By Angela McDaniels
Tacoma, Wash., Sept. 21 - Credit Suisse AG, Nassau Branch priced $15 million of 0% market neutral equity exchange-traded notes due Sept. 22, 2031 linked to the HS Market Neutral Index Powered by HOLT, according to a 424B2 filing with the Securities and Exchange Commission.
The company plans to issue up to $100 million of the notes. The initial $15 million of notes priced at par of $20. The remaining notes will be sold at varying prices from time to time.
The index uses a strategy that is intended to achieve stable returns while reducing risk. The index reflects the difference in return between two equally weighted constituent subindexes, the Long Total Return index and the Short Total Return index. Each subindex contains about 75 component stocks chosen using the HOLT methodology. The short index is subject to a borrow cost factor.
The maturity date may be extended at the issuer's option for up to two additional five-year periods.
The payout at maturity will be an amount in cash equal to the closing indicative value of the notes on the final valuation date.
The closing indicative value on the pricing date was $20. On any subsequent day, it equals the closing indicative value on the preceding day times the daily ETN factor minus the daily investor fee, which is 1.05% per year times the daily ETN factor on that day times the closing indicative value on the preceding day.
The daily ETN factor on any trading day equals (a) one plus (b) the daily accrual on the day plus (c) the index return on that day. The daily ETN factor on any non-trading day is one. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the three-month Treasury rate.
The notes are callable at any time, and they are putable subject to a minimum of $1 million principal amount and a redemption fee of up to $0.03 per note.
The notes are listed on NYSE Arca under the symbol "CSMN."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Market neutral equity ETNs
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| Underlying index: | HS Market Neutral Index Powered by HOLT
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| Amount: | $15 million
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| Maturity: | Sept. 22, 2031; may be extended for up to two additional five-year periods
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| Coupon: | 0%
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| Price: | Par of $20
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| Payout at maturity: | Amount equal to closing indicative value of notes on final valuation date
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| Closing indicative value: | $20 on pricing date; on any subsequent day, amount equal to closing indicative value on preceding day plus daily accrual plus index return on that day minus daily investor fee of about 1.05% per year
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| Pricing date: | Sept. 20
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| Settlement date: | Sept. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | Agent will receive all or portion of investor fee
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| Listing: | NYSE Arca: CSMN
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| Cusip: | 22542D720
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