By Laura Lutz
Des Moines, Jan. 30 - UBS AG priced $3.31 million of variable-coupon 100% principal protection notes due Feb. 20, 2013 linked to the UBS Short Term Rates Automated Strategy (Straus) index, according to a 424B2 filing with the Securities and Exchange Commission.
The index reflects the performance of an algorithmic trading strategy designed to identify and exploit the behavior of short-term interest rates in five financial markets: the dollar, the euro, the British pound, the Japanese yen and the Swiss franc.
The interest rate will be based on the strategy reserve, a hypothetical cash reserve to collateralize a hypothetical 10 times leveraged investment of the principal amount in the index. Initially, 14.8% of the principal amount will be allocated to the strategy reserve.
For each quarter, the interest rate will be the amount by which the ending strategy reserve for that quarter outperforms the initial strategy reserve, subject to a minimum interest rate of 0%.
The ending strategy reserve for each quarter will be the starting strategy reserve for that quarter plus 10 times the index performance for the quarter plus the strategy interest amount for the quarter, less an annual strategy fee of 1.5%. The strategy interest amount will accrue at Libor minus 25 basis points.
If the strategy reserve drops to less than 10% of the initial strategy reserve on any trading day during the life of the notes, no interest on the notes will accrue after that date.
Any interest will be payable quarterly.
The payout at maturity will be par plus the final strategy reserve. Investors will receive at least par.
UBS Financial Services Inc. and UBS Investment Bank are the underwriters.
| Issuer: | UBS AG
|
| Issue: | 100% principal protection notes
|
| Underlying index: | UBS Short Term Rates Automated Strategy (Straus)
|
| Amount: | $3,307,000
|
| Maturity: | Feb. 20, 2013
|
| Coupon: | For each quarter, amount by which ending strategy reserve outperforms initial strategy reserve; floor of 0%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus final strategy reserve; floor of par
|
| Strategy reserve: | Initially, 14.8% allocation; at end of each quarter, starting strategy reserve plus 10 times index performance plus strategy interest amount minus annual fee of 1.5%; strategy interest accrues at Libor minus 25 bps
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Underwriters: | UBS Financial Services Inc.; UBS Investment Bank
|
| Fees: | 1.25%
|
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