By Jennifer Chiou
New York, Sept. 7 - UBS AG, London Branch priced $10 million of a planned up to $100 million overall issue of 0% E-Tracs 3-Month S&P 500 VIX Futures exchange-traded notes due Sept. 6, 2041 linked to the related index in the S&P 500 VIX Futures index series, according to a 424B2 filing with the Securities and Exchange Commission.
The VIX index reflects near-term implied volatility of the S&P 500 index and is calculated based on prices of put and call options on the S&P 500 in the two closest nearby months from which 30-day forward volatility is derived.
Futures on the VIX index allow investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX index. Each index is intended to reflect the returns that are potentially available through an unleveraged investment in futures contracts on the VIX index having a constant weighted average maturity ranging from one month to six months, plus a daily fixed-income return, which reflects the interest earned on a hypothetical 91-day Treasury portfolio theoretically deposited as margin for hypothetical positions in the futures contracts comprising the relevant index.
The notes were approved for trading on NYSE Arca under the symbol "VXCC."
The initial principal amount of each note is $100. For each subsequent day, the current principal amount will equal the previous current principal amount plus the daily index factor minus the 0.85% annualized tracking fee.
The index factor is equal to the closing level on the trading day divided by the closing level from the previous trading date.
The payout at maturity will be the current principal amount on the final valuation date.
The notes are putable subject to a minimum of 25,000 and a redemption fee of 0.125% of the current principal amount. They are callable in whole beginning on Sept. 12, 2012. The company will automatically redeem the notes if their indicative value falls to $5 or less or decreases in value by at least 60% as compared to the previous business day.
UBS Investment Bank is the agent.
| Issuer: | UBS AG, London Branch
|
| Issue: | E-Tracs 3-Month S&P 500 VIX Futures exchange-traded notes
|
| Underlying index: | S&P 500 VIX Futures index series
|
| Amount: | $100 million (maximum)
|
| Maturity: | Sept. 6, 2041
|
| Coupon: | 0%
|
| Face amount: | $100
|
| Payout at maturity: | Current principal amount on the final valuation date; current principal amount equals the previous current principal amount plus the daily index factor minus the 0.85% annualized tracking fee
|
| Put option: | At any time subject to minimum of 25,000 notes and 0.125% redemption fee
|
| Call option: | From Sept. 12, 2012 onwards
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| Acceleration: | Notes will be automatically redeemed if their indicative value falls to $5 or less or decreases in value at least 60% as compared to the previous business day
|
| Pricing date: | Sept. 7 (for $10 million)
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| Settlement date: | Sept. 12
|
| Agent: | UBS Investment Bank
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| Fees: | Varies
|
| Listing: | NYSE Arca: VXCC
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| Cusip: | 90268A402
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