By Angela McDaniels
Tacoma, Wash., Jan. 28 - UBS AG priced $707,098 of 0% double short leverage securities due Jan. 31, 2011 linked to the S&P 500 Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes priced at 102.3.
The notes are putable at any time subject to a minimum of 100,000 notes, and they will be called if the index rises above 135% of the initial index level.
The payout at maturity or upon redemption will be par of $10 minus 200% of the index return plus the interest amount minus the accrued borrow cost. The notes are not principal protected.
The interest amount will equal the interest accrued on $30 at a rate per year equal to overnight Libor, compounded daily.
The accrued borrow cost will be the sum of the daily borrow costs for each day during the life of the notes. The daily borrow cost will be the borrow rate - overnight Libor minus the Fed Funds Open Rate plus 15 basis points - multiplied by the borrow notional amount, which will be $20 plus the index return on that day.
UBS Financial Services Inc. and UBS Investment Bank are the underwriters.
| Issuer: | UBS AG
|
| Issue: | Double short leverage securities
|
| Underlying index: | S&P 500 Total Return
|
| Amount: | $707,098
|
| Maturity: | Jan. 31, 2011
|
| Interest amount: | Amount accrued on $30 at a rate per year equal to overnight Libor, compounded daily and payable at maturity
|
| Price: | 102.3
|
| Payout at maturity: | Par of $10 plus 200% of the index return plus the interest amount minus the accrued borrow cost
|
| Put option: | At any time subject to minimum of 100,000 notes
|
| Call: | If the index rises above 135% of the initial index level
|
| Initial index level: | 1,801.34
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 29
|
| Underwriters: | UBS Financial Services Inc. and UBS Investment Bank
|
| Fees: | 2.3%
|
| Cusip: | 902677871
|
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