This Table shows mid-market •remiums in % of notional as s•ot and time change.
EURUSO binary option prices Spot: 1.382
Spot
± Abs Spot At exp lm 2m 3m 6m 9m 12m
5.0 1.451 0 0 0 1 3 6 8
2.5 1.416 0 0 1 2 6 10 12
0.0 1.382 0 1 3 6 12 16 19.5
-2.5 1.347 0 7 13 18 25 28 30
-5.0 1.313 100 48 48 47 46 45 45
-7.5 1.278 100 95 88 82 71 66 62
-10.0 1.244 100 100 99 96 88 82 77
19.5 is mid (offer is 21)
4) Scale into £4mm Nationwide (UK Building Society) 6.875% perpetual which yields 6.4% in GBP and is likely to
be called in 5years
European Bank AT1 HyBrid Bonds (aka CoCo's) have rallied significantly. We were unable to get the BBVA issue at the
right levels.
A very similar bond which has rallied 30bp less than the BBVA is the Nationwide (UK Building Society) 6.875% perpetual
which currently yields 6.4% and is likely to be called in 5years time. It has a tierl capital trigger of 7% and current tierl
capital ratio is 13% which is fair margin.
The Nationwide one I'm suggesting today is rated Fitch/S&P BB+, its parent is Fitch/S&P rated single-A
The BBVA bond we tried to buy earlier is rated Fitch BB-, its parent is SW rated BBB-
I suggest scaling £2mm at 6.5% and £2mm at 6.75%. Transaction cost is 6bp from mid.
Yield to call of Nationwide 6.875% er tual ISIN XS1043181269
7.000
6.900
6.800
6.700
6.600
6.484
6.400
Mar 7 Mar 14 Mar 21 Mar 31 Apr 8
2014
0(100011 Corp (NATIONWIDE BLDG SOCIEN) CopyrightD 2014 Bloomberg Finance L.P. 14-Apr-2014 17:08:59
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