By Toni Weeks
San Diego, Aug. 18 - Credit Suisse AG, Nassau Branch priced an additional $2.5 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, according to 424B2 filings with the Securities and Exchange Commission.
The add-on priced at 36.42 for proceeds of $910,500.
In November 2010, the issuer said it planned to issue up to $100 million of the notes. It increased this amount to $200 million on March 30, to $300 million on April 8, to $500 million on May 31, to $700 million on June 27 and to $1.2 billion on Aug. 10.
Since inception, it has priced $899.5 million principal amount of the notes at prices ranging from 15.76 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: | $899.5 million, increased from original $15 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Price: | Par of $100 for original $15 million; 36.42 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; daily ETN performance equals one plus the daily accrual plus two times the index return
|
| Initial value: | $100
|
| Put option: | At minimum of 25,000 notes
|
| Pricing dates: | Nov. 29, 2010 for original $15 million; Aug. 16 for latest $2.5 million
|
| Settlement dates: | Dec. 2, 2011 for original issue; Aug. 19 for latest $2.5 million
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| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Listing: | NYSE Arca: TVIX
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| Cusip: | 22542D761
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