By Marisa Wong
Madison, Wis., June 12 - Credit Suisse AG, Nassau Branch will issue $100 million of 0% commodity rotation exchange-traded notes due June 15, 2033 linked to the Credit Suisse Commodity Backwardation Total Return index. The issuer sold $25 million principal amount of the notes at par of $20 on the June 11 inception date, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it will offer additional ETNs from time to time at variable prices.
The total return index is a monthly rebalancing, long-only commodity index composed of single-commodity indexes that follows a rules-based strategy to select components with the highest degree of backwardation (or lowest degree of contango). The index seeks to reflect the potential returns available each month from taking a notional weighted long position in eight single-commodity sub-indexes from a universe of 24 eligible sub-indexes. The index measures the hypothetical returns on an uncollateralized investment in the notional futures contracts underlying the eligible sub-indexes, plus the interest that could be earned on the funds committed to a collateralized investment in those contracts.
The payout at maturity will be a cash payment equal to the average of the closing indicative values for the five trading days preceding the June 10, 2033 final valuation date.
The closing indicative value on the inception date will be $20. On each day after that it will be equal to (a) the closing indicative value on the preceding day times the daily index factor minus (b) the daily investor fee. The closing indicative value can never be less than zero.
The daily index factor on any day will equal the closing level of the index on that day divided by the closing level of the index on the preceding day.
The daily investor fee will equal (a) the closing indicative value on the preceding day times the daily index factor for the current day times (b) an investor fee of 0.85% divided by 365.
The ETNs are putable at a minimum of 50,000 notes and subject to a 0.125% early redemption charge, and they are also callable.
The ETNs are listed on NYSE Arca under the symbol "CSCR." They began trading on Wednesday, according to a press release.
This is the first exchange-traded product in the U.S. market to offer investors access to the Credit Suisse Commodity Backwardation Total Return index, the release noted.
Referring also to another commodity index ETN launched on Wednesday, Greg King, head of exchange-traded products in Credit Suisse's Investment Bank, said in the release, "We are proud to be bringing to market these two innovative long-only commodity index-based ETNs."
The other new commodity index ETN is the commodity benchmark ETN linked to the Credit Suisse Commodity Benchmark Total Return index.
"CSCR provides a 'Commodities 2.0' solution that offers an investable way to allocate to the commodities that exhibit the most backwardation or least contango," King said.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Commodity rotation exchange-traded notes
|
| Underlying index: | Credit Suisse Commodity Backwardation Total Return index
|
| Amount: | $100 million
|
| Maturity: | June 15, 2033
|
| Coupon: | 0%
|
| Price: | Par of $20 for initial $25 million
|
| Payout at maturity: | Cash payment equal to the average of the closing indicative values for the five trading days preceding June 10, 2033
|
| Closing indicative value: | $20 at inception; on each day after (a) closing indicative value on preceding day times daily index factor minus (b) daily investor fee; value can never be less than zero
|
| Daily index factor: | Index closing level on that day divided by closing level on preceding day
|
| Investor fee: | 0.85% per year
|
| Put option: | At a minimum of 50,000 notes, subject to 0.125% early redemption charge; notes are also callable
|
| Initial level: | 17,787.821
|
| Pricing date: | June 11 for $25 million
|
| Settlement date: | June 14 for $25 million
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22542D456
|
| Listing: | NYSE Arca: CSCR
|
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