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Selling Volatility on Single Stocks – Trade Ideas Catley Lakeman Winter Offsite – January 2014.

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Presentation on theme: "Selling Volatility on Single Stocks – Trade Ideas Catley Lakeman Winter Offsite – January 2014."— Presentation transcript:

1 Selling Volatility on Single Stocks – Trade Ideas Catley Lakeman Winter Offsite – January 2014

2 Structure Overview – Basket A (1/6) 2 DescriptionUBS 1yr Reverse Convertible on Equally Weighted Basket Maturity1yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 80% on Equally weighted basket Strike100% Guaranteed Coupon 2.25% p.a. Coupon frequency Paid quarterly

3 Structure Overview – Basket A (2/6) 3 DescriptionUBS 3yr Reverse Convertible on Equally Weighted Basket Maturity3yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 70% on Equally weighted basket Strike100% Guaranteed Coupon 2.98% p.a. Coupon frequency Paid quarterly

4 Structure Overview – Basket A (3/6) 4 DescriptionUBS 1yr Reverse Convertible on Worst-of Maturity1yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 80% on Worst-of basket Strike100% Guaranteed Coupon 11.88% p.a. Coupon frequency Paid quarterly

5 Structure Overview – Basket A (4/6) 5 DescriptionUBS 3yr Reverse Convertible on Worst-of Maturity3yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 70% on Worst-of basket Strike100% Guaranteed Coupon 8.95% p.a. Coupon frequency Paid quarterly

6 Structure Overview – Basket A (5/6) 6 DescriptionUBS 6yr Autocallable Equally Weighted Basket Stock Basket MaturityMax 6yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Strike100% Snowball coupon4.85% p.a.

7 Structure Overview – Basket A (6/6) 7 DescriptionUBS 6yr Autocallable Worst-of Stock Basket MaturityMax 6yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Strike100% Snowball coupon20.25% p.a.

8 Structure Overview – Basket B (1/6) 8 DescriptionUBS 1yr Reverse Convertible on Equally Weighted Basket Maturity1yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 80% on Equally weighted basket Strike100% Guaranteed Coupon 2.35% p.a. Coupon frequency Paid quarterly

9 Structure Overview – Basket B (2/6) 9 DescriptionUBS 3yr Reverse Convertible on Equally Weighted Basket Maturity3yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 70% on Equally weighted basket Strike100% Guaranteed Coupon 3.03% p.a. Coupon frequency Paid quarterly

10 Structure Overview – Basket B (3/6) 10 DescriptionUBS 1yr Reverse Convertible on Worst-of Maturity1yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 80% on Worst-of Strike100% Guaranteed Coupon 11.95% p.a. Coupon frequency Paid quarterly

11 Structure Overview – Basket B (4/6) 11 DescriptionUBS 3yr Reverse Convertible on Worst-of Maturity3yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 70% on Worst-of Strike100% Guaranteed Coupon 8.96% p.a. Coupon frequency Paid quarterly

12 Structure Overview – Basket B (5/6) 12 DescriptionUBS 6yr Autocallable Equally Weighted Basket Stock Basket MaturityMax 6yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Strike100% Snowball coupon4.4% p.a.

13 Structure Overview – Basket B (6/6) 13 DescriptionUBS 6yr Autocallable Worst-of Stock Basket MaturityMax 6yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Strike100% Snowball coupon18.5% p.a.

14 Structure Overview – Single Stock (1/2) 14 DescriptionUBS 1yr Reverse Convertible on BP PLC Maturity1yr UnderlyingsBP PLC Payoff at Maturity100% - Knock-in Put 80% on BP PLC Strike100% Guaranteed Coupon 3.6% p.a. Coupon frequency Paid quarterly

15 Structure Overview – Single Stock (2/2) 15 DescriptionUBS 1yr Reverse Convertible on RIO TINTO PLC Maturity1yr UnderlyingsRIO TINTO PLC Payoff at Maturity100% - Knock-in Put 80% on RIO TINTO PLC Strike100% Guaranteed Coupon 7.6% p.a. Coupon frequency Paid quarterly

16 Disclaimer This is a marketing communication and has not been prepared in accordance with legal requirements designed to promote independence of investment research and is not subject to any prohibition of dealing ahead of the dissemination of investment research. The information in this document is derived from sources believed to be reliable but which have not been independently verified. Any prices included within this communication are for indicative purposes only. Catley Lakeman Securities makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Catley Lakeman Securities, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Catley Lakeman Securities is regulated by the Financial Conduct Authority. Firm FSA Reference No Catley Lakeman Securities is the trading name of Catley Lakeman LLP. Registered Office: One Eleven Edmund Street, Birmingham. B3 2HJ. Registration Number: OC DISCLAIMER 16


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