By Marisa Wong
Madison, Wis., June 25 - Credit Suisse AG, Nassau Branch priced an additional $598,253 of its 0% VelocityShares Daily 2x 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 $7.5 million principal amount of additional notes priced at 7.9767 for $598,252.50 of proceeds.
In November 2010, the company said it planned to issue up to $100 million principal amount of the notes. It priced the original $2 million principal amount of the notes at 88.8 on Dec. 6, 2010 and has thus far priced $29.5 million of notes at prices ranging from 6.58 to 88.8.
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 closing indicative value on the initial pricing date was $100. 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 (a) one plus (b) the daily accrual plus (c) two times 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 U.S. Treasury rate.
The daily investor fee equals the closing indicative value on the preceding day times the daily ETN performance times 0.0165 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 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 notes will be accelerated if their intraday indicative value falls to 20% or less of the prior day's closing indicative value.
The notes are listed on the NYSE Arca under the symbol "TVIZ."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares Daily 2x VIX Medium-Term exchange-traded notes
|
| Underlying index: | S&P 500 VIX Mid-Term Futures
|
| Amount: | $29.5 million, increased from original $2 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Face amount: | $100
|
| Price: | 88.8 for original $2 million; 7.9767 for latest $7.5 million
|
| Payout at maturity: | Closing indicative value on Nov. 29, 2030 equal to (a) (i) closing indicative value on immediately preceding day times (ii) daily ETN performance minus (b) daily investor fee; floor of zero; daily ETN performance equals one plus daily accrual plus two times index return on that day
|
| Put option: | At minimum of 25,000 notes
|
| Call: | If intraday indicative value falls to 20% or less of prior day's closing indicative value
|
| Pricing dates: | Dec. 6, 2010 for $2 million; June 24 for latest $7.5 million
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| Settlement dates: | Dec. 9, 2010 for $2 million; June 26 for latest add-on
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Listing: | NYSE Arca: TVIZ
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| Cusip: | 22542D779
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