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

Transcription

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

2 Structure Overview Basket A (1/6) UBS 1yr Reverse Convertible on Equally Weighted Basket 1yr Payoff at BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC 100% - Knock-in Put 80% on Equally weighted basket 2.25% p.a. 2

3 Structure Overview Basket A (2/6) UBS 3yr Reverse Convertible on Equally Weighted Basket 3yr Payoff at BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC 100% - Knock-in Put 70% on Equally weighted basket 2.98% p.a. 3

4 Structure Overview Basket A (3/6) Payoff at UBS 1yr Reverse Convertible on Worst-of 1yr BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC 100% - Knock-in Put 80% on Worst-of basket 11.88% p.a. 4

5 Structure Overview Basket A (4/6) Payoff at UBS 3yr Reverse Convertible on Worst-of 3yr BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC 100% - Knock-in Put 70% on Worst-of basket 8.95% p.a. 5

6 Structure Overview Basket A (5/6) UBS 6yr Autocallable Equally Weighted Basket Stock Basket Max 6yr BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Snowball coupon 4.85% p.a. 6

7 Structure Overview Basket A (6/6) UBS 6yr Autocallable Worst-of Stock Basket Max 6yr BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Snowball coupon 20.25% p.a. 7

8 Structure Overview Basket B (1/6) UBS 1yr Reverse Convertible on Equally Weighted Basket 1yr Payoff at BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC 100% - Knock-in Put 80% on Equally weighted basket 2.35% p.a. 8

9 Structure Overview Basket B (2/6) UBS 3yr Reverse Convertible on Equally Weighted Basket 3yr Payoff at BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC 100% - Knock-in Put 70% on Equally weighted basket 3.03% p.a. 9

10 Structure Overview Basket B (3/6) Payoff at UBS 1yr Reverse Convertible on Worst-of 1yr BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC 100% - Knock-in Put 80% on Worst-of 11.95% p.a. 10

11 Structure Overview Basket B (4/6) Payoff at UBS 3yr Reverse Convertible on Worst-of 3yr BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC 100% - Knock-in Put 70% on Worst-of 8.96% p.a. 11

12 Structure Overview Basket B (5/6) UBS 6yr Autocallable Equally Weighted Basket Stock Basket Max 6yr BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Snowball coupon 4.4% p.a. 12

13 Structure Overview Basket B (6/6) UBS 6yr Autocallable Worst-of Stock Basket Max 6yr BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Snowball coupon 18.5% p.a. 13

14 Structure Overview Single Stock (1/2) Payoff at UBS 1yr Reverse Convertible on BP PLC 1yr BP PLC 100% - Knock-in Put 80% on BP PLC 3.6% p.a. 14

15 Structure Overview Single Stock (2/2) Payoff at UBS 1yr Reverse Convertible on RIO TINTO PLC 1yr RIO TINTO PLC 100% - Knock-in Put 80% on RIO TINTO PLC 7.6% p.a. 15

16 DISCLAIMER 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