HEDGING ACTIVITIES AND CONFLICTS OF INTEREST

Trading and other transactions by UBS or its affiliates in the underlier constituents, futures, options, exchange-traded funds or other derivative products on such underlier constituents or the underlier or basket underliers may impair the market value of the notes.

As described below under “Use of Proceeds and Hedging” on page PS-61, UBS or its affiliates may hedge their obligations under the notes by purchasing an ETF underlier, underlier constituents, futures or options on the underlier constituents or the underlier or basket underliers, or exchange-traded funds or other derivative instruments with returns linked or related to changes in the performance of the underlier constituents or the underlier or basket underliers, and they may adjust these hedges by, among other things, purchasing or selling these instruments at any time. Although they are not expected to, any of these hedging activities may adversely affect the market prices of such underlier constituents and/or the level(s) of the underlier or basket underliers and, therefore, the cash settlement amount and the market value of the notes. It is possible that UBS or its affiliates could receive substantial returns from these hedging activities while the market value of the notes declines. No holder of the notes will have any rights or interest in our hedging activity or any positions we may take in connection with our hedging activity.

UBS or its affiliates may also engage in trading in the underlier constituents and the above listed instruments on a regular basis as part of our general broker-dealer and other businesses for other accounts under management or to facilitate transactions for customers, including block transactions. Any of these activities could adversely affect the market prices of the ETF underlier, underlier constituents and the level(s) of the underlier or basket underliers and, therefore, the cash settlement amount and the market value of the notes. UBS or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of the underlier constituents or the underlier or basket underliers. By introducing competing products into the marketplace in this manner, UBS or its affiliates could adversely affect the market value of, and your return on, the notes.

UBS Securities LLC and other affiliates of UBS, as well as other third parties, may also make a secondary market in the notes, although they are not obligated to do so. As market makers, trading of the notes may cause UBS Securities LLC or other affiliates of UBS, as well as other third parties, to be long or short the notes in their inventory. The supply and demand for the notes, including inventory positions of market makers, may affect the secondary market price for the notes.

The business activities of UBS or its affiliates may create conflicts of interest.

As noted above, UBS and its affiliates expect to engage in trading activities related to the underlier or basket underliers and the underlier constituents that are not for the account of holders of the notes or on their behalf. These trading activities may present a conflict between the holders’ interest in the notes and the interests UBS and its affiliates will have in facilitating transactions, including block trades and options and other derivatives transactions for their customers and in accounts under their management. These trading activities, if they influence the level of the underlier or any basket underlier, could be adverse to the interests of the holders of the notes.

In the case of notes linked to an ETF, an equity index or a basket of underliers that includes an ETF and/or an equity index, UBS and its affiliates may, at present or in the future, engage in business with the issuers of the ETF or the underlier stocks, including making loans to or providing advisory services to those companies. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between the obligations of UBS or another affiliate of UBS and the interests of holders of the notes as beneficial owners of the notes. Any of these activities by UBS, UBS Securities LLC or other affiliates may affect the market prices of the ETF underlier or the underlier stocks and the level of the underlier or any basket underlier and, therefore, the cash settlement amount and the market value of the notes.

We and our affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the notes. Any such research, opinions or recommendations could affect the level of the underlier or any basket underlier or the market value of, and the return on, the notes.

UBS and its affiliates publish research from time to time on financial markets, commodities markets and other matters that may influence the value of the notes, or express opinions or provide recommendations that are

inconsistent with purchasing or holding the notes. UBS and its affiliates may have published research or other opinions that call into question the investment view implicit in your notes. Any research, opinions or recommendations expressed by UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice. Investors should make their own independent investigation of the merits of investing in the notes and the underlier or the basket of underliers to which the notes are linked.

There are potential conflicts of interest between you and the calculation agent.

Our affiliate, UBS Securities LLC, will serve as the calculation agent. UBS Securities LLC will, among other things, decide the amount of the cash payment, if any, at maturity of the notes. We may change the calculation agent after the original issue date of any notes without notice. For a fuller description of the calculation agent’s role, see “General Terms of the Notes — Role of Calculation Agent”. The calculation agent will exercise its judgment when performing its functions. For example, the calculation agent may have to determine whether a market disruption event affecting the underlier or a basket underlier has occurred or is continuing on the determination date. This determination may, in turn, depend on the calculation agent’s judgment as to whether the event has materially interfered with our ability or the ability of any of our affiliates to unwind hedge positions. See “General Terms of the Notes – Market Disruption Event” and “Use of Proceeds and Hedging”. Because this determination by the calculation agent may affect the cash settlement amount on the notes, the calculation agent may have a conflict of interest if it needs to make any such decision.

Affiliates of UBS may act as agent or dealer in connection with the sale of the notes.

UBS and its affiliates act in various capacities with respect to the notes. We and our affiliates may act as a principal, agent or dealer in connection with the sale of the notes. Such affiliates, including the sales representatives, may derive compensation from the distribution of the notes and such compensation may serve as an incentive to sell these notes instead of other investments. We may pay dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the notes.

We may sell an additional aggregate face amount of the notes at a different issue price.

At our sole option, we may decide to sell an additional aggregate face amount of the notes subsequent to the date of the applicable pricing supplement. The issue price of the notes in the subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided in the applicable pricing supplement.

If you purchase your notes at a premium to face amount, the return on your investment will be lower than the return on notes purchased at face amount and the impact of certain key terms of the notes will be negatively affected.

The cash settlement amount will not be adjusted based on the issue price you pay for the notes. If you purchase notes at a price that differs from the face amount of the notes, then the return on your investment in such notes held to the stated maturity date will differ from, and may be substantially less than, the return on notes purchased at face amount. If you purchase your notes at a premium to face amount and hold them to the stated maturity date the return on your investment in the notes will be lower than it would have been had you purchased the notes at face amount or a discount to face amount.

RISKS RELATED TO TAXATION ISSUES

Significant aspects of the tax treatment of the notes are uncertain.

Significant aspects of the tax treatment of the notes are uncertain, including the timing and character of any income inclusion in respect of your notes. We do not plan to request a ruling from the IRS regarding the tax treatment of the notes, and the IRS or a court may not agree with the tax treatment described in this product supplement or the applicable pricing supplement. You are urged to carefully read the section entitled “Material U.S. Federal Income Tax Consequences” herein and to consult your tax advisor concerning the U.S. federal income tax, and any other tax, consequences of acquiring, holding or disposing of your notes.

There exists a risk that an investment in notes that are linked to an underlier or basket underlier that is an ETF or contains shares of an ETF, PFIC, REIT or other “pass-thru entity” could be treated as a “constructive ownership” transaction which could result in all or a part of any long-term capital gain realized by you on sale, maturity or other taxable disposition of a note being recharacterized as ordinary income and subject to an interest charge (and in the case of notes linked to gold or silver ETF, subject to a maximum tax rate of 28% applicable to “collectibles” for any long-term capital gain not recharacterized under Section 1260 of the Code).

Notice 2008-2 . In 2007, the IRS released a notice that may affect the taxation of holders of the notes. According to Notice 2008-2, the IRS and the Treasury are actively considering whether the holder of an instrument similar to the notes should be required to accrue ordinary income on a current basis, and they are seeking taxpayer comments on the subject. It is not possible to determine what guidance they will ultimately issue, if any. It is possible, however, that under such guidance, holders of the notes will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The IRS and the Treasury are also considering other relevant issues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive ownership rules” of Section 1260 of the Code should be applied to such instruments. Both U.S. and non-U.S. holders are urged to consult their tax advisors concerning the significance, and the potential impact, of the above considerations. Except to the extent otherwise required by law, UBS intends to treat your notes for U.S. federal income tax purposes in accordance with the treatment described under “Material U.S. Federal Income Tax Consequences” herein unless and until such time as the Treasury Department and IRS determine that some other treatment is more appropriate.

The tax discussion herein addresses certain tax consequences that are generally expected to be applicable to the notes issued off of this product supplement but it does not address the tax treatment of any particular note. Accordingly, tax consequences may be different than those described herein may be applicable to any particular note. The tax consequences for a particular note will be discussed in the applicable pricing supplement. Further, this discussion only addresses the tax treatment of notes that do not bear a coupon and notes that are not linked to currency exchange rates. The tax treatment of income bearing notes or currency-linked notes will be addressed in the applicable pricing supplement.

Both U.S. and non-U.S. holders should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the notes (including possible application of Section 1260 of the Code and alternative treatments and the issues presented by Notice 2008-2), as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction (including that of the underlier issuer and/or the jurisdictions of the underlying constituent issuers, as applicable).

General Terms of the Notes

The following is a summary of the general terms of the notes. The information in this section is qualified in its entirety by the more detailed explanation set forth elsewhere in the applicable pricing supplement and in the accompanying prospectus. In this section, references to “holders” mean those who own the notes registered in their own names, on the books that we or the trustee maintain for this purpose, and not those who own beneficial interests in the notes registered in street name or in the notes issued in book-entry form through the Depository Trust Company (“DTC”) or another depositary. Owners of beneficial interests in the notes should read the section entitled “Legal Ownership and Book-Entry Issuance” in the accompanying prospectus.

We may issue separate offerings of the notes that may be identical in all respects, except that each offering may be linked to the performance of a different underlier or basket of underliers and will be subject to the particular terms of the respective notes set forth in the applicable pricing supplement. Each offering of the notes is a separate and distinct security and you may invest in one or more offerings of the notes as set forth in the applicable pricing supplement. The performance of each offering of the notes will depend solely upon the performance of the underlier or basket of underliers to which such offering is linked and will not depend on the performance of any other offering of the notes.

Investing in the notes involves significant risks. The notes differ from ordinary debt securities in that UBS is not necessarily obligated to repay the full amount of your initial investment. You may lose all or a significant portion of your investment. Further, any payment on the notes, including any repayment of principal, is subject to the creditworthiness of UBS. If UBS were to default on its payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.

In addition to the terms described elsewhere in this product supplement, the following general terms will apply to the notes. The applicable pricing supplement may use different defined terms than those used herein to describe the notes. If there is any inconsistency between the terms described in the applicable pricing supplement and those described in this product supplement, the index supplement or the accompanying prospectus, the following hierarchy will govern: first, the applicable pricing supplement; second, this product supplement; third, the index supplement; and last, the accompanying prospectus.

Interest

Unless otherwise specified in the applicable pricing supplement, the notes will not pay interest. If so specified, the notes would pay interest at a fixed rate or a floating rate on the interest payment dates, all as specified in the applicable pricing supplement.

Denomination

Each note will have a face amount of $1,000, unless otherwise specified in the applicable pricing supplement.

Underlier, Basket Underlier, ETF Underlier Issuer, Underlier Sponsor and Underlier Constituents

In this product supplement, when we refer to an underlier, we mean the applicable underlier specified in the applicable pricing supplement, or any successor underlier, as such underlier or successor underlier may be modified, replaced or adjusted from time to time as described below under “ — Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation” and “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”. When we refer to a basket underlier, we mean the applicable underlier included in the basket of underliers specified in the applicable pricing supplement, or any successor underlier, as such underlier or successor underlier may be modified, replaced or adjusted from time to time as described below under “ — Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation” and “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”. When we refer to an underlier sponsor as of any time, we mean the

entity, including any successor sponsor, that determines and publishes the applicable index underlier or index basket underlier as then in effect, if applicable. When we refer to an ETF underlier issuer as of any time, we mean the entity, including any issuer, that issues shares of the applicable ETF underlier or ETF basket underlier as then in effect, if applicable. When we refer to the underlier constituents as of any time, except as otherwise stated herein or in any applicable pricing supplement hereto, we mean the stocks, futures contracts on physical commodities and other constituents that comprise the applicable underlier or basket underlier, or any constituent underlier of such underlier or basket underlier, as then in effect, after giving effect to any additions, deletions or substitutions. If applicable, when we refer to constituent indices as of any time, except as otherwise stated herein or in any applicable pricing supplement hereto, we mean the component indices that may comprise the applicable index underlier or basket index underlier as then in effect, after giving effect to any additions, deletions or substitutions.

Payment of Cash Settlement Amount on Stated Maturity Date

On the stated maturity date, we will exchange each of your notes for the cash settlement amount, if any, subject to any adjustments or modifications specified in the applicable pricing supplement, as described below.

Cash Settlement Amount for Notes With Buffer Level

This subsection entitled “— Cash Settlement Amount for Notes With Buffer Level” is applicable to your notes if the applicable pricing supplement specifies a buffer level for your notes. If the applicable pricing supplement so provides, the buffer level will be a positive amount equal to a specified percentage (less than 100% and greater than 0%) of the initial underlier level or initial basket level.

Notes Linked to a Single Underlier. If the final underlier level is greater than the initial underlier level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of (A) the face amount of each of your notes times (B) the upside participation rate times (C) the underlier return, subject to adjustment described under “— Cash Settlement Amount for Notes Subject to Cap Level — Notes Linked to a Single Underlier” below if the applicable pricing supplement specifies a cap level. Because the underlier return will be a positive percentage in this case, the cash settlement amount will be greater than the face amount of each of your notes.

If the final underlier level is less than or equal to the initial underlier level and greater than or equal to the buffer level, the cash settlement amount will equal the face amount of each of your notes.

If the final underlier level is less than the buffer level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of (A) the face amount of each of your notes times (B) the buffer rate times (C) the sum of the underlier return plus the buffer amount. Because the sum of the underlier return plus the buffer amount will be a negative amount in this case, the cash settlement amount will be less than the face amount of each of your notes and, if the buffer rate specified in the applicable pricing supplement is greater than 100%, the cash settlement amount could even be zero.

Each of the final underlier level and closing level will be subject to adjustment as described below in “— Market Disruption Event — Consequences of a Market Disruption Event or a Non-Trading Day”, and, as applicable, “— Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation” and “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”.

With respect to any ETF underlier, each of the initial underlier level, final underlier level, closing level and buffer level also will be subject to adjustment as provided below in “— Antidilution Adjustments for Notes Linked to the ETF Underlier or an ETF Basket Underlier”.

Notes Linked to a Basket of Underliers. If the final basket level is greater than the initial basket level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of (A) the face amount of each of your notes times (B) the upside participation rate times (C) the basket return, subject to adjustment described under “— Cash Settlement Amount for Notes Subject to Cap Level — Notes Linked to a Basket of Underliers” below if the applicable pricing supplement specifies a cap level. Because the basket return will be a positive percentage in this case, the cash settlement amount will be greater than the face amount of each of your notes.

If the final basket level is less than or equal to the initial basket level but greater than or equal to the buffer level, the cash settlement amount will equal the face amount of each of your notes.

If the final basket level is less than the buffer level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of (A) the face amount of each of your notes times (B) the buffer rate times the sum of (C) the basket return plus the buffer amount. Because the sum of the

basket return plus the buffer amount will be a negative amount in this case, the cash settlement amount will be less than the face amount of each of your notes and, if the buffer rate specified in the applicable pricing supplement is greater than 100%, the cash settlement amount could even be zero.

Each of the final basket level, basket closing level and weighting multiplier will be subject to adjustment as provided below in “— Market Disruption Event — Consequences of a Market Disruption Event or a Non-Trading Day”, and as applicable, “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier; Alteration of Method of Calculation” and “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”.

With respect to any ETF underlier, each of the initial basket level, the basket closing level, final basket level and buffer level also will be subject to adjustment as described below in “— Antidilution Adjustments for Notes Linked to the ETF Underlier or an ETF Basket Underlier”.

Cash Settlement Amount for Notes Without Buffer Level

This subsection entitled “— Cash Settlement Amount for Notes Without Buffer Level” is applicable to your notes if the applicable pricing supplement does not specify a buffer level or specifies that a buffer level is not applicable to your notes.

Notes Linked to a Single Underlier. If the final underlier level is greater than or equal to the initial underlier level, the cash settlement amount will be determined as described under “— Cash Settlement Amount for Notes With Buffer Level — Notes Linked to a Single Underlier” above.

If the final underlier level is less than the initial underlier level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of the face amount of each of your notes times the underlier return. Because the underlier return will be a negative amount in this case, the cash settlement amount will be less than the face amount of each of your notes and could even be zero.

Notes Linked to a Basket of Underliers. If the final basket level is greater than or equal to the initial basket level, the cash settlement amount will be determined as described under “— Cash Settlement Amount for Notes With Buffer Level — Notes Linked to a Basket of Underliers” above.

If the final basket level is less than the initial basket level, the cash settlement amount will be an amount in cash equal to the sum of (i) the face amount of each of your notes plus (ii) the product of the face amount of each of your notes times the basket return. Because the basket return will be a negative amount in this case, the cash settlement amount will be less than the face amount of each of your notes and could even be zero.

Cash Settlement Amount for Notes Subject to Cap Level

The cash settlement amount, if any, for your notes will be modified as described under this subsection entitled “— Cash Settlement Amount for Notes Subject to Cap Level” only if the applicable pricing supplement specifies a cap level for your notes. If the applicable pricing supplement so provides, the cap level will be a level of the underlier equal to a specified percentage (which will be greater than 100%) of the initial underlier or initial basket level.

Notes Linked to a Single Underlier. If a cap level is specified in the applicable pricing supplement, the cash settlement amount will equal the lesser of (i) the cash settlement amount calculated as described under the subsection entitled “— Cash Settlement Amount for Notes With Buffer Level — Notes Linked to a Single Underlier” or “— Cash Settlement Amount for Notes Without Buffer Level — Notes Linked to a Single Underlier” above, as the case may be, and (ii) the maximum settlement amount.

Because of the formula we use to calculate the maximum settlement amount, the cash settlement amount calculated under this subsection will always be less than the cash settlement amount calculated without regard to the cap level if the final underlier level is greater than the cap level.

Notes Linked to a Basket of Underliers. If a cap level is specified in the applicable pricing supplement, the cash settlement amount will equal the lesser of (i) the cash settlement amount calculated as described under the subsection entitled “— Cash Settlement Amount for Notes With Buffer Level — Notes Linked to a Basket of Underliers” or “— Cash Settlement Amount for Notes Without Buffer Level — Notes Linked to a Basket of Underliers” above, as the case may be, and (ii) the maximum settlement amount.

Therefore, if you purchase notes (i) linked to a basket of underliers and (ii) with a cap level, the amount you will be paid on your notes on the stated maturity date will be capped and may not reflect a return equal to the basket return multiplied by the upside participation rate.

Because of the formula we use to calculate the maximum settlement amount, the cash settlement amount calculated under this subsection will always be less than the cash settlement amount calculated without regard to the cap level if the final basket level is greater than the cap level.

Stated Maturity Date

The stated maturity date for your notes will be the date specified in the applicable pricing supplement, unless that date is not a business day, in which case the stated maturity date will be postponed to the next following business day.

The stated maturity date will also be postponed if the originally scheduled stated maturity date for your notes as specified in the applicable pricing supplement is between 2 and 5 business days following the originally scheduled determination date for your notes and the determination date is postponed as described under “— Determination Date” below. If, however, the originally scheduled stated maturity date for your notes is 10 business days following the original determination date for your notes, any postponement of the determination date will not be postponed beyond the stated maturity date as described under “Determination Date” below.

A postponement of the maturity date for one offering of the notes will not affect the maturity date for any other offering of the notes.

Determination Date

The following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please see “Consequences of a Market Disruption Event or a Non – Trading Day” below.

Notes Linked to a Single Underlier. The determination date for your notes in this case will be the date specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event occurs or is continuing on such day or such day is not a trading day. In that event, the determination date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. If the originally scheduled stated maturity date for your notes is between 2 and 5 business days following the originally scheduled determination date for your notes, however, the determination date will not be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 business days following the originally scheduled determination date for your notes, the determination date will not be postponed by more than five trading days. If a market disruption event occurs or is continuing on the day that is the last possible determination date or such last possible day is not a trading day, that day will nevertheless be the determination date. Notwithstanding the foregoing, if the applicable pricing supplement specifies averaging dates for your notes, the determination date will occur on the last averaging date.

Notes Linked to a Basket of Underliers. The determination date for your notes in this case will be the date specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to any basket underlier occurs or is continuing on such day or such day is not a trading day with respect to any basket underlier. In that event, the determination date will be the first following trading day on which the calculation agent determines that, on or subsequent to such originally scheduled determination date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level of each of the basket underliers will be determined on or prior to the postponed determination date as set forth under “— Consequences of a Market Disruption Event or a Non-Trading Day— Notes Linked to a Basket of Underliers” below. (In such case, the determination date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the determination date.) If the originally scheduled stated maturity date for your notes is between 2 and 5 business days following the originally scheduled determination date for your notes, however, the determination date will not be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 business days following the originally scheduled determination date for your notes, the determination date will not be postponed by more than five trading days. On such last possible determination date, if a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be the determination date. Notwithstanding the foregoing, if the applicable pricing supplement specifies averaging dates for your notes, the determination date for your notes will occur on the last averaging date.

A postponement of the determination date for one offering of the notes will not affect the determination date for any other offering of the notes.

Averaging Dates

The applicable pricing supplement may specify that averaging dates will apply to your notes. In such a case, the following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please see “Consequences of a Market Disruption Event or a Non-Trading Day” below.

Notes Linked to a Single Underlier. If a market disruption event occurs or is continuing on any day that would otherwise be an averaging date or such day is not a trading day, such averaging date and each succeeding averaging date, if any, will be postponed to the next trading day(s) on which no market disruption event occurs or is continuing. If the originally scheduled stated maturity date for your notes is between 2 and 5 business days following the originally scheduled last averaging date for your notes, however, no averaging date will be later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 business days following the originally scheduled last averaging date for your notes, no averaging date will be postponed later than the date that is five trading days after the

originally scheduled last averaging date. If a market disruption event occurs or is continuing on such last possible averaging date or such last possible day is not a trading day, that day will nevertheless be the last averaging date. In such cases, more than one averaging date may occur simultaneously on such last possible day.

Notes Linked to a Basket of Underliers. If a market disruption event occurs or is continuing with respect to a basket underlier on any day that would otherwise be an averaging date or such day is not a trading day with respect to a basket underlier, such averaging date will be postponed to the next trading day on which the calculation agent determines that, on or subsequent to such originally scheduled averaging date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level of each of the basket underliers for that averaging date will be determined on or prior to the postponed averaging date as set forth under “Consequences of a Market Disruption Event or a Non-Trading Day” below. (In such case, the averaging date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the averaging date.) If an averaging date is postponed, each subsequent averaging date will be postponed by the same number of trading days, subject to the limitation described below. If the originally scheduled stated maturity date for your notes is between 2 and 5 business days following the originally scheduled last averaging date for your notes, however, no averaging date will be later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 business days following the originally scheduled last averaging date for your notes, no averaging date will be postponed later than the date that is five trading days after the originally scheduled last averaging date. On such last possible averaging date, if a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be the last averaging date. In such cases, more than one averaging date may occur simultaneously on such last possible day.

Closing Level

Index Underliers and Index Basket Underliers. Unless otherwise specified in the applicable pricing supplement, with respect to any index underlier or index basket underlier, the closing level on any trading day will be the official closing level of the index underlier, index basket underlier or any successor underlier, as applicable, published by the underlier sponsor on such trading day for such index underlier.

ETF Underliers and ETF Basket Underliers. Unless otherwise specified in the applicable pricing supplement, with respect to any ETF underlier or ETF basket underlier, the closing level means:

Market Disruption Event

Index Underliers and Index Basket Underliers. With respect to any given trading day, any of the following will be a market disruption event with respect to an index underlier (which includes, for purposes of this subsection “ — Market Disruption Event”, any index basket underlier), unless otherwise specified in the applicable pricing supplement:

and, in the case of any of these events, the calculation agent determines that the event could materially interfere with the ability of UBS or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes. For more information about hedging by UBS and/or any of its affiliates, see “Use of Proceeds and Hedging” below and, if specified therein, in the applicable pricing supplement.

The following events will not be market disruption events with respect to an index underlier:

For this purpose, an “absence of trading” in the primary securities market on which an underlier constituent, or on which option or futures contracts, if available, relating to any index underlier or any constituent index of such index underlier or to any underlier constituent are traded will not include any time when that market is itself closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in an underlier constituent or in option or futures contracts, if available, relating to any index underlier or any constituent index of such index underlier or to any underlier constituent in the primary market for that constituent or those contracts, by reason of:

will constitute a suspension or material limitation of trading in that index underlier or those contracts in that market.

A market disruption event with respect to one or more index basket underliers will not, by itself, constitute a market disruption event for the remaining unaffected index basket underlier or index underliers.

For purposes of this subsection entitled “— Market Disruption Event”, a “constituent index of an index underlier” with respect to the MSCI EAFE Index or MSCI Emerging Markets Index refers to the component country indices that comprise the MSCI EAFE Index or MSCI Emerging Markets Index. For any other index underlier, the applicable pricing supplement will specify the constituent indexes of the index underlier, if any, that comprise or underlie the index underlier or index basket underliers to which your notes may be linked.

ETF Underliers and ETF Basket Underliers. With respect to any given trading day, any of the following will be a market disruption event with respect to an ETF underlier (which includes, for purposes of this subsection “ — Market Disruption Event”, any ETF basket underlier), unless otherwise specified in the applicable pricing supplement:

and , in the case of any of these events, the calculation agent determines that the event could materially interfere with the ability of UBS or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes. For more information about hedging by UBS, and/or any of its affiliates, see “Use of Proceeds and Hedging”.

The following events will not be market disruption events with respect to an ETF underlier:

For this purpose, an “absence of trading” in the primary securities market on which shares of the ETF underlier are traded, or on which option or futures contracts, if available, relating to the ETF underlier are traded, will not include any time when that market is itself closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in shares of the ETF underlier or in option or futures contracts, if available, relating to the ETF underlier in the primary market for that ETF underlier or those contracts, by reason of:

will constitute a suspension or material limitation of trading in shares of the ETF underlier or those contracts in that market.

A market disruption event with respect to one or more ETF basket underliers will not, by itself, constitute a market disruption event for the remaining unaffected ETF basket underlier or ETF underliers.

Consequences of a Market Disruption Event or a Non-Trading Day

Notes Linked to a Single Underlier. If a market disruption event occurs or is continuing on a day that would otherwise be the determination date or any averaging date, if any, or such day is not a trading day, then the determination date or the applicable averaging date and each succeeding averaging date, if and as applicable, will be postponed, as described under “— Determination Date — Notes Linked to a Single Underlier” and “— Averaging Dates — Notes Linked to a Single Underlier” above. As a result of any of the foregoing, the stated maturity date for your notes may also be postponed, as described under “ — Stated Maturity Date” above. If the closing level of the underlier that must be used to determine the cash settlement amount is not available on the postponed determination date or any postponed averaging date because of a market disruption event or the occurrence of a non-trading day or for any other reason (except for a discontinuance or modification of an index underlier as described under “— Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation”, and a delisting, discontinuance or modification of an ETF underlier as described under “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier” and “— Antidilution Adjustments for Notes Linked to the ETF Underlier or an ETF Basket Underlier”), then the calculation agent will nevertheless determine the closing level of the underlier based on its assessment of the level of the underlier on that day.

Notes Linked to a Basket of Underliers. If a market disruption event with respect to any basket underlier occurs or is continuing on a day that would otherwise be the determination date or any averaging date, if any, or such day is not a trading day, then the determination date or the applicable averaging date and each succeeding averaging date, if and as applicable, will be postponed as described under “— Determination Date — Notes Linked to a Basket of Underliers” and “— Averaging Dates — Notes Linked to a Basket of Underliers” above. As a result of any of the foregoing, the stated maturity date for your notes may also be postponed, as described under “ — Stated Maturity Date” above. If the determination date or any averaging date is postponed due to a market disruption event or non-trading day with respect to one or more of the basket underliers, the basket closing level for the determination date or any postponed averaging date, as applicable, will be calculated based on (i) the closing level of each of the basket underliers that is not affected by the market disruption event or non-trading day, if any, on the originally scheduled determination date or the applicable originally scheduled averaging date, as applicable, with respect to each such basket underlier, if any, (ii) the closing level of each of the basket underliers that is affected by the market disruption event or non-trading day on the first trading day following the originally scheduled determination date or the applicable originally scheduled averaging date, as applicable, on which no market disruption event exists for that basket underlier, and (iii) the calculation agent’s assessment of the closing level of each basket underlier on the last possible postponed determination date or averaging date, as the case may be, with respect to each basket underlier as to which a market disruption event or non-trading day continues through the last possible postponed determination date or averaging date. As a result, this could result in the closing level of differing basket underliers being determined on different calendar dates. For the avoidance of doubt, once the closing level for one or more basket underliers is determined for a determination date or averaging date, the occurrence of a later market disruption event or non-trading day will not alter such calculation.

Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation

If, with respect to an index underlier (which includes, for purposes of this subsection “ — Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of Method of Calculation”, any index basket underlier), an underlier sponsor discontinues publication of the applicable index underlier, and such underlier sponsor or anyone else publishes a substitute underlier that the calculation agent determines is comparable to the applicable index underlier or if the calculation agent designates a substitute underlier, then the calculation agent will

determine the closing levels of the affected index underlier, initial underlier level, buffer level or final underlier level, as applicable, and the amount payable on the stated maturity date by reference to the substitute underlier. We refer to any substitute underlier approved by the calculation agent as a successor underlier. To the extent necessary, the calculation agent will adjust any terms as necessary to ensure cross-comparability of the discontinued index underlier and the successor underlier.

If the calculation agent determines that, with respect to an index underlier, the publication of an underlier is discontinued, and there is no successor underlier, the calculation agent will determine the amount payable on the stated maturity date, by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the applicable index underlier.

If the calculation agent determines that an index underlier, the underlier constituents comprising an index underlier or any constituent index of an index underlier or the method of calculating an index underlier is changed at any time in any respect, any addition, deletion or substitution and any reweighting or rebalancing of the constituent indices, if applicable, or of the applicable underlier constituents, and whether the change is made by the applicable underlier sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor underlier, is due to events affecting one or more of the applicable underlier constituents or their issuers, if any, or is due to any other reason — and is not otherwise reflected in the level of the applicable index underlier by the applicable underlier sponsor pursuant to the applicable index underlier methodology described in the applicable pricing supplement, then the calculation agent will be permitted (but not required) to make such adjustments in the applicable index underlier or the method of its calculation (such as adjustments to the closing levels of the affected index underlier, initial underlier level, buffer level or final underlier level) and, in the case of notes linked to a basket of underliers, the applicable weighting multiplier or underlier weightings, as it believes are appropriate to ensure that the final underlier or final basket level used to determine the amount payable on the stated maturity date is equitable.

All determinations and adjustments to be made by the calculation agent with respect to an index underlier may be made by the calculation agent. The calculation agent is not obligated to make any such adjustments.

Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier

If an ETF serving as an ETF underlier (which includes, for purposes of this subsection “— Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”, any ETF basket underlier), (“original ETF”) is delisted, trading of such ETF is suspended on the primary exchange for such ETF, and such ETF is immediately re-listed or approved for trading on a successor exchange, then such ETF will continue to be deemed an ETF underlier, as applicable.

If an ETF serving as an ETF underlier is delisted, trading of such ETF is suspended on the primary exchange for such ETF, and such ETF is not immediately re-listed or approved for trading on a successor exchange, or the ETF is otherwise discontinued, then the calculation agent may select a substitute ETF. A “substitute ETF” will be the share of the ETF which is listed or approved for trading on a major U.S. exchange or market and which (i) satisfies all regulatory standards applicable to equity-linked securities at the time of such selection, (ii) has the same index constituents as the original ETF or underlier constituents of the original ETF and (iii) is the most comparable to the original ETF as determined by the calculation agent based upon various criteria including but not limited to its underlier constituents, any target index, market capitalization, price volatility and dividend yield (the “substitute selection criteria”). The substitute ETF will be deemed to be the relevant ETF underlier and the calculation agent will make any required adjustment to the initial underlier level, buffer level and/or final underlier level, as applicable, and any other term of the notes and thereafter will determine the cash settlement amount by reference to the substitute ETF and such adjusted terms.

If the substitute ETF is quoted and traded in a non-U.S. currency (the “non-U.S. securities”), then for all purposes, the closing level of the substitute ETF on any trading day will be converted to U.S. dollars using the applicable exchange rate as described below, unless otherwise specified in the applicable pricing supplement.

On any date of determination, the applicable exchange rate will be the WM/Reuters Closing spot rate of the local currency of such non-U.S. securities relative to the U.S. dollar as published by Thomson Reuters PLC (“Reuters”) on the relevant page for such rate, or Bloomberg page WMCO, in each case at approximately 4:15 P.M., London time, for such date of determination. However, if such rate is not displayed on the relevant Reuters page or

Bloomberg page WMCO on any date of determination, the applicable exchange rate on such day will equal the average (mean) of the bid quotations in New York City received by the calculation agent at approximately 3:00 P.M., New York City time, on such date of determination, from as many recognized foreign exchange dealers (provided that each such dealer commits to execute a contract at its applicable bid quotation), but not exceeding three, as will make such bid quotations available to the calculation agent for the purchase of the applicable non-U.S. currency for U.S. dollars for settlement on the determination date in the aggregate amount of the applicable non-U.S. currency payable to holders of the notes. If the calculation agent is unable to obtain at least one such bid quotation, the calculation agent will determine the exchange rate.

If the calculation agent determines that no substitute ETF comparable to the original ETF exists, then the calculation agent may determine the closing level of the original ETF by reference to a basket comprised of (i) the underlier constituents of the original ETF or (ii) other securities, futures contracts, commodities or other assets comparable to the underlier constituents of the original ETF based upon the substitute selection criteria, in each case as determined by the calculation agent (a “replacement basket”). The replacement basket will be deemed to be the relevant ETF underlier and the calculation agent will make any required adjustment to the initial underlier level, buffer level and/or final underlier level, as applicable, and any other term of the notes and thereafter will determine the cash settlement amount by reference to the replacement basket and such adjusted terms. If the replacement basket includes any equity or other security issued by a non-U.S. company and quoted and traded in a non-U.S. currency, then for all purposes, the closing level of the applicable replacement basket constituent on any trading day will be converted to U.S. dollars using the applicable exchange rate as described above.

If the calculation agent determines that no substitute ETF or replacement basket comparable to the original ETF exists, then the calculation agent will deem the closing level of the original ETF on the trading day immediately prior to its delisting or suspension to be the closing level of the original ETF on each remaining trading day to, and including, the determination date.

If at any time the underlier constituents of an ETF serving as the ETF underlier are changed in a material respect, or if the ETF in any other way is modified so that the level of its shares do not, in the opinion of the calculation agent, fairly represent the level of the shares of the ETF had those changes or modifications not been made, then, from and after that time, the calculation agent will make those calculations and adjustments as may be necessary in order to account for the economic effect of such changes or modifications, and determine the closing levels of the affected ETF underlier by reference to the level of the shares of the ETF, as adjusted. Accordingly, if the ETF is modified in a way that the level of its shares is a fraction of what it would have been if it had not been modified, then the calculation agent will adjust the level in order to arrive at a level of the shares of the ETF as if it had not been modified. The calculation agent also may determine that no adjustment is required by the modification of the method of calculation.

Antidilution Adjustments for Notes Linked to the ETF Underlier or an ETF Basket Underlier

For any offering of the notes relating to an ETF underlier (which includes, for purposes of this subsection “— Antidilution Adjustments for Notes Linked to the ETF Underlier or an ETF Basket Underlier”, any ETF basket underlier), the initial underlier level, the buffer level, and/or final underlier level, as applicable, or any other term of the notes, are each subject to adjustments by the calculation agent as a result of the antidilution events described in this section. In the event that any event other than a delisting or withdrawal from the relevant exchange occurs (as discussed above in “ ¾ Delisting, Discontinuance or Modification of the ETF Underlier or an ETF Basket Underlier”) with respect to an ETF underlier, the calculation agent shall determine whether and to what extent an adjustment should be made to the level of an ETF underlier or any other term. The adjustments described below do not cover all events that could affect the value of the notes. We describe the risks relating to dilution above under “Risk Factors — You have limited protection in the case of antidilution events”.

How Adjustments Will be Made

If one of the events described below occurs with respect to an ETF underlier and the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of such ETF underlier, the calculation agent will calculate such corresponding adjustment or series of adjustments to the initial underlier level, buffer level and/or final underlier level, as applicable, of the affected ETF underlier or any other term of the notes, as the calculation agent determines appropriate to account for that diluting or concentrative effect. The calculation

agent will also determine the effective date(s) of any adjustment or series of adjustments it chooses to make and the replacement of an ETF underlier, if applicable, in the event of a consolidation or merger of the issuer of the applicable ETF underlier with another entity. Upon making any such adjustment, the calculation agent will give notice as soon as practicable to the trustee, stating the corresponding adjustments to the terms of the notes.

If more than one event requiring an adjustment occurs, the calculation agent will make an adjustment for each event in the order in which the events occur and on a cumulative basis. Thus, the calculation agent will adjust the initial underlier level, buffer level and/or final underlier level for the first event, as applicable, then adjust those same terms, as applicable, for the second event, and so on for any subsequent events.

If an event requiring antidilution adjustments occurs, notwithstanding the description of the specific adjustments to be made, the calculation agent may make adjustments or a series of adjustments that differ from, or that are in addition to, those described in this product supplement with a view to offsetting, to the extent practical, any change in your economic position as a holder of the notes that results solely from that event to achieve an equitable result. The calculation agent may modify any terms as necessary to ensure an equitable result. The terms that may be so modified by the calculation agent include, but are not limited to, the initial underlier level, buffer level and/or final underlier level, as applicable, of an ETF underlier. In determining whether or not any adjustment so described achieves an equitable result, the calculation agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the affected ETF underlier.

No such adjustments will be required unless such adjustments would result in a change of at least 0.1% in the initial underlier level, buffer level and/or final underlier level of the affected ETF underlier. All terms of the notes resulting from any adjustment will be rounded up or down, as appropriate, to the nearest cent, with one-half cent being rounded upward.

The calculation agent will make all determinations with respect to antidilution adjustments affecting a particular offering of the notes, including any determination as to whether an event requiring adjustments has occurred (including whether an event has a diluting or concentrative effect on the theoretical value of the applicable ETF underlier), as to the nature of the adjustments required and how they will be made or as to the value of any property distributed in a reorganization event with respect to those notes. Upon your written request, the calculation agent will provide you with information about any adjustments it makes as the calculation agent determines is appropriate.

The following events are those that may require antidilution adjustments:

The adjustments described below do not cover all events that could affect the value of the notes. We describe the risks relating to dilution under “Risk Factors – You have limited protection in the case of antidilution events”.

Stock Splits and Reverse Stock Splits

If an ETF underlier is subject to a stock split or a reverse stock split, then the initial underlier level and the buffer level, as applicable, will each be adjusted by dividing the prior initial underlier level and the prior buffer level by the number of shares that a holder of one share of the ETF underlier before the effective date of that stock split or reverse stock split would have owned or been entitled to receive immediately following the applicable effective date.

Stock Dividends or Distributions

If an ETF underlier is subject to a stock dividend payable in shares of such ETF underlier, then the initial underlier level and the buffer level, as applicable, will each be adjusted by dividing the prior initial underlier level and the prior buffer level by the sum of one and the number of additional shares issued in the stock dividend or distribution with respect to one share of the ETF underlier.

It is not expected that antidilution adjustments will be made in the case of stock dividends payable in shares of an ETF underlier that are in lieu of ordinary cash dividends payable with respect to shares of such ETF underlier.

Other Dividends or Distributions

The terms of the notes will not be adjusted to reflect dividends or other distributions paid with respect to an ETF underlier, other than:

For any offering of the notes, a dividend or other distribution with respect to an ETF underlier will be deemed to be an extraordinary dividend if its per share value exceeds that of the immediately preceding non-extraordinary dividend, if any, for the ETF underlier by an amount equal to at least 10% of the closing level of the ETF underlier on the trading day before the ex-dividend date. The ex-dividend date for any dividend or other distribution is the first day on which an ETF underlier trades without the right to receive that dividend or distribution.

If an extraordinary dividend, as described above, occurs with respect to an ETF underlier and is payable in cash, the initial underlier level and the buffer level, as applicable, will each be adjusted by dividing the prior initial underlier level and prior buffer level by the ratio of the closing level of the ETF underlier on the trading day before the ex-dividend date to the amount by which that closing level exceeds the extraordinary cash dividend amount.

The extraordinary cash dividend amount with respect to an extraordinary dividend for an ETF underlier equals:

To the extent an extraordinary dividend is not paid in cash, the value of the non-cash component will be determined by the calculation agent. A distribution payable to the holders of an ETF underlier that is both an extraordinary dividend and payable in shares of the ETF underlier will result in adjustments to the initial underlier level and the buffer level, as applicable, or any other term of the notes, as described under “— Stock Dividends and Distributions” and not as described here.

Redemption Price Upon Optional Tax Redemption

We have the right to redeem your notes in the circumstances described under “Description of Debt Securities We May Offer — Optional Tax Redemption” in the accompanying prospectus. If we exercise this right with respect to your notes, the redemption price of the notes will be determined by the calculation agent in a manner reasonably calculated to preserve your and our relative economic position.

Default Amount on Acceleration

If an event of default occurs and the maturity of your notes is accelerated, we will pay the default amount in respect of the principal of your notes at maturity. We describe the default amount below under “— Default Amount”.

For the purpose of determining whether the holders of our Series B Medium-Term Notes, of which the notes are a part, are entitled to take any action under the indenture, we will treat the outstanding principal amount of the notes as the outstanding principal amount of that note. Although the terms of the notes may differ from those of the other Series B Medium-Term Notes, holders of specified percentages in principal amount of all Series B Medium-Term Notes, together in some cases with other series of our debt securities, will be able to take action affecting all the Series B Medium-Term Notes, including the notes. This action may involve changing some of the terms that apply to the Series B Medium-Term Notes, accelerating the maturity of the Series B Medium-Term Notes after a default or waiving some of our obligations under the indenture. We discuss these matters in the accompanying prospectus under “Description of Debt Securities We May Offer — Default, Remedies and Waiver of Default” and “Description of Debt Securities We May Offer — Modification and Waiver of Covenants”.

Default Amount

The default amount for your notes on any day (except as provided in the last sentence under “ – Default Quotation Period” below) will be an amount, in U.S. dollars for the principal of your notes, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all of our payment and other obligations with respect to your notes as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to your notes. That cost will equal:

During the default quotation period for your notes, which we describe below, the holders of your notes and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest — or, if there is only one, the only — quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.

Default Quotation Period

The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day after that day, unless:

If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence.

In any event, if the default quotation period and the subsequent two business days objection period have not ended before the determination date, then the default amount will equal the cash settlement amount of the notes.

Qualified Financial Institutions

For the purpose of determining the default amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States of America, Europe or Japan, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:

Manner of Payment and Delivery

Any payment on or delivery of your notes at maturity will be made to accounts designated by you or the holder of your notes and approved by us, or at the office of the trustee in New York City, but only when your notes are surrendered to the trustee at that office. We may also make any payment or delivery in accordance with the applicable procedures of the depositary.

Trading Day

Unless otherwise specified in the applicable pricing supplement, a “trading day” for an underlier or basket underlier is a day on which trading is scheduled to be generally conducted on the primary exchange(s) or market(s) for an ETF underlier, underlier stocks or constituents (as the case may be) of such underlier or basket underlier, as determined by the calculation agent.