 17.72 4.64 25.2 last 47 months 3.99 15.1 9.3 Source: FactSet Page 15 of 16

Insurance Company MPD Statistics as of February 8, 217 Volume (3 Month Expiry) Aflac 1464 76% AIG 1295 13% Allstate 88 3% Ameriprise 527 2% Chubb 765 67% Hartford Financial 2182 35% Lincoln National 377 53% Met Life 7392 73% Principal Financial 114 34% Progressive 6 94% Prudential 642 84% 9135 44233 368 1973 6138 2758 4145 27721 1379 1424 14512 1464 68 22718 1295 11 69392 88 33 578 527 7 1973 765 3 927 2182 16 13441 377 51 843 7392 319 29248 114 2 1379 6 3415 last 47 months 222 17185 642 Source: FactSet Page 16 of 16