By Angela McDaniels
Tacoma, Wash., Oct. 15 – Credit Suisse AG, Nassau Branch priced another $87.95 million of 0% VelocityShares Daily Inverse VIX Short Term ETNs due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index in three tranches, according to 424B2 filings with the Securities and Exchange Commission.
The $30 million principal amount of additional notes priced at 293.172 for $87,951,600 of proceeds.
The original $5 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 June 27, 2011, the issuer effected a 10-for-1 split of the notes, which now have a stated principal amount of $10.00.
The closing indicative value of the notes on the inception date was $10. 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 negative one. 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 1.35% 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 “XIV.”
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
|
| Issue: | VelocityShares Daily Inverse VIX Short Term ETN
|
| Underlying index: | S&P 500 VIX Short-Term Futures
|
| Amount: | $2,107,338,830, increased from original $5 million
|
| Proceeds: | $87,951,600 for latest $30 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Prices: | Par of $10 for original $5 million; 293.172 for latest $30 million
|
| Payout at maturity: | Amount equal to closing indicative value of notes on Feb. 2, 2032
|
| 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 negative one times index’s return over previous day’s closing level
|
| Put option: | Subject to minimum of 25,000 notes and 0.05% early redemption charge
|
| Acceleration: | If intraday indicative value of notes on any day is 20% or less of prior day’s closing indicative value
|
| Pricing date: | Feb. 7, 2012 for original issue; Oct. 14 for latest $30 million
|
| Settlement date: | Feb. 10, 2012 for original issue; in latest add-ons, Oct. 15 for $20 million and Oct. 17 for $10 million
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: XIV
|
| Cusip: | 22542D795
|
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