Selling Volatility on Single Stocks Trade Ideas Catley Lakeman Winter Offsite January 2014
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 (european) @ 80% on Equally weighted basket 2.25% p.a. 2
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 (european) @ 70% on Equally weighted basket 2.98% p.a. 3
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 (european) @ 80% on Worst-of basket 11.88% p.a. 4
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 (european) @ 70% on Worst-of basket 8.95% p.a. 5
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
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
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 (european) @ 80% on Equally weighted basket 2.35% p.a. 8
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 (european) @ 70% on Equally weighted basket 3.03% p.a. 9
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 (european) @ 80% on Worst-of 11.95% p.a. 10
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 (european) @ 70% on Worst-of 8.96% p.a. 11
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
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
Structure Overview Single Stock (1/2) Payoff at UBS 1yr Reverse Convertible on BP PLC 1yr BP PLC 100% - Knock-in Put (european) @ 80% on BP PLC 3.6% p.a. 14
Structure Overview Single Stock (2/2) Payoff at UBS 1yr Reverse Convertible on RIO TINTO PLC 1yr RIO TINTO PLC 100% - Knock-in Put (european) @ 80% on RIO TINTO PLC 7.6% p.a. 15
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