By Marisa Wong
Morgantown, W.Va., April 26 – Credit Suisse AG, Nassau Branch priced $25 million of Credit Suisse X-Links Crude Oil Shares Covered Call exchange-traded notes due April 24, 2037 linked to the performance of the price return version of the Credit Suisse Nasdaq WTI Crude Oil Flows 106 index, according to a 424B2 filing with the Securities and Exchange Commission.
The index measures the return of a “covered call” strategy on the shares of the U.S. Oil Fund, LP by reflecting changes in the price of the U.S. Oil shares and the notional option premiums received from the notional sale of monthly call options on the U.S. Oil shares less notional transaction costs incurred in connection with the implementation of the covered call strategy.
Credit Suisse sold $5 million of the ETNs at par of $25.00 on the inception date. The remaining ETNs will be sold at variable prices.
The maturity of the ETNs may be extended for up to two additional five-year periods.
The notes pay a variable monthly coupon based on the notional option premiums received from the sale of monthly call options on the U.S. Oil shares. The monthly coupon is uncertain and could be zero.
The payout at maturity for each $25.00 principal amount will be the average of the closing indicative values of the ETNs during the five consecutive trading days ending April 21, 2037.
The closing indicative value is $25.00 on the inception date. On any day after that, the closing indicative value will be (1) the current principal amount for that day plus (2) any accrued but unpaid coupon amount. The closing indicative value will never be less than zero.
The current principal amount on the inception date is $25.00. The current principal amount on each calendar day after inception will be equal to (1) (a) the current principal amount on the immediately preceding day times (b) the daily index factor on that day minus (2) the daily investor fee.
The daily index factor will equal (1) the closing level of the index on the current day divided by (2) the closing level of the index on the preceding day.
The investor fee is 0.65% per year.
The notes are subject to optional acceleration, in whole but not in part, beginning May 9. The notes are also putable at any time, subject to a minimum of 50,000 ETNs and an early redemption charge of up to 0.125%.
The notes are listed on the Nasdaq under the ticker symbol “USOI.”
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Credit Suisse X-Links Crude Oil Shares Covered Call ETNs
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| Underlying index: | Credit Suisse Nasdaq WTI Crude Oil Flows 106 index
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| Amount: | $25 million
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| Maturity: | April 24, 2037
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| Coupon: | Variable monthly coupon based on the notional option premiums received from the sale of monthly call options on the U.S. Oil shares; could be zero
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| Price: | Par of $25.00 for initial $5 million
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| Payout at maturity: | Average of the closing indicative values of the ETNs during the five consecutive trading days ending April 21, 2037
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| Closing indicative value: | $25.00 on the inception date; on any day after that, (1) the current principal amount for that day plus (2) any accrued but unpaid coupon amount; never less than zero
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| Current principal amount: $25.00 on the inception date; on each calendar day after that, (1) (a) the current principal amount on the immediately preceding day times (b) the daily index factor on that day minus (2) the daily investor fee
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| Daily index factor: | Index closing level of the index on the current day divided by index closing level on the preceding day
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| Investor fee: | 0.65% per year
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| Optional acceleration: | In whole but not in part, beginning May 9
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| Put option: | At any time, subject to a minimum of 50,000 ETNs and an early redemption charge of up to 0.125%
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| Inception date: | April 25
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| Initial settlement date: | April 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Listing: | Nasdaq: USOI
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| Cusip: | 22539T266
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