By Jennifer Chiou
New York, April 18 - Credit Suisse AG, Nassau Branch priced $2.5 million of additional 0% VelocityShares VIX medium-term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Mid-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The additional notes priced at 67.87 for proceeds of $1,696,750. This brings the total principal amount of notes priced so far to $12.5 million.
On Nov. 29, 2010, the issuer priced the original $5 million of notes at par of $100 and said it plans to issue up to $100 million of the notes in total.
The index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve.
The payout at maturity will be the closing indicative value on Nov. 29, 2030.
The closing indicative value was $100 on the pricing date. On each day after that, the closing indicative value equals (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee. The closing indicative value will never be less than zero.
The daily ETN performance equals one plus the daily accrual plus the index return on that day. 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 equals the closing indicative value on the preceding day times the daily ETN performance times 0.0095 divided by 365.
The notes are putable at a minimum of 25,000 notes. Holders will receive a cash payment per ETN equal to the greater of zero and the closing indicative value on the early redemption valuation date - three business days before the early redemption date - minus an early redemption charge of 0.05%.
The issuer can accelerate the notes if the intraday indicative value on any day is equal to or less than 20% of the prior day's closing indicative value.
The notes are listed on the NYSE Arca under the symbol "VIIZ."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares VIX medium-term exchange-traded notes
|
| Underlying index: | S&P 500 VIX Mid-Term Futures
|
| Amount: | $12.5 million, increased from original $5 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Price: | Par of $100 for $5 million; 67.87 for latest $2.5 million
|
| Payout at maturity: | Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee; floor of zero
|
| Initial value: | $100
|
| Put option: | At minimum of 25,000 notes and subject to 0.05% redemption charge
|
| Acceleration: | If intraday indicative value on any day is equal to or less than 20% of prior day's closing indicative value
|
| Pricing dates: | Nov. 29, 2010 for $5 million; April 16 for latest $2.5 million
|
| Settlement dates: | Dec. 2, 2010 for $5 million; April 19 for latest add-on
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Cusip: | 22542D787
|
| Listing: | NYSE Arca: VIIZ
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