424B2 1 ubsag-424b2.htm 424B2 ubsag-424b2.htm

 

Filed Pursuant to Rule 424(b)(2)

Registration No. 333-253432

 

PROSPECTUS SUPPLEMENT dated September 14, 2021

(To Prospectus dated February 24, 2021)

 

$50,000,000 ETRACS IFED Invest with the Fed TR Index ETN due September 15, 2061

The ETRACS IFED Invest with the Fed TR Index ETN due September 15, 2061 (the “Securities”) are senior unsecured debt securities issued by UBS that provide an unleveraged long exposure to the performance of the IFED Large-Cap US Equity Index Total Return (the “Index”). The Index is the total return version of the IFED Large-Cap US Equity Index. The Securities are subject to a Daily Tracking Fee equivalent to 0.45% per annum (as described below). The Index tracks large-cap U.S. equities that are determined by the Index Sponsor (as defined below) to be best positioned to benefit from the prevailing monetary environment. Investing in the Securities involves significant risks. You will receive a cash payment at maturity or upon exercise by UBS of its call right, based on the performance of the Index less the Daily Tracking Fee, as described herein. If you elect to redeem your Securities early, you will receive a cash payment upon early redemption based on the performance of the Index less the Daily Tracking Fee and the Redemption Fee Amount, as described herein.

The Securities do not guarantee any return of your initial investment. You will lose some or all of your principal at maturity, early redemption or upon exercise by UBS of its call right if the level of the Index declines or does not increase by an amount sufficient to offset the Daily Tracking Fee and the Redemption Fee Amount, if applicable. Any payment on the Securities at maturity, upon early redemption or upon exercise by UBS of its call right, is subject to the creditworthiness of UBS and is not guaranteed by any third party. In addition, the actual and perceived creditworthiness of UBS will affect the market value, if any, of the Securities prior to maturity, call or early redemption.

The Securities are intended to be used as part of an overall diversified portfolio and should be purchased only by knowledgeable investors who understand the potential consequences of investing in the Index. Investors should actively and continuously monitor their investments in the Securities.

Although application has been made for listing the Securities on NYSE Arca, there is no guarantee that such application will be approved or that if approved, a liquid market will develop or be maintained.

General Considerations for the Securities

 

The Securities are senior unsecured debt securities issued by UBS, maturing on September 15, 2061.

 

The initial issuance of the Securities will trade on September 14, 2021 and settle on September 17, 2021.

 

The Securities do not guarantee any return of principal and do not pay any interest during their term.

 

The Closing Indicative Value of the Securities is recalculated each calendar day to reflect the performance of the Index.

 

A Daily Tracking Fee calculated at the rate of 0.45% per annum of the Closing Indicative Value on the previous calendar day, multiplied by the Index Factor, is deducted each calendar day from the Closing Indicative Value on such calendar day.

 

You will receive a cash payment at maturity or upon exercise by UBS of its call right with respect to the Securities based on the Closing Indicative Value of the Securities at the end of the applicable measurement period, as described herein.

 

You may exercise your right to redeem your Securities early with a minimum redemption amount of 50,000 Securities if you comply with the required procedures described herein. You will receive a cash payment upon early redemption based on the Closing Indicative Value on the Redemption Valuation Date, less the Redemption Fee Amount, as described herein.

 

The Index is designed to track large-cap U.S. equities that are determined by the Index Sponsor (as defined below) to be best positioned to benefit from the prevailing monetary environment.

 

The Index is a total return index and the Index level reflects the notional reinvestment of the cash distributions from its constituent securities.

See “RISK_FACTORS” beginning on page S-17 for a description of risks related to an investment in the Securities.

Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this prospectus supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.

The Securities are not deposit liabilities of UBS AG and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency in the United States, Switzerland or any other jurisdiction. An investment in the Securities carries risks that are very different from the risk profile of a bank deposit placed with UBS or its affiliates. The Securities may have different yield, liquidity and risk profiles and will not benefit from any protection provided to deposits.

 

UBS Investment Bank

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Prospectus Supplement dated September 14, 2021

 

 


 

The principal terms of the Securities are as follows:

 

Issuer:

 

UBS AG (London Branch)

 

 

 

Series:

 

Medium-Term Notes, Series B

 

 

 

Initial Trade Date:

 

September 14, 2021

 

 

 

Initial Settlement Date:

 

September 17, 2021

 

 

 

Term:

 

40 years, subject to your right to require UBS to redeem your Securities on any Redemption Date and to the UBS Call Right, each as described below.

 

 

 

Maturity Date:

 

September 15, 2061, subject to adjustment

 

 

 

Stated Principal Amount:

 

$25.00 per Security.

If the Securities undergo a split or reverse split, the Stated Principal Amount will be adjusted accordingly.

 

 

 

Underlying Index:

 

The IFED Large-Cap US Equity Index Total Return (Bloomberg: “IFEDLT”) is the total return version of the IFED Large-Cap US Equity Index (Bloomberg: “IFEDL”). The Index tracks large-cap U.S. equities that are determined by Economic Index Associates, LLC (“EIA” or the “Index Sponsor”) to be best positioned to benefit from the prevailing monetary environment. We refer to the companies included in the Index as the “Index Constituent Securities”. The Index is developed by EIA and calculated by Indxx LLC (“Indxx”). The Index is a total return index and the Index level reflects the notional reinvestment of the cash distributions from its constituent securities. See “IFED Large-Cap US Equity Index Total Return” beginning on page S-31.

 

 

 

Closing Indicative Value

 

The Closing Indicative Value represents the dollar value per Security that an investor would receive on any day, if it redeemed the Security on such day (excluding any Redemption Fee Amount).

The “Closing Indicative Value” per Security, will be calculated as follows:

(1)    On the Initial Trade Date, $25.00 per Security;

(2)    On any subsequent calendar day, prior to but excluding the first day of an applicable Measurement Period, an amount per Security equal to:

(Closing Indicative Value on the previous calendar day * Index Factor)—Daily Tracking Fee

(3)    From and including the first day of an applicable Measurement Period, an amount per Security equal to:

(Closing Indicative Value on the calendar day immediately preceding the first day of the Measurement Period × Index Factor × Residual Factor) + Measurement Period Cash Amount

During the applicable Measurement Period, the Daily Tracking Fee is taken into account when calculating the Measurement Period Cash Amount. See the definition of “Measurement Period Cash Amount” under “Specific Terms of the Securities — Cash Settlement Amount at Maturity” below.

The minimum value of the Closing Indicative Value on any calendar day will be zero. The actual trading price of the Securities in the secondary market may vary significantly from their Closing Indicative Value.

If the Securities undergo a split or reverse split, the Closing Indicative Value will be adjusted accordingly.

 

 

 

Current Indicative Value / intraday indicative value:

 

The “Current Indicative Value” (or “intraday indicative value”), as determined by the Security Calculation Agent, means the Closing Indicative Value per Security calculated on an intraday basis on any Index Business Day.

For the purposes of calculating the Current Indicative Value, the Index Factor will be determined using the Intraday Index Value. Additionally, from and including the first day of an applicable Measurement Period, the Current Indicative Value will be calculated using (i) the Measurement Period Cash Amount from the immediately preceding calendar day, and (ii) the Residual Factor from the immediately preceding calendar day.

The minimum value of the Current Indicative Value (or intraday indicative value) on any calendar day will be zero. The actual trading price of the Securities in the secondary market may vary significantly from their Current Indicative Value (or intraday indicative value).

If the Securities undergo a split or reverse split, the Current Indicative Value (or intraday indicative value) will be adjusted accordingly.

 

 

 

Index Factor:

 

The “Index Factor” on any Index Business Day prior to but excluding the first day of an applicable Measurement Period, will equal:

(i) the Index Closing Level, on such Index Business Day, divided by, (ii) the Index Closing Level, on the immediately preceding Index Business Day.

From and including the first day of an applicable Measurement Period, the Index Factor will equal:

(i) the Index Closing Level, on such calendar day, divided by, (ii) the Index Closing Level on the calendar day immediately preceding the first day of such Measurement Period.

On any calendar day that is not an Index Business Day, the Index Closing Level will be equal to the Index Closing Level on the immediately preceding Index Business Day. The Index Factor will therefore equal one (1) on any calendar day that is not an Index Business Day and is prior to the first Index Business Day of a five-day Measurement Period.

 

 

 

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Daily Tracking Fee:

 

The “Daily Tracking Fee” means, as of any date of determination, an amount per Security equal to 0.45% per annum, calculated as follows:

(1)    On the Initial Trade Date, $0.00 per Security;

(2)    On any subsequent calendar day, prior to but excluding the first day of an applicable Measurement Period, an amount per Security equal to:

(0.45% / 365) × Closing Indicative Value on the immediately preceding calendar day × Index Factor

(3)    From and including the first day of an applicable Measurement Period, an amount per Security equal to:

(0.45% / 365) × Closing Indicative Value on the calendar day immediately preceding the first day of the Measurement Period × Index Factor × Residual Factor on the immediately preceding calendar day

The minimum value of the Daily Tracking Fee on any calendar day will be zero.

If the Securities undergo a split or reverse split, the Daily Tracking Fee will be adjusted accordingly.

 

 

 

Early Redemption; Redemption Amount:

 

Subject to your compliance with the procedures described under “Specific Terms of the Securities — Early Redemption at the Option of the Holders” and “Specific Terms of the Securities — Redemption Procedures,” upon early redemption, you will receive per Security a cash payment on the relevant Redemption Date equal to:

Closing Indicative Value as of the Redemption Valuation Date — the Redemption Fee Amount.

We refer to this cash payment as the “Redemption Amount.” If the amount so calculated is equal to or less than zero, the payment upon early redemption will be zero.

 

 

 

Redemption Fee Amount:

 

The “Redemption Fee Amount” means, as of any Redemption Valuation Date, an amount per Security equal to:

0.125% × Closing Indicative Value of the Security as of such Redemption Valuation Date.

 

 

 

Payment at Maturity; Call Settlement Amount; Cash Settlement Amount:

 

For each Security, unless earlier redeemed, you will receive at maturity or upon UBS call a cash payment equal to the Closing Indicative Value on the last day of an applicable Measurement Period.

We refer to this cash payment as the “Cash Settlement Amount” or the “Call Settlement Amount”, as applicable. If the amount so calculated is equal to or less than zero, the payment at maturity or upon UBS call, as applicable, will be zero.

 

 

 

UBS Call Right:

 

On any Business Day through and including the Maturity Date (the “Call Settlement Date”), UBS may at its option redeem all, but not less than all, issued and outstanding Securities. To exercise its Call Right, UBS must provide notice to the holders of the Securities not less than eighteen (18) calendar days prior to the Call Settlement Date. Upon early redemption in the event UBS exercises this right, you will receive a cash payment equal to the Call Settlement Amount, which will be calculated as described herein and paid on the Call Settlement Date. If the amount so calculated is equal to or less than zero, the payment upon exercise of the Call Right will be zero.

In the event that the Market Value of the Securities outstanding is less than $250,000,000 as at the close of business on the Index Business Day immediately preceding the date of delivery by UBS of its notice to holders (which may be provided via press release) of its exercise of the UBS Call Right, the Call Measurement Period will be the Call Valuation Date. For details of the applicable “Call Measurement Periods”, see “Specific Terms of the Securities — UBS Call Right” beginning on page S-58.

 

 

 

Call Valuation Date:

 

The “Call Valuation Date” means the date disclosed as such by UBS in its notice to holders (which may be provided via press release) of its exercise of the UBS Call Right.

 

 

 

Measurement Period / Market Value:

 

The “Measurement Period” means the Final Measurement Period or the Call Measurement Period, as applicable.

The “Final Measurement Period” means:

(1)    if the Market Value of Securities outstanding at the close of trading on the Index Business Day immediately preceding the Calculation Date is less than $250,000,000, the Calculation Date, subject to adjustments as described under “Specific Terms of the Securities — Market Disruption Event”; or

(2)    if the Market Value of Securities outstanding at the close of trading on the Index Business Day immediately preceding the Calculation Date is equal to or greater than $250,000,000, the five (5) Index Business Days from, and including, the Calculation Date, subject to adjustment as described under “Specific Terms of the Securities — Market Disruption Event.”

The “Call Measurement Period” means:

(1)    if the Market Value of Securities outstanding at the close of trading on the Index Business Day immediately preceding the date of delivery by UBS of its notice to holders of its exercise of the UBS Call Right is less than $250,000,000, the Call Valuation Date, subject to adjustments as described under “Specific Terms of the Securities — Market Disruption Event.”; or

(2)    if the Market Value of Securities outstanding at the close of trading on the Index Business Day immediately preceding the date of delivery by UBS of its notice to holders of its exercise of the UBS Call Right is equal to or greater than $250,000,000, the five (5) Index Business Days from and including the Call Valuation Date, subject to adjustments as described under “Specific Terms of the Securities — Market Disruption Event.”

In any notice to holders exercising the UBS Call Right, we will specify how many days are included in the Call Measurement Period.

The “Market Value” of the Securities outstanding as of the close of trading on the Index Business Day immediately preceding (a) the date of delivery by UBS of its notice to holders (which may be provided via press release) of its exercise of the UBS Call Right, or (b) the Calculation Date, will equal: (i) the Closing Indicative Value as of such Index Business Day, times (ii) the number of Securities outstanding as reported by IFEDSO <Index> on Bloomberg.

 

 

 

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Measurement Period Cash Amount:

 

The Measurement Period Cash Amount represents the portion of the Closing Indicative Value that has been converted to cash on any given day of an applicable Measurement Period and is no longer tracking the Index. At the close of trading of each Index Business Day during a five-day Measurement Period, approximately 20% of the Closing Indicative Value, on the calendar day immediately preceding the first day of the Measurement Period, will be deemed converted to cash. After the close of trading on the final Index Business Day of an applicable five-day Measurement Period, the Measurement Period Cash Amount will represent the averaged value of the Closing Indicative Value that was deemed converted to cash across the five-days of such Measurement Period. In case of a one-day Measurement Period, approximately 100% of the Closing Indicative Value will be deemed converted to cash, at the close of trading of the first day of such Measurement Period.

The “Measurement Period Cash Amount” per Security, will be calculated as follows:

(1)    $0.00, on any calendar day prior to but excluding the first day of an applicable Measurement Period

(2)    On the first day of an applicable one-day Measurement Period:

(a)    At the close of trading on such Index Business Day, the (Closing Indicative Value, on the immediately preceding calendar day, times Index Factor, on such Index Business Day), minus Daily Tracking Fee.

(3)     From and including the first day of an applicable five-day Measurement Period:

(a)    At the close of trading on each Index Business Day, will equal:

(a) Measurement Period Cash Amount on the immediately preceding calendar day, plus (b) ( (i) Closing Indicative Value, on the calendar day immediately preceding the first day of such Measurement Period, times (ii) Index Factor, divided by (iii) five), minus (c) Daily Tracking Fee

(b)    On any calendar day that is not an Index Business Day, will equal the Measurement Period Cash Amount on the immediately preceding Index Business Day, minus Daily Tracking Fee

(4)    On any calendar day after the last Index Business Day of an applicable Measurement Period, the Measurement Period Cash Amount on the last Index Business Day of such Measurement Period.

The minimum value of the Measurement Period Cash Amount on any calendar day will be zero. If the Securities undergo a split or reverse split, the Measurement Period Cash Amount will be adjusted accordingly.

 

 

 

Residual Factor:

 

The Residual Factor is intended to approximate the percentage of the Closing Indicative Value that is tracking the Index on any given day. The Residual Factor is relevant only during an applicable Measurement Period but otherwise is not a component of the Closing Indicative Value or Current Indicative Value formulas.

The “Residual Factor” will be calculated as follows:

(1)    1.0 on any calendar day, prior to but excluding the first day of an applicable Measurement Period

(2)    From and including the first day of an applicable five-day Measurement Period, (a) the number of Index Business Days from, but excluding, the date of determination to, and including, the last Index Business Day in such five-day Measurement Period, divided by (b) five.

For example, on the first Index Business Day in an applicable five-day Measurement Period, the Residual Factor will equal (4/5), on the second Index Business Day in an applicable five-day Measurement Period, the Residual Factor will equal (3/5), on the third Index Business Day in an applicable five-day Measurement Period, the Residual Factor will equal (2/5), on the fourth Index Business Day in an applicable five-day Measurement Period, the Residual Factor will equal (1/5) and on the last Index Business Day in an applicable five-day Measurement Period, the Residual Factor will equal zero.

(3)    On any calendar day from and including the last Index Business Day of an applicable Measurement Period, the Residual Factor will be equal to zero.

 

 

 

Index Closing Level:

 

The “Index Closing Level” on any date of determination is the closing level of the Index, as reported on  Bloomberg and Reuters on such day; however, if the closing level of the Index as reported on Bloomberg (or any successor) differs from the closing level of the Index as reported on Reuters (or any successor), the Index Closing Level will be the closing level of the Index as calculated by the Index Calculation Agent. If the closing level of the Index, as reported on Bloomberg and Reuters for any Index Business Day, is manifestly incorrect, the “Index Closing Level” for such Index Business Day shall be the closing level of the Index as determined by the Security Calculation Agent. In making such determination, the Security Calculation Agent may consider any relevant information, including, without limitation, relevant market data in the relevant market supplied by one or more third parties or from internal sources or affiliates.

On any calendar day that is not an Index Business Day, the Index Closing Level will be equal to the Index Closing Level from the last Index Business Day prior to such calendar day.

23572.14 is the initial Index Closing Level measured on September 14, 2021 (the Initial Trade Date), as determined by the Security Calculation Agent.

 

 

 

Security Calculation Agent:

 

UBS Securities LLC or any successor agent appointed by UBS.

 

 

 

Calculation Date:

 

The Calculation Date represents the first Index Business Day of the Final Measurement Period.

The “Calculation Date” means September 6, 2061 unless such day is not an Index Business Day, in which case the Calculation Date will be the next Index Business Day, subject to adjustments.

 

 

 

Index Business Day:

 

Index Business Day” means any day on which the Primary Exchange or market for trading of the Securities is scheduled to be open for trading.

 

 

 

First Redemption Date:

 

The “First Redemption Date” means the fourth Index Business Day immediately following the Initial Trade Date, subject to adjustments.

 

 

 

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Final Redemption Date:

 

The “Final Redemption Date” means the fourth Index Business Day immediately preceding the Maturity Date, subject to adjustments.

 

 

 

Listing:

 

Application has been made to list the Securities on NYSE Arca under the symbol “IFED”. There can be no assurance that such application will be approved or that an active secondary market will develop; if it does, we expect that investors will purchase and sell the Securities primarily in this secondary market.

 

 

 

Indicative Value Symbol of the Securities:

 

The Current Indicative Value (or intraday indicative value) of the Securities will be published on each Index Business Day under the ticker symbols:

IFEDIV <INDEX> (Bloomberg); ^IFED-IV (Yahoo! Finance).

 

 

 

Intraday Index Value:

 

On each Index Business Day, the Index Calculation Agent, will calculate and publish the “Intraday Index Value” every 15 seconds during normal trading hours on Bloomberg under the ticker symbol “IFEDLT Index”.

 

 

 

Index Calculation Agent:

 

The “Index Calculation Agent” means the entity that calculates and publishes the level of the Index, which is currently Indxx.

 

 

 

Split or reverse split of the Securities:

 

We may, at any time in our sole discretion, initiate a split or reverse split of the Securities. If we decide to initiate a split or reverse split, as applicable, we will issue a press release announcing the split or reverse split, and its effective date. The date of such notice shall be deemed to be the “announcement date” of the split or reverse split, the record date for any split or reverse split will be the tenth Business Day after the announcement date, and the effective date of the split or reverse split will be the next Business Day after the record date. In the event of a split or reverse split, the Current Indicative Value of the Securities will be adjusted accordingly. See “Specific Terms of the Securities – Split or Reverse Split of the Securities” beginning on page S-59.

 

 

 

Related Definitions:

 

See “Specific Terms of the Securities — Cash Settlement Amount at Maturity” beginning on page S-52 for the definitions of “Business Day,” and “Primary Exchange.

See “Specific Terms of the Securities — Early Redemption at the Option of the Holders” beginning on page S-56 for the definitions of “Redemption Valuation Date” and “Redemption Date.”

See “Specific Terms of the Securities — Redemption Procedures” beginning on page S-57 for the definitions of  “Redemption Notice,” and “Redemption Confirmation.”

 

 

 

CUSIP Number:

 

90278V768

 

 

 

ISIN Number:

 

US90278V7689

 

 

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On the Initial Trade Date, we sold $50,000,000 aggregate Stated Principal Amount of Securities (2,000,000 Securities) to UBS Securities LLC at 100% of the aggregate Stated Principal Amount. After the Initial Trade Date, from time to time we may sell a portion of these Securities and issue and sell additional Securities at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. We expect to receive proceeds equal to 100% of the offering price at which the Securities are sold, less any commissions paid to UBS Securities LLC. The Securities may be sold at a price that is higher or lower than the Stated Principal Amount. UBS Securities LLC may charge normal commissions with any purchase or sale of the Securities and may also receive a portion of the Daily Tracking Fee in connection with future distributions. For any Securities it sells, UBS Securities LLC may charge institutional investors transacting directly with it, a creation fee. This creation fee may vary over time at UBS’s discretion.

Please see “Supplemental Plan of Distribution” on page S-73 for more information.

We may use this prospectus supplement in the initial sale of the Securities. In addition, UBS Securities LLC, or another of our affiliates may use this prospectus supplement in market-making transactions in any Securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale or in a notice delivered at the same time as the confirmation of sale, this prospectus supplement is being used in a market-making transaction.

PROHIBITION OF SALES TO EEA RETAIL INVESTORS — The Securities are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the European Economic Area (“EEA”). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); (ii) a customer within the meaning of Directive (EU) 2016/97 (the “Insurance Distribution Directive”), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU) 2017/1129 (as amended, the “Prospectus Regulation”). Consequently no key information document required by Regulation (EU) No 1286/2014 (as amended, the “PRIIPs Regulation”) for offering or selling the Securities or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling the Securities or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPS Regulation.

PROHIBITION OF SALES TO U.K. RETAIL INVESTORS – The Securities are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the United Kingdom (“U.K.”). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018, as amended by the European Union (Withdrawal Agreement) Act 2020 (“EUWA”); or (ii) a customer within the meaning of the provisions of the Financial Services and Markets Act 2000 (as amended, the “FSMA”) and any rules or regulations made under the FSMA to implement the Insurance Distribution Directive, where that customer would not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of domestic law by virtue of the EUWA; or (iii) not a qualified investor as defined in Article 2 of the Prospectus Regulation as it forms part of domestic law by virtue of the EUWA. Consequently, no key information document required by the PRIIPs Regulation as it forms part of domestic law by virtue of the EUWA (the “U.K. PRIIPs Regulation”) for offering or selling the Securities or otherwise making them available to retail investors in the U.K. has been prepared and therefore offering or selling the Securities or otherwise making them available to any retail investor in the U.K. may be unlawful under the U.K. PRIIPs Regulation.

 

 

 


 

This prospectus supplement contains the specific financial and other terms that apply to the securities being offered herein. Terms that apply generally to all our Medium-Term Notes, Series B, are described under “Description of Debt Securities We May Offer” in the accompanying prospectus. The terms described in this prospectus supplement modify or supplement those described in the accompanying prospectus and, if the terms described in this prospectus supplement are inconsistent with those described in the accompanying prospectus, the terms described in this prospectus supplement are controlling. The contents of any website referred to in this prospectus supplement are not incorporated by reference in this prospectus supplement or the accompanying prospectus.

You may access the accompanying prospectus dated February 24, 2021 at:

https://www.sec.gov/Archives/edgar/data/1114446/000119312521054082/d138688d424b3.htm

We have not authorized anyone to provide you with information other than the information incorporated by reference or provided in this prospectus supplement or the accompanying prospectus. We are not making an offer of these Securities in any state where the offer is not permitted. You should not assume that the information in this prospectus supplement is accurate as of any date other than the date on the front of the document.

TABLE OF CONTENTS

 

Prospectus Supplement

 

 

 

 

 

Prospectus Supplement Summary

 

S-1

Hypothetical Examples

 

S-9

Risk Factors

 

S-17

IFED Large Cap US Equity Index Total Return

 

S-31

Valuation of the Index and the Securities

 

S-50

Specific Terms of the Securities

 

S-52

Use of Proceeds and Hedging

 

S-66

Material U.S. Federal Income Tax Consequences

 

S-67

Benefit Plan Investor Considerations

 

S-72

Supplemental Plan of Distribution

 

S-73

Notice of Early Redemption

 

A-1

Broker’s Confirmation of Redemption

 

B-1

 

 

 

Prospectus

 

 

 

 

 

Introduction

 

1

Cautionary Note Regarding Forward-Looking Statements

 

3

Incorporation of Information About UBS AG

 

5

Where You Can Find More Information

 

6

Presentation of Financial Information

 

7

Limitations on Enforcement of U.S. Laws Against UBS, Its Management and Others

 

7

UBS

 

8

Swiss Regulatory Powers

 

11

Use of Proceeds

 

12

Description of Debt Securities We May Offer

 

13

Description of Warrants We May Offer

 

33

Legal Ownership and Book-Entry Issuance

 

48

Considerations Relating to Indexed Securities

 

53

Considerations Relating to Securities Denominated or Payable in or Linked to a Non-U.S. Dollar Currency

 

56

U.S. Tax Considerations

 

59

Tax Considerations Under the Laws of Switzerland

 

69

Benefit Plan Investor Considerations

 

71

Plan of Distribution

 

73

Validity of the Securities

 

76

Experts

 

76

 

 

S-i


 

Prospectus Supplement Summary

The following is a summary of terms of the Securities, as well as a discussion of factors you should consider before purchasing the Securities. The information in this section is qualified in its entirety by the more detailed explanations set forth elsewhere in this prospectus supplement and in the accompanying prospectus. Please note that references to “UBS,” “we,” “our” and “us” refer only to UBS AG and not to its consolidated subsidiaries and that, unless otherwise indicated, references to time are to New York City time.

We may, without your consent, create and issue additional securities having the same terms and conditions as the Securities. We may suspend or cease sales of the Securities at any time, at our discretion, or resume sales of such Securities, or we may condition our acceptance of a market maker’s, other market participant’s or investor’s offer to purchase Securities on it agreeing to purchase certain exchange traded notes issued by UBS or enter into certain transactions consistent with our hedging strategy, including but not limited to swaps, over the counter (“OTC”) derivatives, listed options, or securities, any of which could materially and adversely affect the trading price and liquidity of such Securities in the secondary market. For more information about the plan of distribution and possible market-making activities, see “Plan of Distribution” in the accompanying prospectus. We may consolidate the additional securities to form a single class with any outstanding Securities. In addition, we may slow or suspend sales of the Securities at any time for any reason, which could affect the liquidity of the market for such Securities.

This section summarizes the following aspects of the Securities:

- What are the Securities and how do they work?

- How do you redeem your Securities?

- What are some of the risks of the Securities?

- Is this the right investment for you?

- Who calculates and publishes the Index?

- Can you tell me more about the effect of the hedging activity of UBS and its affiliates?

- What are the tax consequences of owning the Securities?

What are the Securities and how do they work?

The Securities are senior unsecured medium-term notes issued by UBS with a return linked to the performance of the IFED Large-Cap US Equity Index Total Return (the “Index”) (Bloomberg: “IFEDLT”). The Securities do not have a minimum payment at maturity, upon redemption or upon call and are fully exposed to any decline in the Index. Therefore, a purchase of the Securities is exposed to the risk of loss of the entire amount invested.

Unlike ordinary debt securities, the Securities do not pay any coupons and do not guarantee any return of principal at maturity or upon early redemption or exercise of our call right. You may lose all or a substantial portion of your initial investment.

The Index

The Index is a composite of large-cap U.S. companies that have actively-traded common stock whose primary listing is on an eligible U.S. exchange, namely the New York Stock Exchange (“NYSE”) and Nasdaq. The Index is designed to maximize exposure to those large-cap U.S. equities best positioned to benefit from the prevailing monetary environment. The Index uses a combination of Federal Reserve Board (the “Federal Reserve”) policy developments and key firm metrics to select stocks via a transparent and rules-based active strategy (the “IFED Strategy”). The Index Sponsor has developed empirical research that presents support for the view that, if measured properly, there is a significant and consistent association between the Federal Reserve monetary policy shifts and subsequent return on equities and other securities. For a detailed description of the Index, see “IFED Large-Cap US Equity Index Total Return” beginning on page S-31.

The payment you receive on your Securities at maturity, early redemption or upon exercise by UBS of its call right will depend on the performance of the Index, as measured by the Closing Indicative Value.

We refer to the qualifying large-cap U.S. companies included in the Index as the “Index Constituent Securities.

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Payment at Maturity

The Securities do not guarantee any return of principal at, or prior to, maturity or call, or upon early redemption. Instead, at maturity, you will receive a cash payment based on the performance of the Index, reduced by the Daily Tracking Fee. The cash payment will be equal to the Closing Indicative Value on the last day of the Final Measurement Period. We refer to this payment as the “Cash Settlement Amount”. If the amount so calculated is equal to or less than zero, the payment at maturity will be zero.

The “Closing Indicative Value” per Security will be calculated as follows:

(1)

On the Initial Trade Date, $25.00 per Security

(2)

On any subsequent calendar day, prior to but excluding the first day of an applicable Measurement Period, an amount per Security equal to:

(Closing Indicative Value on the previous calendar day * Index Factor) - Daily Tracking Fee

(3)

From and including the first day of an applicable Measurement Period, an amount per Security equal to:

(Closing Indicative Value on the calendar day immediately preceding the first day of the Measurement Period × Index Factor × Residual Factor) + Measurement Period Cash Amount

During the applicable Measurement Period, the Daily Tracking Fee is taken into account when calculating the Measurement Period Cash Amount. See the definition of “Measurement Period Cash Amount” under “Specific Terms of the Securities — Cash Settlement Amount at Maturity” below.

The minimum value of the Closing Indicative Value on any calendar day will be zero. If the amount calculated above is equal to or less than zero, the payment at maturity will be zero.

You may lose all or a substantial portion of your investment at maturity. The Securities are fully exposed to any decline in the level of the Index. The negative effect of the Daily Tracking Fee will reduce your final payment. If the level of the Index (as measured by the Index Closing Level at the end of the Final Measurement Period, as compared to the initial Index Closing Level or the Index level at the time you purchase the Securities, as applicable) does not increase by an amount sufficient to offset the negative effect of the Daily Tracking Fee, or if the final Index level is less than the initial Index Closing Level (or the Index level at the time you purchase the Securities, as applicable), you may lose all or a substantial portion of your investment at maturity. The Daily Tracking Fee also takes into account the performance of the Index, as measured by the Closing Indicative Value.

Illustrative Example:

The below illustrative example demonstrates how the Closing Indicative Value is calculated on each day during a five-day Measurement Period. For the ease of analysis and presentation, the example assumes (a) no Daily

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Tracking Fee is accrued during the Measurement Period and (b) the Index Closing Level remains unchanged throughout the Measurement Period.

 

 

 

See “Specific Terms of the Securities — Cash Settlement Amount at Maturity” beginning on page S-52.

The Securities may be called by UBS prior to the Maturity Date pursuant to the UBS Call Right. See “Specific Terms of the Securities — UBS Call Right” beginning on page S-58.

No Coupon Payments

The Securities will not pay any coupon payments during their term.

UBS Call Right

On any Business Day through and including the Maturity Date (the “Call Settlement Date”), UBS may at its option redeem all, but not less than all, issued and outstanding Securities. To exercise its Call Right, UBS must provide notice (which may be provided via press release) to the holders of the Securities not less than eighteen (18) calendar days prior to the Call Settlement Date specified by UBS. In the event UBS exercises this right, you will receive a cash payment equal to the Call Settlement Amount. See “Specific Terms of the Securities — UBS Call Right” beginning on page S-58.

How do you redeem your Securities?

Early Redemption

You may elect to require UBS to redeem your Securities, in whole or in part, prior to the Maturity Date on any Index Business Day from and including the First Redemption Date through and including the Final Redemption Date, subject to a minimum redemption amount of at least 50,000 Securities. To satisfy the minimum redemption amount, your broker or other financial intermediary may bundle your Securities for redemption with those of other investors to reach this minimum amount of 50,000 Securities; however, there can be no assurance that they can or will do so. UBS reserves the right from time to time to waive this minimum redemption amount in its sole discretion on a case-by-case basis. You should not assume you will be entitled to any such waiver.

If you elect to have your Securities redeemed and have done so under the redemption procedures described under “Specific Terms of the Securities – Redemption Procedures,” you will receive payment for your Securities on the second business day following the applicable Redemption Valuation Date (the “Redemption Date”). The First Redemption Date will be the fourth Index Business Day immediately following the Initial Trade Date and the Final Redemption Date will be the fourth Index Business Day immediately preceding the Maturity Date, subject to adjustments. In addition, if a call notice has been issued, the last Redemption Valuation Date will be the fourth Index Business Day prior to the Call Settlement Date, as applicable.

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The Redemption Valuation Date is the first Index Business Day following the date that a Redemption Notice and Redemption Confirmation, each as described under “Specific Terms of the Securities – Early Redemption at the Option of the Holders” are delivered, except that UBS reserves the right from time to time to accelerate, in its sole discretion on a case-by-case basis, the Redemption Valuation Date to the date on which the Redemption Notice is received by UBS rather than the following Index Business Day. You should not assume that you will be entitled to any such acceleration. Any applicable Redemption Valuation Date is subject to adjustment as described under “Specific Terms of the Securities – Market Disruption Event” beginning on page S-60.

Upon early redemption, you will receive per Security a cash payment on the relevant Redemption Date equal to the Redemption Amount, calculated as described under “Specific Terms of the Securities — Early Redemption at the Option of the Holders” beginning on page S-56.

You may lose all or a substantial portion of your investment upon early redemption. The combined negative effect of the Daily Tracking Fee and the Redemption Fee Amount will reduce your Redemption Amount. If the level of the Index (as measured by the Index Closing Level on the Redemption Valuation Date compared to the initial Index closing level or the Index level at the time you purchase the Securities, as applicable) does not increase by an amount sufficient to offset the combined negative effect of the Daily Tracking Fee and the Redemption Fee Amount you may lose some or all of your investment upon early redemption.

The Securities may be called by UBS prior to the Maturity Date pursuant to the UBS Call Right. See “Specific Terms of the Securities — UBS Call Right” beginning on page S-58.

Redemption Procedures

To redeem your Securities prior to the Maturity Date, you must instruct your broker or other person through whom you hold your Securities to deliver a notice of redemption (“Redemption Notice”), which is attached to this Prospectus Supplement as Annex A, to UBS by email no later than 12:00 noon (New York City time) on the Index Business Day on which you elect to exercise your redemption right and you and your broker or other person through whom you hold your Securities must follow the procedures described herein. If you fail to comply with these procedures, your notice will be deemed ineffective.

If your DTC custodian or your brokerage firm is not a current UBS customer, UBS will be required to on-board such DTC custodian or brokerage firm, in compliance with its internal policies and procedures, before it can accept your Redemption Notice, your Redemption Confirmation or otherwise process your redemption request. This on-boarding process may delay your Redemption Valuation Date and Redemption Date. Furthermore, in certain circumstances, UBS may be unable to on-board your DTC custodian or your brokerage firm.

See “Specific Terms of the Securities — Redemption Procedures” beginning on page S-57, and “Description of Debt Securities We May Offer — Redemption and Repayment” in the accompanying prospectus.

What are some of the risks of the Securities?

An investment in the Securities involves risks. Selected risks are summarized here, but we urge you to read the more detailed explanation of risks described under “Risk Factors” beginning on page S-17.

You may lose all or a substantial portion of your investment — The Securities do not guarantee any return on your initial investment and are fully exposed to any decline in the level of the Index. The negative effect of the Daily Tracking Fee and, in the case of early redemption at your option, the Redemption Fee Amount, will reduce your final payment. If the increase in the level of the Index (as measured by the Index Closing Level at the end of the applicable Measurement Period or on the Redemption Valuation Date, as applicable, as compared to the initial Index Closing Level (or the Index level at the time you purchase the Securities, as applicable)) is insufficient to offset the negative effect of the Daily Tracking Fee and, in the case of early redemption at your option, the Redemption Fee Amount, or if the final Index Closing Level is less than the initial Index Closing Level (or the Index level at the time you purchase the Securities, as applicable), you may lose all or a substantial portion of your investment at maturity or call, or upon early redemption.

The Securities are not suitable for all investors. In particular, the Securities should be purchased only by investors who are willing to actively and continuously monitor their investment, and who understand how path dependence affects the value of the Securities — The Securities require an understanding of path dependence of investment results and are intended to be used as part of an overall

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diversified portfolio. The Securities are fully exposed to any decline in the level of the Index, and your payment at maturity or call, or upon early redemption, is linked to the performance of the Index. The Daily Tracking Fee also takes into account the performance of the Index, as measured by the Closing Indicative Value and Index Factor, and the absolute level of the Daily Tracking Fee is dependent on the path taken by the Index to arrive at its ending level on any date of determination.

Market risk — The return on the Securities, which may be positive or negative, is linked to the return on the Index as measured by the Index Factor, and which, in turn, is affected by a variety of market and economic factors, interest rates in the markets and economic, financial, political, regulatory, judicial or other events (including the outbreak of contagious or pandemic diseases, such as the recent coronavirus (COVID-19)).

Credit of issuer — The Securities are senior unsecured debt obligations of the issuer, UBS, and are not, either directly or indirectly, an obligation of or guaranteed by any third party. Any payment to be made on the Securities, depends on the ability of UBS to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of UBS will affect the market value, if any, of the Securities prior to maturity, early redemption or call. In addition, in the event UBS were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities. The Securities do not benefit from any co-obligation of UBS Switzerland AG.

We have potential conflicts – We and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting as Security Calculation Agent. As determinations by the Security Calculation Agent may adversely affect the market value of the Securities, the Security Calculation Agent may have a conflict of interest if it needs to make any such determination.

You will not receive any coupon payment — You will not receive any coupon payment on the Securities.

A trading market for the Securities may not develop — Although application has been made to list the Securities on NYSE Arca, there is no assurance that such application will be approved and we are not required to maintain any listing of the Securities on NYSE Arca or any other exchange. Certain affiliates of UBS may engage in limited purchase and resale transactions in the Securities, although they are not required to and may stop at any time. In addition, we are not obliged to, and may not, sell the full aggregate principal amount of the Securities set forth on the cover of this prospectus supplement. We may issue and sell additional Securities from time to time and we may cease and resume sales of the Securities at any time, at our discretion. Therefore, the liquidity of the Securities may be limited.

Conditions to early redemption — You must satisfy the requirements described herein for your redemption request to be considered, including the minimum redemption amount of at least 50,000 Securities, unless we determine otherwise or your broker or other financial intermediary bundles your Securities for redemption with those of other investors to reach this minimum requirement for redemption. In addition, the payment you receive upon early redemption will be reduced by the Redemption Fee Amount. While UBS reserves the right to waive the minimum redemption amount or the Redemption Fee Amount from time-to-time in its sole discretion, there can be no assurance that we will choose to waive any redemption requirements or fees or that any holder of the Securities will benefit from our election to do so.

Your redemption election is irrevocable — You will not know the Redemption Amount at the time you elect to request to redeem your Securities and you will not be able to rescind your election to redeem your Securities after we receive your redemption notice. Accordingly, you will be exposed to market risk in the event market conditions change after we receive your offer and the Redemption Amount is determined on the Redemption Valuation Date.

Potential adverse tax treatment — The tax treatment of the Securities is uncertain and you may be subject to adverse U.S. tax consequences in respect of your ownership of the Securities. You should consult your own tax advisor about your own tax situation.

Reinvestment of Notional Distributions of Index Constituent Securities — The Index accounts for cash dividends and distributions by the Index Constituent Securities by reinvesting such amounts in the Index after market close on the applicable ex-dividend or ex-distribution date.

UBS Call Right — We may elect to redeem all issued and outstanding Securities at any time. If we exercise our Call Right, the Call Settlement Amount may be less than the payment you would have otherwise been entitled to at maturity. In addition, you may have to invest your proceeds in a lower-return investment.

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Is this the right investment for you?

The Securities may be a suitable investment for you if:

You are willing to accept the risk that you may lose all or a substantial portion of your investment.

You seek an investment with a return linked to the performance of the total return Index, which tracks large-cap U.S. equities that are determined by the Index Sponsor based on its fully rule-based strategy to be best positioned to benefit from the prevailing monetary environment and which reinvests (rather than distributes) dividends and distributions made with respect to the Index Constituent Securities.

You are a sophisticated investor who understands path dependence of investment results and believes the level of the Index will increase during the term of the Securities by an amount sufficient to offset the Daily Tracking Fee and, in the case of early redemption at your option, the Redemption Fee Amount.

You are aware, and are willing to accept the risk, that the Securities may trade at a substantial premium to or discount from, their Current Indicative Value (or intraday indicative value).

You are willing to hold securities that have a long-term maturity (40 years).

You are willing to accept the risks inherent in investing in a security linked to the Index, which tracks large-cap U.S. equities that are determined by the Index Sponsor based on its fully rule-based strategy to be best positioned to benefit from the prevailing monetary environment and which reinvests (rather than distributes) dividends and distributions made with respect to the Index Constituent Securities.

You are willing to hold securities that may we may call at any time.

You are willing to receive no distributions, in contrast to owning interests in the Index Constituent Securities directly.

You are willing to accept the risk that the price at which you are able to sell the Securities may be significantly less than the amount you invested.

You are willing to pay the Daily Tracking Fee and, if applicable, the Redemption Fee Amount which are charged on the Securities and that will reduce your return (or increase your loss, as applicable) on your investment.

You do not seek guaranteed income from your investment and you understand that no coupon, dividend or similar payments or distributions will be made on your Securities.

You are not seeking an investment for which there will be an active secondary market.

You are comfortable with the creditworthiness of UBS, as issuer of the Securities.

The Securities may not be a suitable investment for you if:

You are not willing to accept the risk that you may lose all or a substantial portion of your investment.

You do not seek an investment with a return linked to the performance of the total return Index, which tracks large-cap U.S. equities that are determined by the Index Sponsor to be best positioned to benefit from the prevailing monetary environment, and which reinvests (rather than distributes) dividends and distributions made with respect to the Index Constituent Securities.

You are not a sophisticated investor, do not understand path dependence of investment results and believe that the level of the Index will decline during the term of the Securities or the level of the Index will not increase by an amount sufficient to offset the Daily Tracking Fee and in the case of early redemption at your option, any Redemption Fee Amount.

You are not willing to accept the risk that the Securities may trade at a substantial premium to or discount from, their Current Indicative Value (or intraday indicative value).

You are not willing to hold securities that have a long-term maturity (40 years).

You are not willing to hold securities that may be redeemed early by UBS, pursuant to the UBS Call Right at any time.

You are not willing to accept the risk that the price at which you are able to sell the Securities may be significantly less than the amount you invested.

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You are not willing to pay the Daily Tracking Fee and, if applicable, the Redemption Fee Amount which are charged on the Securities and that will reduce your return (or increase your loss, as applicable) on your investment.

You prefer the lower risk and therefore accept the potentially lower returns of fixed-income investments with comparable maturities and credit ratings.

You seek a coupon or interest payment from your investment.

You seek an investment for which there will be an active secondary market.

You are not comfortable with the creditworthiness of UBS, as issuer of the Securities.

Who calculates and publishes the Index?

The level of the Index is calculated by the Index Calculation Agent and disseminated by the Consolidated Exchange Feed of Deutsche Börse approximately every fifteen (15) seconds (assuming the level of the Index has changed within such fifteen-second interval) from 9:30 a.m. to 4:15 p.m. on those days specified as Index Business Days, and a daily Index level is published at approximately 5:00 p.m. on each Index Business Day. Index information, including the Index level, is available from Bloomberg L.P. (“Bloomberg”) under the symbol “IFEDLT Index”. The historical performance of the Index is not indicative of the future performance of the Index or the level of the Index at the end of the applicable Measurement Period or on the Redemption Valuation Date, as the case may be.

Can you tell me more about the effect of the hedging activity of UBS and its affiliates?

UBS or its affiliates expects to hedge their obligations under the Securities by purchasing the Index constituents, futures or options on the Index constituents or the Index, or exchange-traded funds or other derivative instruments with returns linked or related to changes in the performance of the Index constituents or the Index, and they may adjust these hedges by, among other things, purchasing or selling the Index constituents, futures, options, or exchange-traded funds or other derivative instruments with returns linked or related to changes in the performance of the Index constituents or the Index at any time. Any of these hedging activities may adversely affect the market price of such Index constituents and/or the level of the Index and, therefore, the market value of the Securities and the amount we pay on your Securities, if any. It is possible that UBS or its affiliates could receive substantial returns from these hedging activities while the market value of the Securities declines. You should refer to “Risk Factors— Risks Relating to the Creditworthiness, Conflicts of Interest, Hedging Activities and Regulation of UBS—Trading and other transactions by UBS or its affiliates in the Index Constituent Securities, futures, options, exchange-traded funds or other derivative products on the Index Constituent Securities or the Index may impair the market value of the Securities” and “Use of Proceeds and Hedging” in this prospectus supplement.

What are the tax consequences of owning the Securities?

The United States federal income tax consequences of your investment in the Securities are uncertain and holders of Securities may be subject to adverse U.S. federal income tax consequences. Some of these tax consequences are summarized below, but we urge you to read the more detailed discussion below under “Material U.S. Federal Income Tax Consequences.”

Pursuant to the terms of the Securities, you and we agree, in the absence of a statutory, regulatory, administrative or judicial ruling to the contrary, to characterize the Securities as a pre-paid forward contract with respect to the Index. If the Securities are so treated, then it is likely that (i) a U.S. holder (as defined under “Material U.S. Federal Income Tax Consequences” beginning on page S-67) of Securities will not recognize income, gain or loss with respect to the Securities prior to the sale, redemption or maturity of the Securities and (ii) any gain or loss that a U.S. holder recognizes upon the sale, redemption or maturity of the Securities will generally be treated as capital gain or loss, which would be long-term capital gain or loss if the holder has a holding period in the Securities that is greater than one year. However, the U.S. federal income tax treatment of the Securities is uncertain and the Internal Revenue Service (the “IRS”) could assert that the Securities should be taxed in a manner that is different than described above. In particular, it is possible that a U.S. holder of Securities could be required to include the dividends on the Index Constituent Securities in ordinary income when they are distributed (based on the notional amount of the Index that is referenced by the Securities that are owned by the U.S. holder), notwithstanding that such amounts will be invested in the Index and will not be distributed to holders of Securities. U.S. holders of Securities should review the discussion under “Material U.S. Federal Income Tax Consequences” beginning on

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page S-67 for a summary of the tax consequences to them of holding the Securities, including a discussion of alternative treatments of the Securities that could cause them to be subject to adverse tax consequences.

Non-U.S. holders of Securities should review the discussion under “Material U.S. Federal Income Tax Consequences — Non-U.S. Holders” beginning on page S-69 for a summary of the tax consequences to them of holding the Securities, including a discussion of withholding taxes that will generally be imposed in respect of the Securities, and the possibility that such withholding taxes will be imposed prior to the sale, redemption or maturity of the Securities.

Holders are urged to consult their tax advisors concerning the significance and the potential impact of the above considerations.

Conflicts of Interest

UBS Securities LLC is an affiliate of UBS, and, as such, has a “conflict of interest” in this offering within the meaning of the Financial Industry Regulatory Authority, Inc. (“FINRA”) Rule 5121. In addition, UBS will receive the net proceeds (excluding the underwriting discount) from the initial public offering of the Securities, thus creating an additional conflict of interest within the meaning of Rule 5121. Consequently, the offering is being conducted in compliance with the provisions of Rule 5121. UBS Securities LLC is not permitted to sell Securities in this offering to an account over which it exercises discretionary authority without the prior specific written approval of the account holder.

 

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Hypothetical Examples

Hypothetical Payment at Maturity or Call, or upon Early Redemption

The following examples illustrate how the Securities would perform at maturity, call, or upon early redemption, in hypothetical circumstances. We have included an example in which the Index Closing Level increases at a constant rate of 2.00% per year through maturity (Example 1), as well as an example in which the Index Closing Level decreases at a constant rate of 2.00% per year through maturity (Example 2). In addition, Example 3 shows the Index Closing Level increasing by 2.00% per year and decreasing by 2.00% per year in alternating years through maturity, and Example 4 shows the Index Closing Level increasing by 3.00% per year and decreasing by 3.00% per year in alternating years through maturity. For ease of analysis and presentation, the following examples assume that the term of the Securities is thirty years and that there is no Call Measurement Period. In addition, the examples assume that the Daily Tracking Fee is calculated on an annual basis.

The Following assumptions are used in each of the four examples:

The Daily Tracking Fee is calculated based on a per annum rate of 0.45%

The initial Closing Indicative Value per Security is $25.00

The initial Index Closing Level is 23650

The Redemption Fee Amount is 0.125%

These examples highlight the impact of the Daily Tracking Fee on the payment at maturity, call, or upon early redemption, under different circumstances. The Daily Tracking Fee has been calculated on an annual basis for the purposes of these examples. However, because the Daily Tracking Fee is actually calculated on a daily basis and takes into account the performance of the Index, as measured by the Closing Indicative Value, the absolute level of the Daily Tracking Fee is dependent on the path taken by the Index to arrive at its ending level. The figures in these examples have been rounded for convenience. The Cash Settlement Amount figures for year thirty are as of the hypothetical Calculation Date, assuming that the Final Measurement Period is the Calculation Date, and given the indicated assumptions, a holder will receive payment at maturity, upon early redemption or upon exercise by UBS of its call right, in the indicated amount, according to the indicated formula.

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Hypothetical Examples

 

Example 1 — The Index Closing Level increases at a constant rate of 2.00% per year through maturity.

 

Year

 

Index Level

 

 

Index Factor

 

 

Current Principal Amount

 

 

Closing

Indicative

Value

 

 

Sum of Daily

Tracking

Fees for the

Applicable

Year

 

 

Cash

Settlement

Amount / Call

Settlement

Amount

 

 

Redemption

Amount

 

A

 

B

 

 

C

 

 

D

 

 

E

 

 

F

 

 

G

 

 

H

 

0

 

 

23650.00

 

 

 

 

 

 

 

25.00

 

 

 

25.00

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 

 

24123.00

 

 

 

1.02

 

 

 

25.39

 

 

 

25.39

 

 

 

0.1148

 

 

 

25.39

 

 

 

25.35

 

2

 

 

24605.46

 

 

 

1.02

 

 

 

25.78

 

 

 

25.78

 

 

 

0.1165

 

 

 

25.78

 

 

 

25.74

 

3

 

 

25097.57

 

 

 

1.02

 

 

 

26.17

 

 

 

26.17

 

 

 

0.1183

 

 

 

26.17

 

 

 

26.14

 

4

 

 

25599.52

 

 

 

1.02

 

 

 

26.58

 

 

 

26.58

 

 

 

0.1201

 

 

 

26.58

 

 

 

26.54

 

5

 

 

26111.51

 

 

 

1.02

 

 

 

26.99

 

 

 

26.99

 

 

 

0.1220

 

 

 

26.99

 

 

 

26.95

 

6

 

 

26633.74

 

 

 

1.02

 

 

 

27.40

 

 

 

27.40

 

 

 

0.1239

 

 

 

27.40

 

 

 

27.37

 

7

 

 

27166.42

 

 

 

1.02

 

 

 

27.82

 

 

 

27.82

 

 

 

0.1258

 

 

 

27.82

 

 

 

27.79

 

8

 

 

27709.74

 

 

 

1.02

 

 

 

28.25

 

 

 

28.25

 

 

 

0.1277

 

 

 

28.25

 

 

 

28.22

 

9

 

 

28263.94

 

 

 

1.02

 

 

 

28.69

 

 

 

28.69

 

 

 

0.1297

 

 

 

28.69

 

 

 

28.65

 

10

 

 

28829.22

 

 

 

1.02

 

 

 

29.13

 

 

 

29.13

 

 

 

0.1317

 

 

 

29.13

 

 

 

29.09

 

11

 

 

29405.80

 

 

 

1.02

 

 

 

29.58

 

 

 

29.58

 

 

 

0.1337

 

 

 

29.58

 

 

 

29.54

 

12

 

 

29993.92

 

 

 

1.02

 

 

 

30.04

 

 

 

30.04

 

 

 

0.1358

 

 

 

30.04

 

 

 

30.00

 

13

 

 

30593.80

 

 

 

1.02

 

 

 

30.50

 

 

 

30.50

 

 

 

0.1379

 

 

 

30.50

 

 

 

30.46

 

14

 

 

31205.67

 

 

 

1.02

 

 

 

30.97

 

 

 

30.97

 

 

 

0.1400

 

 

 

30.97

 

 

 

30.93

 

15

 

 

31829.79

 

 

 

1.02

 

 

 

31.45

 

 

 

31.45

 

 

 

0.1421

 

 

 

31.45

 

 

 

31.41

 

16

 

 

32466.38

 

 

 

1.02

 

 

 

31.93

 

 

 

31.93

 

 

 

0.1443

 

 

 

31.93

 

 

 

31.89

 

17

 

 

33115.71

 

 

 

1.02

 

 

 

32.42

 

 

 

32.42

 

 

 

0.1466

 

 

 

32.42

 

 

 

32.38

 

18

 

 

33778.02

 

 

 

1.02

 

 

 

32.92

 

 

 

32.92

 

 

 

0.1488

 

 

 

32.92

 

 

 

32.88

 

19

 

 

34453.58

 

 

 

1.02

 

 

 

33.43

 

 

 

33.43

 

 

 

0.1511

 

 

 

33.43

 

 

 

33.39

 

20

 

 

35142.66

 

 

 

1.02

 

 

 

33.94

 

 

 

33.94

 

 

 

0.1534

 

 

 

33.94

 

 

 

33.90

 

21

 

 

35845.51

 

 

 

1.02

 

 

 

34.47

 

 

 

34.47

 

 

 

0.1558

 

 

 

34.47

 

 

 

34.42

 

22

 

 

36562.42

 

 

 

1.02

 

 

 

35.00

 

 

 

35.00

 

 

 

0.1582

 

 

 

35.00

 

 

 

34.95

 

23

 

 

37293.67

 

 

 

1.02

 

 

 

35.54

 

 

 

35.54

 

 

 

0.1606

 

 

 

35.54

 

 

 

35.49

 

24

 

 

38039.54

 

 

 

1.02

 

 

 

36.09

 

 

 

36.09

 

 

 

0.1631

 

 

 

36.09

 

 

 

36.04

 

25

 

 

38800.33

 

 

 

1.02

 

 

 

36.64

 

 

 

36.64

 

 

 

0.1656

 

 

 

36.64

 

 

 

36.60

 

26

 

 

39576.34

 

 

 

1.02

 

 

 

37.21

 

 

 

37.21

 

 

 

0.1682

 

 

 

37.21

 

 

 

37.16

 

27

 

 

40367.87

 

 

 

1.02

 

 

 

37.78

 

 

 

37.78

 

 

 

0.1708

 

 

 

37.78

 

 

 

37.73

 

28

 

 

41175.22

 

 

 

1.02

 

 

 

38.36

 

 

 

38.36

 

 

 

0.1734

 

 

 

38.36

 

 

 

38.31

 

29

 

 

41998.73

 

 

 

1.02

 

 

 

38.95

 

 

 

38.95

 

 

 

0.1761

 

 

 

38.95

 

 

 

38.90

 

30

 

 

42838.70

 

 

 

1.02

 

 

 

39.55

 

 

 

39.55

 

 

 

0.1788

 

 

 

39.55

 

 

 

39.50

 

 

Cumulative Index Return

 

 

81.14

%

Cumulative ETN Return

 

 

58.02

%

Annualized Index Return

 

 

2.00

%

Annualized ETN Return

 

 

1.54

%

 

*

Assumes that the Securities were redeemed.

S-10


Hypothetical Examples

 

Example 2 — The Index Closing Level decreases at a constant rate of 2.00% per year through maturity.

 

Year

 

Index Level

 

 

Index Factor

 

 

Current Principal Amount

 

 

Closing Indicative Value

 

 

Sum of Daily

Tracking

Fees for the

Applicable

Year

 

 

Cash

Settlement

Amount / Call

Settlement

Amount

 

 

Redemption

Amount

 

A

 

B

 

 

C

 

 

D

 

 

E

 

 

F

 

 

G

 

 

H

 

0

 

 

23650.00

 

 

 

 

 

 

 

25.00

 

 

 

25.00

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 

 

23177.00

 

 

 

0.98

 

 

 

24.39

 

 

 

24.39

 

 

 

0.1103

 

 

 

24.39

 

 

 

24.36

 

2

 

 

22713.46

 

 

 

0.98

 

 

 

23.79

 

 

 

23.79

 

 

 

0.1076

 

 

 

23.79

 

 

 

23.76

 

3

 

 

22259.19

 

 

 

0.98

 

 

 

23.21

 

 

 

23.21

 

 

 

0.1049

 

 

 

23.21

 

 

 

23.18

 

4

 

 

21814.01

 

 

 

0.98

 

 

 

22.65

 

 

 

22.65

 

 

 

0.1024

 

 

 

22.65

 

 

 

22.62

 

5

 

 

21377.73

 

 

 

0.98

 

 

 

22.09

 

 

 

22.09

 

 

 

0.0999

 

 

 

22.09

 

 

 

22.07

 

6

 

 

20950.17

 

 

 

0.98

 

 

 

21.55

 

 

 

21.55

 

 

 

0.0974

 

 

 

21.55

 

 

 

21.53

 

7

 

 

20531.17

 

 

 

0.98

 

 

 

21.03

 

 

 

21.03

 

 

 

0.0951

 

 

 

21.03

 

 

 

21.00

 

8

 

 

20120.55

 

 

 

0.98

 

 

 

20.52

 

 

 

20.52

 

 

 

0.0927

 

 

 

20.52

 

 

 

20.49

 

9

 

 

19718.13

 

 

 

0.98

 

 

 

20.01

 

 

 

20.01

 

 

 

0.0905

 

 

 

20.01

 

 

 

19.99

 

10

 

 

19323.77

 

 

 

0.98

 

 

 

19.53

 

 

 

19.53

 

 

 

0.0883

 

 

 

19.53

 

 

 

19.50

 

11

 

 

18937.30

 

 

 

0.98

 

 

 

19.05

 

 

 

19.05

 

 

 

0.0861

 

 

 

19.05

 

 

 

19.03

 

12

 

 

18558.55

 

 

 

0.98

 

 

 

18.58

 

 

 

18.58

 

 

 

0.0840

 

 

 

18.58

 

 

 

18.56

 

13

 

 

18187.38

 

 

 

0.98

 

 

 

18.13

 

 

 

18.13

 

 

 

0.0820

 

 

 

18.13

 

 

 

18.11

 

14

 

 

17823.63

 

 

 

0.98

 

 

 

17.69

 

 

 

17.69

 

 

 

0.0800

 

 

 

17.69

 

 

 

17.67

 

15

 

 

17467.16

 

 

 

0.98

 

 

 

17.26

 

 

 

17.26

 

 

 

0.0780

 

 

 

17.26

 

 

 

17.23

 

16

 

 

17117.82

 

 

 

0.98

 

 

 

16.84

 

 

 

16.84

 

 

 

0.0761

 

 

 

16.84

 

 

 

16.81

 

17

 

 

16775.46

 

 

 

0.98

 

 

 

16.42

 

 

 

16.42

 

 

 

0.0742

 

 

 

16.42

 

 

 

16.40

 

18

 

 

16439.95

 

 

 

0.98

 

 

 

16.02

 

 

 

16.02

 

 

 

0.0724

 

 

 

16.02

 

 

 

16.00

 

19

 

 

16111.15

 

 

 

0.98

 

 

 

15.63

 

 

 

15.63

 

 

 

0.0707

 

 

 

15.63

 

 

 

15.61

 

20

 

 

15788.93

 

 

 

0.98

 

 

 

15.25

 

 

 

15.25

 

 

 

0.0689

 

 

 

15.25

 

 

 

15.23

 

21

 

 

15473.15

 

 

 

0.98

 

 

 

14.88

 

 

 

14.88

 

 

 

0.0673

 

 

 

14.88

 

 

 

14.86

 

22

 

 

15163.69

 

 

 

0.98

 

 

 

14.52

 

 

 

14.52

 

 

 

0.0656

 

 

 

14.52

 

 

 

14.50

 

23

 

 

14860.41

 

 

 

0.98

 

 

 

14.16

 

 

 

14.16

 

 

 

0.0640

 

 

 

14.16

 

 

 

14.14

 

24

 

 

14563.20

 

 

 

0.98

 

 

 

13.82

 

 

 

13.82

 

 

 

0.0624

 

 

 

13.82

 

 

 

13.80

 

25

 

 

14271.94

 

 

 

0.98

 

 

 

13.48

 

 

 

13.48

 

 

 

0.0609

 

 

 

13.48

 

 

 

13.46

 

26

 

 

13986.50

 

 

 

0.98

 

 

 

13.15

 

 

 

13.15

 

 

 

0.0594

 

 

 

13.15

 

 

 

13.13

 

27

 

 

13706.77

 

 

 

0.98

 

 

 

12.83

 

 

 

12.83

 

 

 

0.0580

 

 

 

12.83

 

 

 

12.81

 

28

 

 

13432.64

 

 

 

0.98

 

 

 

12.51

 

 

 

12.51

 

 

 

0.0566

 

 

 

12.51

 

 

 

12.50

 

29

 

 

13163.98

 

 

 

0.98

 

 

 

12.21

 

 

 

12.21

 

 

 

0.0552

 

 

 

12.21

 

 

 

12.19

 

30

 

 

12900.70

 

 

 

0.98

 

 

 

11.91

 

 

 

11.91

 

 

 

0.0538

 

 

 

11.91

 

 

 

11.90

 

 

Cumulative Index Return

 

 

-45.45

%

Cumulative ETN Return

 

 

-52.41

%

Annualized Index Return

 

 

-2.00

%

Annualized ETN Return

 

 

-2.45

%

 

*

Assumes that the Securities were redeemed.

S-11


Hypothetical Examples

 

Example 3 — The Index Closing Level increases by 2.00% per year or decreases by 2.00% per year in alternate years through maturity.

 

Year

 

Index Level

 

 

Index Factor

 

 

Current Principal Amount

 

 

Closing

Indicative

Value

 

 

Sum of Daily

Tracking

Fees for the

Applicable

Year

 

 

Cash

Settlement

Amount / Call

Settlement

Amount

 

 

Redemption

Amount

 

A

 

B

 

 

C

 

 

D

 

 

E

 

 

F

 

 

G

 

 

H

 

0

 

 

23650.00

 

 

 

 

 

 

 

25.00

 

 

 

25.00

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 

 

24123.00

 

 

 

1.02

 

 

 

25.39

 

 

 

25.39

 

 

 

0.1148

 

 

 

25.39

 

 

 

25.35

 

2

 

 

23640.54

 

 

 

0.98

 

 

 

24.77

 

 

 

24.77

 

 

 

0.1119

 

 

 

24.77

 

 

 

24.73

 

3

 

 

24113.35

 

 

 

1.02

 

 

 

25.15

 

 

 

25.15

 

 

 

0.1137

 

 

 

25.15

 

 

 

25.12

 

4

 

 

23631.08

 

 

 

0.98

 

 

 

24.53

 

 

 

24.53

 

 

 

0.1109

 

 

 

24.53

 

 

 

24.50

 

5

 

 

24103.71

 

 

 

1.02

 

 

 

24.91

 

 

 

24.91

 

 

 

0.1126

 

 

 

24.91

 

 

 

24.88

 

6