Autocallables in Context of Market Conditions end Q1 2011.

10
Autocallables in Context of Market Conditions end Q1 2011

Transcript of Autocallables in Context of Market Conditions end Q1 2011.

Page 1: Autocallables in Context of Market Conditions end Q1 2011.

Autocallables in Context of Market Conditions

end Q1 2011

Page 2: Autocallables in Context of Market Conditions end Q1 2011.

(1) Recap from previous Autocall piece

(2) Do Autocalls look attractive?

Rates

Vols

Secondary Market

(3) Long-term Autocall trends

(4) Summary of Autocall structures traded

Page 3: Autocallables in Context of Market Conditions end Q1 2011.

(1) Recap from previous Autocall piece

•Pricing of autocalls should be taken in context of rates

•Expected life of most autocalls – take prevailing 2-Year Swap Rate

•Sensitivity of Coupon to rates

•Volatility – Are VIX and 12M implied Vol relevant measures to Autocalls?

•Yields of Other Asset Classes and Macro Correlations

Page 4: Autocallables in Context of Market Conditions end Q1 2011.

(2) Do Autocalls look attractive?

•Volumes of Autocalls

•Performance: Absolute and Relative

•Absolute Return Funds

•Investor mark-to-market experience

•Two broad investor types:

- around 8% and low autocall barriers

- those looking for 10% plus

Page 5: Autocallables in Context of Market Conditions end Q1 2011.

(2)...RatesRecap from last Autocall analysisexcellent absolute and relative performance

Page 6: Autocallables in Context of Market Conditions end Q1 2011.

(2)...VolatilityRecap from last Autocall analysisexcellent absolute and relative performance

Page 7: Autocallables in Context of Market Conditions end Q1 2011.

(2)...Secondary MarketRecap from last Autocall analysisexcellent absolute and relative performance

Page 8: Autocallables in Context of Market Conditions end Q1 2011.

(3) Long-term Autocall trendsRecap from last Autocall analysisexcellent absolute and relative performance

Page 9: Autocallables in Context of Market Conditions end Q1 2011.

(4) Summary of Autocall structures tradedRecap from last Autocall analysisexcellent absolute and relative performance

Page 10: Autocallables in Context of Market Conditions end Q1 2011.

Any Questions?