The price of the notes, which moves in the opposite direction from the yield, rose 26/32, to 103 23/32.
Cash calls can also be generated by declines in the market price of the notes or increases in the cost of insuring the underlying sovereign debt issue, according to credit-linked note prospectuses.
The price of the note, which moves in the opposite direction from the yield, fell 28/32, to 96 31/32.
The price of the note fell 1 10/32, to 98 6/32, and the yield, which moves in the opposite direction from the price, rose to 3.34percentt, from 3.16percentt late Wednesday.
A big driver of the day's trading was rates, with investors closely watching the yield of the benchmark 10-year Treasury note, which has risen as the price of the note has dropped.
In other words, it is selling for more than twice the conversion price of the proposed note issue.
In the case of Abbey National, then, we should expect the price of the capital note to increase rather sharply.
When asked, Box declined to define the price of the product, noting that it will vary with each client.
The price of the Treasury note will decline as interest rates rise, but that decline will be mitigated by its shorter remaining maturity.
The price of Treasury notes rose yesterday.
The price of the two-year note that matures in July 2012 rose 3.125 cents to $100.269.
