Selling Volatility on Single Stocks – Trade Ideas Catley Lakeman Winter Offsite – January 2014

Structure Overview – Basket A (1/6) 2 DescriptionUBS 1yr Reverse Convertible on Equally Weighted Basket Maturity1yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 80% on Equally weighted basket Strike100% Guaranteed Coupon 2.25% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket A (2/6) 3 DescriptionUBS 3yr Reverse Convertible on Equally Weighted Basket Maturity3yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 70% on Equally weighted basket Strike100% Guaranteed Coupon 2.98% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket A (3/6) 4 DescriptionUBS 1yr Reverse Convertible on Worst-of Maturity1yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 80% on Worst-of basket Strike100% Guaranteed Coupon 11.88% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket A (4/6) 5 DescriptionUBS 3yr Reverse Convertible on Worst-of Maturity3yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at Maturity100% - Knock-in Put 70% on Worst-of basket Strike100% Guaranteed Coupon 8.95% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket A (5/6) 6 DescriptionUBS 6yr Autocallable Equally Weighted Basket Stock Basket MaturityMax 6yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Strike100% Snowball coupon4.85% p.a.

Structure Overview – Basket A (6/6) 7 DescriptionUBS 6yr Autocallable Worst-of Stock Basket MaturityMax 6yr UnderlyingsBP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Strike100% Snowball coupon20.25% p.a.

Structure Overview – Basket B (1/6) 8 DescriptionUBS 1yr Reverse Convertible on Equally Weighted Basket Maturity1yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 80% on Equally weighted basket Strike100% Guaranteed Coupon 2.35% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket B (2/6) 9 DescriptionUBS 3yr Reverse Convertible on Equally Weighted Basket Maturity3yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 70% on Equally weighted basket Strike100% Guaranteed Coupon 3.03% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket B (3/6) 10 DescriptionUBS 1yr Reverse Convertible on Worst-of Maturity1yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 80% on Worst-of Strike100% Guaranteed Coupon 11.95% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket B (4/6) 11 DescriptionUBS 3yr Reverse Convertible on Worst-of Maturity3yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at Maturity100% - Knock-in Put 70% on Worst-of Strike100% Guaranteed Coupon 8.96% p.a. Coupon frequency Paid quarterly

Structure Overview – Basket B (5/6) 12 DescriptionUBS 6yr Autocallable Equally Weighted Basket Stock Basket MaturityMax 6yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Equally-weighted Basket Strike100% Snowball coupon4.4% p.a.

Structure Overview – Basket B (6/6) 13 DescriptionUBS 6yr Autocallable Worst-of Stock Basket MaturityMax 6yr UnderlyingsBHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC Payoff at MaturityAutocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% Barriers Soft capital protection, Knock-in at 60% (european) on Worst-of Strike100% Snowball coupon18.5% p.a.

Structure Overview – Single Stock (1/2) 14 DescriptionUBS 1yr Reverse Convertible on BP PLC Maturity1yr UnderlyingsBP PLC Payoff at Maturity100% - Knock-in Put 80% on BP PLC Strike100% Guaranteed Coupon 3.6% p.a. Coupon frequency Paid quarterly

Structure Overview – Single Stock (2/2) 15 DescriptionUBS 1yr Reverse Convertible on RIO TINTO PLC Maturity1yr UnderlyingsRIO TINTO PLC Payoff at Maturity100% - Knock-in Put 80% on RIO TINTO PLC Strike100% Guaranteed Coupon 7.6% p.a. Coupon frequency Paid quarterly

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