UBS plans one-year short leverage notes tied to S&P 500 Total Return

By Toni Weeks

San Diego, Sept. 12 - UBS AG, London Branch plans to price one-year short leverage securities linked to the S&P 500 Total Return index, according to an FWP with the Securities and Exchange Commission.

The notes will be callable if either the underlying index is greater than the early redemption level - 135% of the initial index level - at any time during the life of the notes or if a hedging disruption event occurs.

The notes are putable during the optional redemption period, which is from the day after settlement to two trading days prior to the final valuation date, subject to a minimum redemption amount of 100,000 securities.

The payment upon early redemption or at maturity will equal par plus (i) double the inverse index return plus (ii) the interest amount minus (iii) the accrued borrow cost.

The interest amount is equal to the amount of interest that has accrued on three times the principal amount at a rate of the overnight USD Libor, annualized and compounded on each business day during the accrual period.

The accrued borrow cost is the sum of the daily borrow costs on each day during the accrual period.

The daily borrow cost on each day during the accrual period is equal to the borrow notional multiplied by the borrow rate and divided by 360.

The borrow notional will be equal to (i) two times the leverage factor times (ii) the leverage factor multiplied by (iii) the quotient of (a) the closing level of the index on the immediately preceding day divided by (b) the initial level.

On any calendar day during the accrual period, the borrow rate is 0.15% plus the greater of zero and the overnight USD Libor minus the Federal funds open rate.

The notes will be issued at par plus an upfront fee, or $10.255 for $10.00 principal amount.

The Cusip is 90269V439.

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

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.