UBS plans callable contingent accrual notes tied to CMS rates, S&P 500

By Angela McDaniels

Tacoma, Wash., July 29 - UBS AG, Jersey Branch plans to price callable contingent accrual notes due Aug. 6, 2025 linked to the 30-year and two-year Constant Maturity Swap rates and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The interest rate will be 8% multiplied by the proportion of days on which the 30-year CMS rate is greater than or equal to the two-year CMS rate and the S&P 500 closes at or above the index barrier, which is expected to be between 780 and 800 and will be set at pricing. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning Aug. 6, 2011, the notes will be callable on any interest payment date.

The notes (Cusip: 90261JFX6) are expected to price Aug. 3 and settle Aug. 6.

UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

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