By Marisa Wong
Morgantown, W.Va., April 2 – Credit Suisse AG, Nassau Branch priced $50,000 of additional 0% daily redeemable notes due May 7, 2025 linked to the Credit Suisse Managed Futures Liquid index, according to a 424B2 filing with the Securities and Exchange Commission.
In May 2015, the issuer registered to sell up to $50 million of the notes and priced a $5.2 million initial tranche at par. In the latest reopening, the issuer priced $50,000 of notes on March 23 at 93.982.
The index is designed to give broad exposure that simulates a managed futures strategy that tracks a basket of currency futures, sovereign bond futures, equity index futures and commodity indexes. The level of the index will be reduced by the notional transaction cost and holding cost for each index component.
The notes are callable at any time, and they are putable at any time subject to a minimum of 100 notes. The minimum early redemption quantity may be reduced by Credit Suisse from time to time. Holders who put back their notes will have to pay an early redemption charge equal to 0.125% of the closing indicative value times.
The payout upon redemption or at maturity will be a cash payment equal to the closing indicative value of the notes.
The closing indicative value on the pricing date was $1,000. On subsequent days, it equals (a) (i) the closing indicative value on the immediately preceding calendar day times (ii) the daily index factor on that calendar day minus (b) the daily investor fee.
The closing indicative value will never be less than zero. If it is equal to zero on any trading day, the closing indicative value on that day and on all future days will be zero.
The daily index factor equals the closing level of the index on that trading days divided by its closing level on the immediately preceding trading day. On any day that is not a trading day, it will equal 1.
The daily investor fee equals (a) the closing indicative value on the immediately preceding calendar day times (b) the daily index factor on that day times (c) (i) 1% divided by (ii) 365.
The notes will not be listed on any securities exchange.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Daily redeemable notes
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| Underlying index: | Credit Suisse Managed Futures Liquid index
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| Amount: | Up to $50 million
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| Maturity: | May 7, 2025
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| Coupon: | 0%
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| Price: | Par for initial $5.2 million, variable for additional tranches; 93.982 for latest $50,000 tranche of reopened notes
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| Payout at maturity: | Cash payment equal to closing indicative value of notes
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| Call option: | At any time
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| Put option: | At any time subject to minimum of 100 notes and payment of 0.125% fee
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| Closing indicative value: | $1,000 on pricing date; on subsequent days, (a) (i) closing indicative value on immediately preceding calendar day times (ii) daily index factor on that calendar day minus (b) daily investor fee
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| Daily index factor: | Closing level of index divided by closing level on immediately preceding trading day
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| Daily investor fee: | (a) Closing indicative value on immediately preceding calendar day times (b) daily index factor on that day times (c) (i) 1% divided by (ii) 365
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| Inception date: | May 7, 2015
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| Settlement date: | May 12, 2015 for $5.2 million
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| Reopening dates: | Aug. 4, 2017 for $50,000; Aug. 23, 2017 for $20,000; Nov. 7 for $1.5 million; Nov. 7 for $35,000; Nov. 10 for $80,000; Nov. 15 for $500,000; Dec. 4 for $116,000; Jan. 17 for $30,000; Jan. 25 for $40,000; Feb. 26 for $10,000; March 2 for $100,000; March 23 for $50,000
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22546VCP9
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