Credit Suisse plans to price FI Enhanced S&P 500 Total Return ETNs

By Angela McDaniels

Tacoma, Wash., Feb. 5 - Credit Suisse AG, Nassau Branch plans to price 0% Credit Suisse FI Enhanced S&P 500 Total Return index exchange-traded notes due 2019 linked to the S&P 500 Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The maturity of the ETNs may be extended at the issuer's option for up to two additional five-year periods.

The stated principal amount is $100 per ETN.

Credit Suisse Securities (USA) LLC is the agent.

The issuer plans to list the ETNs on the NYSE Arca under the symbol "FISP."

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 will be $100 on the inception date. On subsequent days, it will equal 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 will be zero on the inception date. On subsequent days, it will be 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 will equal 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 0.08% 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 a spread) 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 will be putable at any time, subject to a minimum of 10,000 notes.

The notes will be 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.

The Cusip number is 22542D431.

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