By Marisa Wong
Morgantown, W.Va., May 2 – UBS AG, London Branch plans to issue $100 million of 0% VelocityShares 1X Long VStoxx Futures exchange-traded notes due May 3, 2047 linked to the VStoxx Short-Term Futures Investable index, according to a 424B2 filing with the Securities and Exchange Commission.
On May 2, UBS priced $25 million of the securities at par of $25. The issuer plans to sell additional securities from time to time at market prices.
The index replicates the performance of a long position in a portfolio of VStoxx futures. The portfolio is designed to provide a long exposure to constant-maturity one-month forward, one-month implied volatilities on the underlying Euro Stoxx 50 index, taking into account the bid-ask spread in the roll procedure, which will reduce the value of the investable index, and therefore the securities, according to the filing.
The index continuously rolls on a daily basis from the first month VStoxx futures contract to the second month contract. As a result of their long exposure to VStoxx futures, the securities are more likely to increase in value when the volatility of European equities increases and more likely to decrease in value when the volatility of European equities decreases, the filing noted.
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 on the May 2 pricing date. On each subsequent day, the closing indicative value equals (a) the closing indicative value on the previous day times the daily index performance minus (b) the daily investor fee.
The daily index performance equals (a) the index closing level on the current day divided by the index closing level on the immediately preceding day plus (b) the daily accrual. The daily index performance will equal one on any calendar day that is not a business day.
The daily accrual represents the rate of interest that could be earned or is payable on a notional capital reinvestment at the generic three-month dollar-adjusted German Bund Bill rate.
The daily investor fee is 1.35% per year.
The ETNs are callable in whole at any time beginning May 9, 2018.
Investors may put the ETNs any time, subject to a minimum of 50,000 securities and a 0.15% fee.
The securities trade on Bats under the symbol “EVIXIV.”
UBS Investment Bank is the underwriter.
| Issuer: | UBS AG, London Branch
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| Issue: | VelocityShares 1X Long VStoxx Futures exchange-traded notes
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| Underlying index: | VStoxx Short-Term Futures Investable index
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| Amount: | $100 million
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| Maturity: | May 3, 2047
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| Coupon: | 0%
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| Price: | Par of $25 for initial $25 million
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| Payout at maturity: | Closing indicative value of the securities on the final valuation date
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| Closing indicative value: | $25 on the May 2 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 1.35% per year
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| Daily index performance: | (a) Index closing level on the current day divided by the index closing level on the immediately preceding day plus (b) the daily accrual
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| Daily accrual: | Rate of interest that could be earned or is payable on a notional capital reinvestment at the generic three-month dollar-adjusted German Bund Bill rate
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| Call option: | In whole at any time beginning May 9, 2018
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| Put option: | At any time, minimum of 50,000 securities, subject to 0.15% fee
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| Pricing date: | May 2 for $25 million
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| Settlement date: | May 5 for $25 million
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| Agent: | UBS Securities LLC
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| Listing: | Bats: EVIXIV
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| Cusip: | 90274E828
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