By Susanna Moon
Chicago, June 9 – Credit Suisse AG, Nassau Branch priced another $1.16 million of Credit Suisse S&P MLP index exchange-traded notes due Dec. 4, 2034 linked to the S&P MLP index, according to a 424B2 filing with the Securities and Exchange Commission.
The $1.25 million principal amount of add-on notes priced at 92.8308 for proceeds of $1,160,385.
At inception on Dec. 2, the notes priced at $25.00 each.
The issuer registered to sell up to $1 billion of ETNs and so far has sold $117 million of the notes. Additional notes may be offered and sold from time to time.
The notes will pay a coupon on each quarterly coupon payment date equal to the reference distribution amount minus the accrued investor fee, each calculated as of the corresponding coupon valuation date. The first coupon valuation date is Dec. 31.
The payout at maturity will equal the average of the closing indicative values of the notes during the five consecutive trading days ending on Nov. 29, 2034.
The closing indicative value of the notes on the inception date is $25. On any subsequent trading day, it equals (a) the stated principal amount times the index factor as of such trading day, plus (b) the coupon amount, if any, with respect to the most recent coupon valuation date on or before the current trading day, if on such day the coupon ex-date with respect to the coupon amount has not yet occurred, plus (c) the stub coupon amount as of such trading day, if any, minus (d) the accrued investor fee as of such trading day. The closing indicative value will never be less than zero.
The index factor on any trading day will be equal to the closing level of the index on that day divided by the initial index level.
The stub coupon amount on any trading day will be equal to the reference distribution amount for the period beginning on, but excluding, the previous coupon valuation date (or, for the first coupon period, beginning on, but excluding, the inception date) to and including such trading day.
The accrued investor fee with respect to any trading day will be equal to (a)(i) 0.95% times (ii) the number of days in the period beginning the day after the previous coupon valuation date (or, with respect to the first coupon period commencing on but excluding the inception date) to and including such trading day divided by 365 times (iii) the principal amount times (iv) the index factor as of such trading day plus (b) the fee shortfall from the previous coupon valuation, if any.
The notes are putable at a minimum of 50,000 notes. Holders who put less than 1 million ETNs will receive the a redemption payment equal to the greater of (a) zero and (b) (i) the closing indicative value on the applicable redemption valuation date minus (ii) the redemption fee amount of 0.1% times the closing indicative value. Those who put 1 million or more notes will receive a redemption payment equal to the greater of (a) zero and (b) (i) the average of the closing indicative values during the redemption valuation period minus (ii) the redemption fee amount of 0.1% times the average of the closing indicative values.
The notes are also callable in whole or in part on any trading day. If called, the call settlement amount will be equal to the average of the closing indicative values of the ETNs during the five trading days ending on the call valuation date, with a floor of zero. The final day the notes may be called is Nov. 14, 2034.
The issuer intends to list the notes on the NYSE Arca under the ticker symbol “MLPO.”
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Credit Suisse S&P MLP index ETNs
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| Underlying index: | S&P MLP
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| Amount: | $118.25 million, increased from $25 million
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| Maturity: | Dec. 4, 2034
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| Coupon: | 0%
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| Prices: | Par of $25; 92.8308 for latest $1.25 million
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| Payout at maturity: | Amount equal to average of closing indicative values on five trading days ending Nov. 29, 2034
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| Closing indicative value: | $25 on inception date; after that, on any trading day equal to (a) stated principal amount times index factor as of such trading day, plus (b) coupon amount, if any, with respect to most recent coupon valuation date on or before the current trading day, if on such day the coupon ex-date with respect to the coupon amount has not yet occurred, plus (c) the stub coupon amount as of such trading day, if any, minus (d) the accrued investor fee as of such trading day; floor of zero
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| Put option: | Subject to minimum of 50,000 notes and 0.1% redemption fee
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| Call option: | In whole or in part at any time; call settlement amount equal to average of closing indicative values of the ETNs during the five trading days ending on the call valuation date, floor of zero
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| Initial index level: | 2,666.9162
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| Inception date: | Dec. 2, 2014
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| Pricing dates: | Dec. 2 for original $25 million; June 5 for latest $1.25 million
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| Settlement dates: | Dec. 5 for original $25 million; June 8 for latest add-on
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Listing: | NYSE Arca: MLPO
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| Cusip: | 22539T456
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