UBS plans double short leverage notes linked to S&P 500 Total Return

By Angela McDaniels

Tacoma, Wash., Oct. 20 - UBS AG, London Branch plans to price 0% double short leverage securities linked to the S&P 500 Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The one-year notes have a par value of $10, and they will price at 102.55.

The notes will be putable at any time, subject to a minimum of 100,000 securities, and they will be called if the index increases by more than 35%.

The payout at maturity or upon redemption will be par minus 200% of the index return plus the interest amount and minus the accrued borrow cost. The notes are not principal protected.

The interest amount is equal to the interest accrued on $20 at a rate per year equal to overnight Libor, compounded daily.

The accrued borrow cost is a per-year rate equal to the borrow notional multiplied by the borrow rate. On any day, the borrow notional is $20 multiplied by the quotient of the closing level of the index on the preceding day divided by the initial index level. The borrow rate is 0.15% plus the greater of (a) zero and (b) overnight Libor minus the Fed Funds open rate.

UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

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