By Jennifer Chiou
New York, June 21 - Credit Suisse AG, Nassau Branch priced an additional $60 million principal amount of 0% VelocityShares VIX short-term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The add-on priced at 33.6091 for proceeds of $20,165,460.
On March 7, Credit Suisse increased the maximum issue size of the ETNs to $500 million from $100 million. So far, the issuer has priced $264.5 million of the notes at prices ranging from 33.6091 to 101.82.
The index is designed to provide investors with exposure to one or more maturities of future contracts on the CBOE Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve.
The payout at maturity will be the closing indicative value on Nov. 29, 2030.
The closing indicative value on the initial pricing date was $100. On each day after that, the closing indicative value equals (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee. The closing indicative value will never be less than zero.
The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return on that day. 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 equals the closing indicative value on the preceding day times the daily ETN performance times 0.0095 divided by 365.
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 notes are listed on the NYSE Arca under the symbol "VIIX."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares VIX short-term exchange-traded notes
|
| Underlying index: | S&P 500 VIX Short-Term Futures
|
| Amount: | $264.5 million, increased from original $5 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Prices: | Par for $5 original million, 33.6091 for latest $60 million
|
| Payout at maturity: | Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee; floor of zero
|
| Initial value: | $100
|
| Put option: | At minimum of 25,000 notes
|
| Pricing dates: | Nov. 29, 2010 for original $5 million; June 20 for latest $60 million
|
| Settlement dates: | Dec. 2, 2010 for original $5 million; June 25 for latest add-on
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Listing: | NYSE Arca: VIIX
|
| Cusip: | 22542D811
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