By Marisa Wong
Morgantown, W.Va., July 13 – UBS AG, London Branch plans to issue $100 million of 0% VelocityShares VIX Variable Long/Short exchange-traded notes due July 18, 2046 linked to the S&P 500 VIX Futures Variable Long/Short Index TR – Short Term, according to a 424B2 filing with the Securities and Exchange Commission.
On July 13, UBS sold $25 million of the securities at par. The issuer plans to sell additional securities from time to time at market prices.
The securities are linked to the total return version of the S&P 500 VIX Futures Variable Long/Short Index TR – Short Term. Each of the 13 sub-portfolios of the Variable Long/Short index has a target exposure of a 33.33% two times leveraged long position and a 66.67% unleveraged short position in the S&P 500 VIX Short-Term Futures index.
The securities are intended to provide a net long or net short exposure to VIX futures, depending on conditions in the market, with the goal of having a net long exposure during periods of high volatility and a net short exposure during periods of low volatility.
The payout at maturity will be a cash payment equal to the closing indicative value of the securities on the final valuation date.
The closing indicative value is $25.00 on the pricing date. On each subsequent day, the closing indicative value will equal (a) the closing indicative value on the previous day times the daily index performance minus (b) the daily investor fee minus (c) the futures spread fee.
The daily index performance will equal the index closing level on the current day divided by the index closing level on the immediately preceding day. The daily index performance will equal one on any calendar day that is not a business day.
The daily investor fee is 1.3% per year.
The futures spread fee is intended to approximate the hypothetical cost of buying and selling the number of first and second month VIX futures that would be necessary to replicate the performance of the underlying index. The futures spread fee, which is uncapped, is based on market inputs and may vary significantly from day to day.
The ETNs are callable in whole at any time beginning July 19, 2017.
Investors may put the ETNs any time, subject to a minimum of 50,000 securities and a 0.125% fee.
The securities trade on NYSE Arca under the symbol “LSVX.”
UBS Securities LLC is the agent.
| Issuer: | UBS AG, London Branch
|
| Issue: | VelocityShares VIX Variable Long/Short ETNs
|
| Underlying index: | S&P 500 VIX Futures Variable Long/Short Index TR – Short Term
|
| Amount: | $100 million
|
| Maturity: | July 18, 2046
|
| Coupon: | 0%
|
| Price: | Par of $25.00 for initial $25 million
|
| Payout at maturity: | Closing indicative value of the securities on the final valuation date
|
| Closing indicative value: | $25.00 on the pricing date; on each subsequent day, (a) the closing indicative value on the previous day times the daily index performance minus (b) the daily investor fee of 1.3% per year minus (c) the futures spread fee
|
| Daily index performance: | Index closing level on the current day divided by the index closing level on the immediately preceding day
|
| Call option: | In whole at any time beginning July 19, 2017
|
| Put option: | At any time, minimum of 50,000 securities, subject to 0.125% fee
|
| Pricing date: | July 13 for $25 million
|
| Settlement date: | July 18 for $25 million
|
| Agent: | UBS Securities LLC
|
| Listing: | NYSE Arca: LSVX
|
| Cusip: | 90274D176
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
