By Susanna Moon
Chicago, Aug. 7 – Credit Suisse AG, Nassau Branch priced another $6.12 million of 0% Credit Suisse FI Enhanced Europe 50 exchange-traded notes due Sept. 10, 2018 linked to the Stoxx Europe 50 USD (Gross Return) index, according to a 424B2 filing with the Securities and Exchange Commission.
The $5 million principal amount add-on sold at 122.49 for proceeds of $6,124,500.
The notes were first sold at par of $100 on Sept. 5, 2013, the inception date. The company plans to issue up to $200 million of the notes from time to time at varying prices. The issuer has sold $146.16 million principal amount of the notes so far.
The maturity of the ETNs may be extended at the issuer's option for up to two additional five-year periods.
The index is composed of 50 European blue-chip companies selected from within the Stoxx Europe 600 index.
Payout at maturity
The payout at maturity will be the average of the closing indicative value on each of the immediately preceding five trading days.
The closing indicative value was $100 on the inception date. On subsequent days, it equals the closing indicative value on the preceding business day plus the index amount on the current business day minus the investor fee minus the exposure fee minus the rebalance fee, if applicable, provided that if this calculation results in a negative value, the closing indicative note value will be zero on that day and all future days.
The index amount was zero on the inception date. On subsequent days, it is the product of the index units on the preceding business day times the difference between the index's closing level on the current business day minus the closing level on the preceding business day.
Initially, the index units were equal to two times $100 divided by the initial index level. If the closing indicative value falls to 60% of $100 or 60% of the most recent rebalanced indicative value, as the case may be, a rebalance event will have occurred, and the index units will be two times the closing indicative value on the most recent rebalance trigger date divided by the index's closing level on the rebalance trigger date.
Credit Suisse said each rebalance event will have the effect of deleveraging the ETNs with the aim of resetting the then-current leverage to about two times based on the closing level of the index as of the rebalance trigger date.
Fees
On any day, the investor fee equals the product of the closing indicative value as of the previous business day times 0.05% times the day count fraction, which equals the number of calendar days from and including the previous business day to but excluding the current business day divided by 360.
On any day, the exposure fee equals the product of the index units as of the previous business day times the financing rate (Libor plus 76 basis points) as of the most recent quarterly reference date prior to the current business day times the closing level of the index as of the most recent quarterly reference date prior to the current business day times the day count fraction.
The rebalance fee is 0.05% times the closing level of the index on the rebalance date times the difference between the index units on the trading day immediately preceding the rebalance date minus the index units on the rebalance date. If the current business day is not a rebalance date, the rebalance fee is zero.
Early redemption
The notes are putable at any time, subject to a minimum of 10,000 notes.
The notes are callable at any time, and they will be automatically accelerated if the intraday indicative value falls to 40% of the initial indicative value or, after any rebalance event, 40% of the rebalanced indicative value.
Noteholders must pay a fee equal to 0.05% times the level of the index times the index units if the notes are put back or accelerated.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | FI Enhanced Europe 50 ETNs
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| Underlying index: | Stoxx Europe 50 USD (Gross Return) index
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| Amount: | $151.16 million, increased from $49.66 million
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| Maturity: | Sept. 10, 2018
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| Coupon: | 0%
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| Prices: | Par of $100 for initial issue; 122.49 for latest $5 million
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| Payout at maturity: | Closing indicative note value; initial indicative value was $100
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| Put option: | At any time
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| Call option: | At any time
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| Acceleration: | If intraday indicative value falls to 40% of initial indicative value
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| Pricing dates: | Sept. 5, 2013 for initial $49.66 million; Aug. 6 for latest $5 million
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| Settlement dates: Sept. 10, 2013 for initial issue; Aug. 6 for latest add-on
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Listing: | NYSE Arca: FIEU
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| Cusip: | 22542D100
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