By Angela McDaniels
Tacoma, Wash., March 31 - Credit Suisse AG, Nassau Branch priced an additional $28 million principal amount of 0% VelocityShares Daily 2x VIX Short-Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index in two tranches, according to 424B2 filings with the Securities and Exchange Commission.
Of the additional notes, $18 million priced at 37.88 and $10 million priced at 36.5.
In total, the issuer has priced $113.5 million principal amount of the notes in 13 tranches at prices ranging from 35.52 to 102.88. On March 25, Credit Suisse increased the maximum amount of notes it will price to $200 million from $100 million.
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 inception 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 will equal (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 will equal 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 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 are listed on the NYSE Arca under the ticker symbol "TVIX."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | VelocityShares Daily 2x VIX Short-Term exchange-traded notes
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| Underlying index: | S&P 500 VIX Short-Term Futures
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| Amount: | $113.5 million, increased from $15 million
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| Maturity: | Dec. 4, 2030
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| Coupon: | 0%
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| Price: | Par of $100 for $15 million; 102.88 for $2 million; 47.52 for $5 million; 40.44 for $2.5 million; 35.98 for $15 million; 34.52 for $11 million; 47.2 for $2.5 million; 42.74 for $2.5 million; 45.01 for $5 million; 37.99 for $15 million; 38.33 for $10 million; 37.88 for $18 million; 36.5 for $10 million
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| 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
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| Initial value: | $100
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| Put option: | At minimum of 25,000 notes
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| Pricing dates: | Nov. 29 for $15 million; Dec. 1 for $2 million; Jan. 28 for $5 million; Feb. 3 for $2.5 million; Feb. 8 for $15 million; Feb. 14 for $11 million; Feb. 22 for $2.5 million; March 4 for $2.5 million; March 9 for $5 million; March 25 for $15 million; March 28 for $10 million; March 29 for $18 million; March 30 for $10 million
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| Settlement dates: | Dec. 2 for original issue; Dec. 6 for first add-on; Feb. 2 for second add-on; Feb. 8 for third add-on; Feb. 11 for fourth add-on; Feb. 17 for fifth add-on; Feb. 25 for sixth add-on; March 9 for seventh add-on; March 14 for eighth add-on; March 30 for ninth add-on; March 31 for 10th add-on; April 1 for 11th add-on; April 4 for 12th add-on
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Listing: | NYSE Arca: TVIX
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| Cusip: | 22542D761
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