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

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Selling Volatility on Single Stocks

– Trade Ideas

(2)

Structure Overview – Basket A (1/6)

Description UBS 1yr Reverse Convertible on Equally Weighted Basket

Maturity 1yr Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Equally weighted basket Strike 100% Guaranteed Coupon 2.25% p.a. Coupon frequency Paid quarterly

(3)

Structure Overview – Basket A (2/6)

Description UBS 3yr Reverse Convertible on Equally Weighted Basket

Maturity 3yr Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Equally weighted basket Strike 100% Guaranteed Coupon 2.98% p.a. Coupon frequency Paid quarterly

(4)

Structure Overview – Basket A (3/6)

Description UBS 1yr Reverse Convertible on Worst-of

Maturity 1yr Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Worst-of basket

Strike 100% Guaranteed Coupon 11.88% p.a. Coupon frequency Paid quarterly

(5)

Structure Overview – Basket A (4/6)

Description UBS 3yr Reverse Convertible on Worst-of

Maturity 3yr Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Worst-of basket

Strike 100% Guaranteed Coupon 8.95% p.a. Coupon frequency Paid quarterly

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Structure Overview – Basket A (5/6)

Description UBS 6yr Autocallable Equally Weighted Basket Stock Basket

Maturity Max 6yr

Underlyings BP PLC,

RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers

Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket

Strike 100%

(7)

Structure Overview – Basket A (6/6)

Description UBS 6yr Autocallable Worst-of Stock Basket

Maturity Max 6yr

Underlyings BP PLC,

RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC

Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers

Soft capital protection, Knock-in at 60% (european) on Worst-of

Strike 100%

(8)

Structure Overview – Basket B (1/6)

Description UBS 1yr Reverse Convertible on Equally Weighted Basket

Maturity 1yr Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Equally weighted basket Strike 100% Guaranteed Coupon 2.35% p.a. Coupon frequency Paid quarterly

(9)

Structure Overview – Basket B (2/6)

Description UBS 3yr Reverse Convertible on Equally Weighted Basket

Maturity 3yr Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Equally weighted basket Strike 100% Guaranteed Coupon 3.03% p.a. Coupon frequency Paid quarterly

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Structure Overview – Basket B (3/6)

Description UBS 1yr Reverse Convertible on Worst-of

Maturity 1yr Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Worst-of

Strike 100% Guaranteed Coupon 11.95% p.a. Coupon frequency Paid quarterly

(11)

Structure Overview – Basket B (4/6)

Description UBS 3yr Reverse Convertible on Worst-of

Maturity 3yr Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Worst-of

Strike 100% Guaranteed Coupon 8.96% p.a. Coupon frequency Paid quarterly

(12)

Structure Overview – Basket B (5/6)

Description UBS 6yr Autocallable Equally Weighted Basket Stock Basket

Maturity Max 6yr

Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC,

ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers

Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket

Strike 100%

(13)

Structure Overview – Basket B (6/6)

Description UBS 6yr Autocallable Worst-of Stock Basket

Maturity Max 6yr

Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC,

ROLLS-ROYCE HOLDINGS PLC

Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers

Soft capital protection, Knock-in at 60% (european) on Worst-of

Strike 100%

(14)

Structure Overview – Single Stock (1/2)

Description UBS 1yr Reverse Convertible on BP PLC

Maturity 1yr

Underlyings BP PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on BP PLC

Strike 100% Guaranteed Coupon 3.6% p.a. Coupon frequency Paid quarterly

(15)

Structure Overview – Single Stock (2/2)

Description UBS 1yr Reverse Convertible on RIO TINTO PLC

Maturity 1yr

Underlyings RIO TINTO PLC

Payoff at Maturity 100% - Knock-in Put (european) @ 80% on RIO TINTO PLC

Strike 100% Guaranteed Coupon 7.6% p.a. Coupon frequency Paid quarterly

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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. 484826. Catley Lakeman Securities is the trading name of Catley Lakeman LLP. Registered Office: One Eleven Edmund Street, Birmingham. B3 2HJ. Registration Number: OC336585

References

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