By Jennifer Chiou
New York, Nov. 6 - UBS AG priced $1.17 million of double short leverage securities due Nov. 11, 2010 linked inversely to the performance of the S&P 500 Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will price at 102.3.
The notes will be called if the index rises above 135% of the initial index level.
If the notes are not called, the payout at maturity will be par of $10 plus double the absolute value of any losses plus the interest amount minus the accrued borrow cost.
If the index gains, investors will receive par minus 2% for each 1% gain plus the interest amount minus the accrued borrow cost.
The interest amount will equal the interest accrued on three times the principal amount of the notes at a rate per year equal to overnight Libor, and the borrow cost will be overnight Libor minus the Fed Funds Open Rate plus 15 basis points.
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: | $1,170,905.34
|
| Maturity: | Nov. 11, 2010
|
| Interest amount: | Interest accrued on three times the principal amount of the notes at a rate per year equal to overnight Libor, and the borrow cost will be overnight Libor minus the Fed Funds Open Rate plus 15 bps
|
| Price: | 102.3
|
| Payout at maturity: | Par of $10 plus double the absolute value of any losses plus the interest amount minus the accrued borrow cost
|
| Call: | If the index rises above 135% of the initial index level
|
| Initial level: | 1,751.45
|
| Early redemption level: | 2,364.46, 135% of initial level
|
| Pricing date: | Nov. 5
|
| Settlement date: | Nov. 10
|
| Underwriters: | UBS Financial Services Inc. and UBS Investment Bank
|
| Fees: | 2.25%
|
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