By Marisa Wong
Morgantown, W.Va., Jan. 6 – Credit Suisse AG, Nassau Branch priced $1.2 million of additional 0% Credit Suisse FI Large Cap Growth Enhanced exchange-traded notes due June 13, 2019 linked to the Russell 1000 Growth Index Total Return, according to a 424B2 filing with the Securities and Exchange Commission.
The $1 million principal amount of notes priced at 119.9575 for $1,199,575 of proceeds.
In June 2014, the issuer priced $524.21 million of the ETNs and said it planned to issue up to $1 billion. The amount priced is now $529.21 million.
The principal amount of each note is $100.
The maturity of the ETNs may be extended at the issuer’s option for up to two additional five-year periods.
The index seeks to track the large-cap growth segment of the U.S. equity market and includes Russell 1000 index companies that are determined to have higher price-to-book ratios and higher forecasted growth values relative to the equity universe.
The notes are listed on the NYSE Arca under the symbol “FLGE.”
Credit Suisse Securities (USA) LLC is the agent.
Payout at maturity
The payout at maturity will be the average of the closing indicative values for the five trading days immediately preceding the final valuation date, which is June 10, 2019.
The closing indicative value was $100 on the inception date, June 10, 2014. 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 of the index’s closing level on the current business day minus the closing level on the preceding business day.
Initially, the index units equaled (a) two times (b) the initial indicative value divided by (c) the initial index level. Upon the occurrence of a rebalance event, the units equal 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.
A rebalance event occurs if the closing indicative value falls to 60% of the most recent rebalanced indicative value.
Credit Suisse said each rebalance event will have the effect of resetting the then-current leverage to about two times based on the closing level of the index as of the rebalance trigger date. Each time a rebalance event occurs, investors will incur a rebalance fee.
Fees
On any day, the investor fee equals the product of the closing indicative value as of the previous business day times 0.85% 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 0.5 times the financing rate (Libor plus 44 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 following a deleveraging calculation date, the rebalance fee is 0.02%.
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.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Credit Suisse FI Large Cap Growth Enhanced exchange-traded notes
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| Underlying index: | Russell 1000 Growth Index Total Return
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| Amount: | $529,211,200, increased from $524,211,200
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| Maturity: | June 13, 2019
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| Coupon: | 0%
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| Price: | Par of $100 for initial $524,211,200; 119.9575 for latest $1 million add-on
|
| Payout at maturity: | Average of the closing indicative values for the five trading days immediately preceding June 10, 2019
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| Put option: | At any time, subject to a minimum of 10,000 notes and fee of 0.05% times the level of the index times the index units
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| Call option: | At any time; automatic acceleration if the intraday indicative value falls to 40% of the initial indicative value or, after any rebalance event, 40% of the rebalanced indicative value
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| Initial index level: | 826.0448
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| Pricing dates: | June 10, 2014 for $524,211,200; Jan. 5 for latest $1 million
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| Settlement dates: | June 13, 2014 for initial issue; Jan. 8 for latest add-on
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| Agent: | Credit Suisse Securities (USA) LLC
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| Listing: | NYSE Arca: FLGE
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| Cusip: | 22542D423
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