Credit Suisse raises VelocityShares Daily Inverse VIX Short Term ETN issue cap to $1.5 billion

By Jennifer Chiou

New York, Jan. 19 - Credit Suisse AG, Nassau Branch has lifted the amount of 0% VelocityShares Daily Inverse VIX Short Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index it plans to issue to $1.5 billion, according to a 424B2 filing with the Securities and Exchange Commission.

In November 2010, the issuer said it planned to issue up to $100 million of the notes. That amount was increased to $200 million on March 30. The cap was again changed on June 27, when the issuer increased the maximum principal amount to $400 million and effected a 10-for-1 split of the notes, which now have a stated principal amount of $10. The cap was further modified on Aug. 10, and the issuer increased the maximum principal amount of notes to $900 million. The issuer has priced a total of $568.25 million principal amount of the notes at prices ranging from 51.9 to 181.7.

The original $5 million priced at par on Nov. 29, 2010, and the latest $18 million add-on priced at 58.8 on Dec. 2.

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 $10 (for notes priced after June 27). On each day after the inception date, 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) (i) the index return on that day times (ii) negative one. 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 0.0095 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 "XIV."

Credit Suisse Securities (USA) LLC is the agent.

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