The only thing you can do other than STEP or IGES is use a 3rd party translator that UG MIGHT still be selling. Supposedly it would translate CATIA parts into UG & vice-versa, but it was not cheap. This is NOT the same thing Ben was talking about. It was probably a CATIA V4 translator & all solids were more than likely dumb or not retaining any parameters.
There are other translators out there besides the Theorem translator that UG used to sell. UG NX1 will open the v4 files directly as will NX2, and I think I read somewhere that NX3 (and maybe NX2.0.4.2?) will open V5. Anything before those, you can assume it will not open Catia. I have no idea about SE 15
Yes, I left those out because he was concerned about older versions of UG (v16 & v18). The CATIA Sheet & Solid translator will also only translate CATIA v4.1.x to 4.2.0 (per the documentation).
NX 2.0.4.2 comes with the V5 translator but I have yet to try it out.