Credit Suisse prices VelocityShares add-ons linked to VIX Short-Term Future, S&P GSCI Silver

By Sheri Kasprzak

New York, May 16 - Credit Suisse, AG Nassau Branch came to market with two offerings linked to S&P indexes.

The larger offering - and one of the biggest deals of the week - was a $31.16 million offering of additional zero-coupon VelocityShares Daily Inverse VIX Short-Term exchange-traded notes linked to the S&P 500 VIX Short-Term Futures index.

The company priced an additional $13.25 million principal of the notes at 235.168 for $31.16 million of proceeds.

The notes are due Dec. 4, 2030. 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%.

Since Nov. 29, 2010, Credit Suisse has priced a total of $2.31 billion principal amount of the notes at prices ranging from 51.9 to 250.828.

On June 27, 2011, the issuer effected a 10-for-1 split of the notes, which now have a stated principal amount of $10.00.

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.

Notes linked to silver index

The investment bank also priced another $6.07 million of zero-coupon VelocityShares 3x Long Silver ETNs linked to the S&P GSCI Silver Index Excess Return.

The bank priced $32.5 million principal amount of additional notes at 18.7582 for $6.07 million of proceeds.

The notes are due Oct. 14, 2031. The payout at maturity is the closing indicative value of the notes on Oct. 8, 2031.

Since Oct. 14, 2011, the issuer has priced $519.74 million of notes at prices ranging from 18.7582 to 114.48.

The closing indicative value of the notes on the inception date, Oct. 14, 2011, was $50. The closing indicative value on each subsequent day equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee.

The closing indicative value will never be less than zero. If the intraday indicative value of the notes is less than or equal to zero at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero.

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%.

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