New York, Aug. 25 – Credit Suisse AG, Nassau Branch priced another $3.93 million of 0% VelocityShares Daily 2x VIX Short Term ETNs 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 $15 billion principal amount add-on priced at 0.026169 for proceeds of $3,925,350.
The original $15 million of notes priced on Nov. 29, 2010.
The payout at maturity will equal the closing indicative value of the notes on Nov. 29, 2030.
On Aug. 30, 2013 the company implemented a one-for-10 reverse split of the notes, increasing the principal amount of each note to $10,000 from $1,000 and changing the Cusip number from 22539T852. This was the second reverse split. On Dec. 21, 2012, the principal amount per ETN was increased to $1,000 from $100.
The closing indicative value of the notes on the inception date was $10,000. On subsequent days, it equals (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 zero or less 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 equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times two. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate.
The daily investor fee is an annualized amount equal to 1.65% of the closing indicative value on the preceding day.
The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%.
The company can accelerate the notes if their intraday indicative value is ever 20% or less of the prior day’s closing indicative value.
The notes are listed on the NYSE Arca under the ticker symbol “TVIX.”
Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | VelocityShares Daily 2x VIX Short Term ETN
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| Underlying index: | S&P 500 VIX Short-Term Futures
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| Amount: | $734,245,039,600, increased from original $15 million
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| Proceeds: | $3,925,350 for latest $15 billion
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| Maturity: | Dec. 4, 2030
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| Coupon: | 0%
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| Prices: | Par of $10,000 for original $15 million; 0.026169 for latest $15 billion
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| Payout at maturity: | Amount equal to closing indicative value of notes on Feb. 2, 2032
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| Closing indicative value: | Closing indicative value on preceding day times daily ETN performance on that day minus daily investor fee; daily ETN performance equals one plus daily accrual plus two times index’s return over previous day’s closing level
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| Put option: | Subject to minimum of 25,000 notes and 0.05% early redemption charge
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| Acceleration: | If intraday indicative value of notes on any day is 20% or less of prior day’s closing indicative value
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| Pricing date: | Feb. 7, 2012 for original issue; Aug. 22 for latest add-on
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| Settlement date: | Feb. 10, 2012 for original issue; Aug. 22 for latest add-on
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.00%
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| Listing: | NYSE Arca: TVIX
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| Cusip: | 22539T613
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