By Sarah Lizee
Olympia, Wash., June 11 – UBS AG, London Branch sold $25 million principal amount of series B Etracs Monthly Pay 1.5x Leveraged Closed-End Fund exchange-traded notes due June 10, 2050, according to a 424B3 filing with the Securities and Exchange Commission.
The notes priced at par of $25.
The securities provide a 1.5 times leveraged return linked to the compounded quarterly performance of the S-Network Composite Closed-End Fund index before taking into account the accrued fees, which consist of an accrued tracking fee of 0.95% per annum and an accrued financing fee based on Libor plus 95 basis points.
Because the return is leveraged, if the index level increases over any calendar quarter, the return of the index will increase by 1.5 times the movement of the index, and similarly, if the index level decreases over any calendar quarter, the return will decrease by 1.5 times the movement of the index.
To ensure that a relatively consistent degree of leverage is applied to the performance of the index, the current principal amount is reset quarterly or more frequently upon the occurrence of a loss rebalancing event – which occurs if at any time the index decreases by 15% or more in value from the previous last reset index closing level – which will have the effect of resetting the then-current leverage to about 1.5.
If a permanent deleveraging event occurs, meaning the index decreases by 50% or more in value from the last reset index closing level, the leverage of the securities will be permanently reset to 1 for the remaining term of the securities.
In addition, the securities may be automatically accelerated upon the occurrence of a zero-value event – which occurs if the index decreases by 66.66667% or more in value from the last reset index closing level – and redeemed prior to the maturity date by UBS, at its option.
The securities may pay a monthly coupon amount based on distributions made with respect to the index constituent securities.
The payout at maturity will be equal to closing indicative value, which is, on the initial trade date, $25.00 per security. On any other calendar day, prior to the first day of an applicable measurement period, it is equal to the current principal amount on the immediately preceding calendar day multiplied by the index factor, minus accrued fees plus the accrued dividend. From and including the first day of an applicable measurement period, it is equal to the current principal amount, on the calendar day immediately preceding the first day of the measurement period multiplied by the index factor multiplied by the residual factor minus accrued fees plus the accrued dividend and the measurement period cash amount. The minimum value of the closing indicative value on any calendar day will be zero.
The index is designed to measure the composite performance of energy master limited partnerships.
Initially, the current principal amount is equal to $25.00 per security. At the start of each subsequent calendar quarter, or more frequently upon the occurrence of a loss rebalancing event or permanent deleveraging event, the current principal amount is reset by applying the index factor – the leveraged percentage change in the index level since the last reset index closing level – to the previous current principal amount, unless a permanent deleveraging event has occurred.
UBS may at its option redeem all, but not less than all, issued and outstanding securities at any time.
Investors may elect to require UBS to redeem the securities, in whole or in part, at any time, subject to a minimum redemption amount of at least 50,000 securities and a redemption fee of 0.125%.
The ETNs have been approved for listing on NYSE Arca under the symbol “CEFD.”
UBS Investment Bank is the underwriter.
| Issuer: | UBS AG, London Branch
|
| Issue: | Series B Etracs Monthly Pay 1.5x Leveraged Closed-End Fund Index exchange-traded notes
|
| Underlying index: | S-Network Composite Closed-End Fund index
|
| Amount: | $25 million
|
| Maturity: | June 10, 2050
|
| Coupon: | Notes may pay a monthly coupon amount based on distributions made with respect to the index constituent securities
|
| Price: | Par of $25
|
| Payout at maturity: | Equal to closing indicative value, which is, on the initial trade date, $25.00 per security; on any other calendar day, prior to the first day of an applicable measurement period, the current principal amount on the immediately preceding calendar day multiplied by the index factor, minus accrued fees plus the accrued dividend; from and including the first day of an applicable measurement period, the current principal amount, on the calendar day immediately preceding the first day of the measurement period multiplied by the index factor multiplied by the residual factor minus accrued fees plus the accrued dividend and the measurement period cash amount; minimum value of the closing indicative value on any calendar day will be zero
|
| Call option: | In whole but not in part at any time
|
| Put option: | Putable at any time subject to minimum of 50,000 ETNs and redemption fee of 0.125%
|
| Initial closing level: | 622.5081
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| Pricing date: | June 2
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| Settlement date: | June 5
|
| Underwriter: | UBS Investment Bank
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| Listing: | NYSE Arca: CEFD
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| Cusip: | 90269A286
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