Credit Suisse plans to sell $100 million VelocityShares 3x Inverse Crude Oil ETNs due 2032

By Marisa Wong

Madison, Wis., Feb. 7 - Credit Suisse AG, Nassau Branch plans to issue a total of $100 million principal amount of 0% VelocityShares 3x Inverse Crude Oil exchange-traded notes due Feb. 9, 2032 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The closing indicative value of the notes on the inception date is equal to $50. The closing indicative value on each subsequent day will equal (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee.

The closing indicative value will never be less than zero. If the intraday indicative value of the notes is less than or equal to zero at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero.

The daily ETN performance will equal (a) one plus (b) the daily accrual plus (c) (i) the index return (over the previous day's closing index level) times (ii) negative three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day U.S. Treasury rate.

The daily investor fee will equal (a) the closing indicative value on the preceding day times (b) 0.0135 divided by (c) 365.

The payout at maturity will equal the closing indicative value of the notes on Feb. 2, 2032.

The notes are putable at a minimum of 25,000 notes. Holders will receive a cash payment per ETN equal to the greater of zero and the closing indicative value on the early redemption valuation date - three business days before the early redemption date - minus an early redemption charge of 0.05%.

The initial tranche of the notes (Cusip: 22542D548) is expected to price on Feb. 7 and settle on Feb. 10. Credit Suisse said it plans to sell a portion of the notes on the inception date at par.

The notes will be listed on the NYSE Arca under the ticker symbol "DWTI.IV."

Credit Suisse Securities (USA) LLC is the agent.

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