Credit Suisse increases VelocityShares Daily 2x VIX Short-Term ETNs' maximum size to $150 billion

By Angela McDaniels

Tacoma, Wash., Aug. 2 - Credit Suisse AG, Nassau Branch increased the maximum amount of 0% VelocityShares Daily 2x VIX Short-Term exchange-traded notes that it will issue to $150 billion from $90 billion, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature Dec. 4, 2030, and they are linked to the S&P 500 VIX Short-Term Futures index.

Since Nov. 29, 2010, the issuer has priced $89.73 billion principal amount of notes at prices ranging from 0.15903 to 102.88.

As of Aug. 1, the principal amount of notes outstanding was $83.24 billion.

As previously reported, the company effected a one-for-10 reverse split on Dec. 21, 2012, resulting in a stated principal amount of $1,000 per ETN rather than $100 per note.

The index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility index that reflect implied volatility of the S&P 500 index at various points along the volatility forward curve.

The adjusted closing indicative value on the inception date was $1,000. On each subsequent day, it 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 (a) one plus (b) the daily accrual plus (c) (i) the index return on that day times (ii) two. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day U.S. 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 payout at maturity will be the closing indicative value on Nov. 29, 2030.

The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%.

The notes are listed on the NYSE Arca under the ticker symbol "TVIX."

Credit Suisse Securities (USA) LLC is the agent.

The Cusip number is 22539T852.

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