Credit Suisse plans to price $100 million commodity benchmark ETNs

By Marisa Wong

Madison, Wis., May 23 - Credit Suisse AG, Nassau Branch plans to price $100 million of 0% commodity benchmark exchange-traded notes due June 15, 2033 linked to the Credit Suisse Commodity Benchmark Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The total return index is a monthly rebalancing, long-only diversified commodity benchmark index composed of notional futures contracts on physical commodities and weighted by world production and liquidity. The index measures the hypothetical returns on an uncollateralized investment in some futures contracts, plus the interest that could be earned on the funds committed to a collateralized investment in those contracts.

The payout at maturity will be a cash payment equal to the average of the closing indicative values for the five trading days preceding the June 10, 2033 final valuation date.

The closing indicative value on the inception date will be $20. On each day after that it will be equal to (a) the closing indicative value on the preceding day times the daily index factor minus (b) the daily investor fee. The closing indicative value can never be less than zero.

The daily index factor on any day will equal the closing level of the index on that day divided by the closing level of the index on the preceding day.

The daily investor fee will equal (a) the closing indicative value on the preceding day times the daily index factor for the current day times (b) an investor fee of 0.65% divided by 365.

The ETNs are putable at a minimum of 50,000 notes and subject to a 0.125% early redemption charge, and they are also callable.

Credit Suisse has applied to list the ETNs on NYSE Arca under the symbol "CSCB."

The notes are expected to price on June 11 and settle on June 14.

Credit Suisse Securities (USA) LLC is the agent.

The Cusip number is 22542D472.

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