By Marisa Wong
Madison, Wis., Dec. 1 - UBS AG, Jersey Branch priced $100 million of 0% exchange-traded access securities Daily Long-Short VIX exchange-traded notes due Nov. 30, 2040 linked to the S&P 500 VIX Futures Term-Structure Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The initial principal amount of each note is $25. On each subsequent day, the current principal amount will equal the principal amount on the previous day times the daily index factor, plus a financing payment and minus a fee amount.
The daily index factor will equal the current index closing level divided by the index closing level on the immediately preceding day. The daily index factor will equal one on any calendar day that is not a business day.
The financing payment is initially zero. On each day after that, the financing payment equals the product of the financing rate divided by 360 times the principal amount on the previous business day. The financing rate is based on the 91-day U.S. Treasury Bill auction rate.
The fee amount is initially zero. On each day after the pricing date, it will equal 0.85% divided by 365 times the principal amount on the previous business day.
The payout at maturity will be the principal amount on Nov. 27, 2040.
The notes are putable at any time from Dec. 13 through Nov. 23, 2040, subject to a minimum of 50,000 notes. UBS can call the notes beginning Dec. 5, 2011. The payout upon redemption will be the principal amount on the third trading day prior to the redemption date. If holders elect to redeem the notes, they will be subject to a redemption fee of 0.125%.
The notes are listed on NYSE Arca under the symbol "XVIX."
The underlying index is a composite index that measures the return from taking a long position in the S&P 500 VIX Mid-Term Futures Index Excess Return with a 100% weight and taking a short position in the S&P 500 VIX Short-Term Futures Index Excess Return with a 50% weight. The weights of the long and short positions are rebalanced daily.
UBS Securities LLC and UBS Financial Services Inc. are the underwriters.
| Issuer: | UBS AG, Jersey Branch
|
| Issue: | E-Tracs Daily Long-Short VIX exchange-traded notes
|
| Underlying index: | S&P 500 VIX Futures Term-Structure Index Excess Return
|
| Amount: | $100 million
|
| Maturity: | Nov. 30, 2040
|
| Coupon: | 0%
|
| Price: | Par of $25
|
| Payout at maturity: | Current principal amount on Nov. 27, 2040; current principal amount is initially $25; after that, current principal amount equals principal amount on previous day times daily index factor, plus financing payment, minus fee amount
|
| Put option: | Subject to minimum of 50,000 notes and fee of 0.125%
|
| Call option: | From Dec. 5, 2011 onward
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 3
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| Underwriters: | UBS Securities LLC and UBS Financial Services Inc.
|
| Fees: | None
|
| Listing: | NYSE Arca: XVIX
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| Cusip: | 902641596
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