By Marisa Wong
Madison, Wis., May 15 - Credit Suisse AG, Nassau Branch priced an additional $3.96 million of 0% VelocityShares Daily Inverse VIX Medium-Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Mid-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
Specifically, the issuer priced $312,500 principal amount at 253.672 for $792,725 of proceeds and $1.25 million principal amount at 253.672 for $3,170,900 of proceeds.
The index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve.
In November 2010, the issuer said it planned to issue up to $100 million of the notes. Since then, Credit Suisse has priced $35.28 million principal amount of the notes at prices ranging from 87.9832 to 256.432.
The face amount of the notes and the closing indicative value were initially $100.00. In June 2011, the company effected an 8-for-1 split, and the face amount is now $12.50.
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) (i) the index return on that day times (ii) negative one. 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 0.0135 divided by 365.
The payout at maturity will be the closing indicative value on Nov. 29, 2030.
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 ticker symbol "ZIV."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares Daily Inverse VIX Medium-Term exchange-traded notes
|
| Underlying index: | S&P 500 VIX Mid-Term Futures
|
| Amount: | $35,284,500, increased from original $5 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Prices: | Par for original $5 million; 253.672 for latest $312,500 and $1.25 million add-ons
|
| 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
|
| Put option: | At minimum of 25,000 notes
|
| Pricing dates: | Nov. 29, 2011 for original $5 million; May 14 for latest add-ons
|
| Settlement dates: | Dec. 2, 2011 for original $5 million; May 16 for latest $312,500 and May 17 for latest $1.25 million
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: ZIV
|
| Cusip: | 22542D829
|
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