By Marisa Wong
Madison, Wis., July 31 - Credit Suisse AG, Nassau Branch priced an additional $5.01 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 a 424B2 filing with the Securities and Exchange Commission.
The $3 billion principal amount add-on priced at 0.16714, or $1.6714 per $1,000 principal amount, for proceeds of $5,014,200.
As previously reported, the ETNs were temporarily suspended from further issuance on Feb. 21, 2012 due to internal limits on the size of the notes. On March 22, 2012, the company announced plans to reopen issuance of the notes on a limited basis. On March 23, 2012, it increased the maximum amount of notes it will price to $10 billion from $5.88 billion. On Dec. 14, 2012, the company said it would effect a one-for-10 reverse split, effective Dec. 21, 2012, resulting in a stated principal amount of $1,000 per ETN rather than $100 per note.
Since Nov. 29, 2010, the issuer has priced $87.73 billion principal amount of notes at prices ranging from 0.16714 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 inception date was $100. On each day after that, it 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) 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 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 the closing indicative value 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: | $87,730,039,600, increased from original $15 million
|
| Maturity: | Dec. 4, 2030
|
| Coupon: | 0%
|
| Prices: | Par of $100 for original $15 million; 0.16714 for latest $3 billion
|
| 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 at inception, increased to $1,000 principal amount per ETN on Dec. 21, 2012
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| Put option: | At minimum of 25,000 notes
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| Pricing dates: | Nov. 29, 2010 for original $15 million; July 30 for latest $3 billion
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| Settlement dates: | Dec. 2, 2010 for original issue; July 31 for latest add-on
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Listing: | NYSE Arca: TVIX
|
| Cusip: | 22539T852, changed from 22542D761
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