UBS plans short leverage securities linked to S&P 500 Total Return

By Marisa Wong

Madison, Wis., Aug. 21 - UBS AG, London Branch plans to price 0% five-year short leverage securities linked to the S&P 500 Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The notes have a par value of $10, and they will price at 103.5.

The notes will be putable at any time, subject to a minimum of 100,000 securities, and they will be called if the index increases to 135% of the initial level or more.

The payout at maturity or upon redemption will be par minus (a) 200% of the index return plus (b) the interest amount minus (c) the accrued borrow cost minus (d) the investor fee, which is 0.55% per year and accrues daily. The notes are not principal protected.

The interest amount is equal to the interest accrued on $30 at a rate per year equal to overnight Libor, compounded daily.

The accrued borrow cost is the sum of the daily borrow costs. Each day, the daily borrow cost equals the quotient of (a) the borrow notional multiplied by the borrow rate divided by (b) 360. On any day, the borrow notional is $20 multiplied by the quotient of the closing level of the index on the preceding day divided by the initial index level. The borrow rate is 0.3% plus the greater of (a) zero and (b) overnight Libor minus the Federal Funds open rate.

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

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