By Jennifer Chiou
New York, June 13 - Credit Suisse AG, Nassau Branch priced an additional $20 million 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, according to 424B2 filings with the Securities and Exchange Commission.
The add-on priced at 20.07 for proceeds of $4,014,000.
In November, the issuer said it planned to issue up to $100 million of the notes. As previously reported, the issuer now plans to issue up to $500 million of the notes. Since inception, it has priced $346 million principal amount of the notes at prices ranging from 18.45 to 102.88.
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 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 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
|
| Issue: | VelocityShares Daily 2x VIX Short-Term exchange-traded notes
|
| Underlying index: | S&P 500 VIX Short-Term Futures
|
| Amount: | $346 million, increased from $15 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Price: | Par of $100 for $15 million; 20.07 for latest add-on
|
| 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
|
| Pricing dates: | Nov. 29 for $15 million; June 9 for latest $20 million
|
| Settlement dates: | June 14 for latest add-on
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Listing: | NYSE Arca: TVIX
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| Cusip: | 22542D761
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