By Angela McDaniels
Tacoma, Wash., Sept. 8 - UBS AG, London Branch priced $10 million of 0% ETracs Daily Short 3-Month S&P 500 VIX Futures exchange-traded notes due Sept. 6, 2041 inversely linked to the S&P 500 VIX 3-Month Futures Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The company plans to sell up to $100 million of the notes. The initial $10 million of notes priced at par of $100. The remaining $90 million will be sold from time to time at varying prices.
The index seeks to provide investors with exposure to futures contracts on the CBOE Volatility index, or VIX index, having a constant weighted average maturity of three months. The VIX index reflects near-term implied volatility of the S&P 500 index.
The payout at maturity will be the current principal amount on Sept. 3, 2041.
The current principal amount of each note was $100 on the pricing date. On each subsequent day, the current principal amount equals the current principal amount on the previous day minus the index return on that day minus the tracking fee minus the event risk weekly hedge cost.
The tracking fee is initially zero. On each subsequent day, it equals 1.35% per year multiplied by the current principal amount on the previous day.
The event risk weekly hedge cost is initially zero. On each subsequent day, it equals (a) 0.077% divided by seven times (b) the current principal amount on the preceding day. The event risk weekly hedge cost equates to about 4% per year.
The notes are putable subject to a minimum of 25,000 notes and a redemption fee of 0.125% of the current principal amount. They are callable in whole beginning Sept. 12, 2012. The company will automatically redeem the notes if their indicative value falls to $5 or less or if the intraday index value increases by at least 60% as compared to the previous business day.
The notes have been approved for trading on the NYSE Arca under the symbol "CCVX."
UBS Investment Bank is the agent.
Issuer: | UBS AG, London Branch
|
Issue: | ETracs Daily Short 3-Month S&P 500 VIX Futures ETNs
|
Underlying index: | S&P 500 VIX 3-Month Futures Index Excess Return
|
Amount: | $10 million
|
Maturity: | Sept. 6, 2041
|
Coupon: | 0%
|
Face amount: | $100
|
Payout at maturity: | Amount equal to current principal amount on Sept. 3, 2041
|
Current principal amount: | $100 on pricing date; on any subsequent day, current principal amount on previous day minus index return on that day minus tracking fee of about 1.35% per year minus event risk weekly hedge cost of about 4% per year
|
Put option: | At any time subject to minimum of 25,000 notes and 0.125% redemption fee
|
Call option: | From Sept. 12 2012 onward
|
Acceleration: | Notes will be automatically redeemed if their indicative value falls to $5 or less or if index increases in value on any day by at least 60% as compared to the previous business day
|
Pricing date: | Sept. 7
|
Settlement date: | Sept. 12
|
Agent: | UBS Investment Bank
|
Fees: | Varies
|
Listing: | NYSE Arca: CCVX
|
Cusip: | 90268A857
|
© 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.