By Marisa Wong
Morgantown, W.Va., Sept. 27 – Credit Suisse AG, Nassau Branch is offering $120 million of 0% Credit Suisse FI Enhanced Europe 50 exchange-traded notes due May 11, 2028 linked to the Stoxx Europe 50 USD (Gross Return) index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer is offering 1.2 million of the ETNs with a par amount of $100 each to be sold at variable prices, according to an amended and restated pricing supplement.
Under the previous pricing supplement, Credit Suisse launched 4 million ETNs on May 10 and sold an initial 250,000 ETNs at par on the inception date, with the remaining ETNs to be issued from time to time at variable prices.
According to the latest 424B2 filing, there were 3.8 million ETNs, or $380 million principal amount, issued and outstanding as of Sept. 7.
The index is composed of 50 European blue-chip companies selected from within the Stoxx Europe 600 index, which contains the 600 largest stocks traded on the major exchanges of 17 European countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
The ETNs provide quarterly compounded 2 times leveraged exposure to the underlying index, less investor, exposure and rebalance fees.
While the ETNs have a leverage factor of 2, their effective leverage at any given time will vary with changes in the indicative value of the ETNs since the most recent rebalance event. Rebalance events occur quarterly and when the indicative value falls below a specified threshold.
The ETNs are very sensitive to changes in the performance of the index, and returns on the ETNs may be negatively impacted by volatility of the index, the filing noted.
Payout terms
The payout at maturity will be the average of the closing indicative values of the ETNs during the five consecutive trading days ending May 8, 2028.
The closing indicative value was $100 on the inception date. The closing indicative value on any subsequent trading day will equal (a) the closing indicative value on the immediately preceding trading day plus (b) the index amount on the current trading day minus (c) the investor fee on that day minus (d) the exposure fee on that day minus (e) the rebalance fee on that day, if applicable, provided that the closing indicative value will never be less than zero.
The index amount was zero on the inception date. On any day after that, the index amount will equal the product of (a) the index units as of the immediately preceding trading day times (b) the difference between (i) the closing level of the index on the current trading day minus (ii) the closing level of the index on the immediately preceding day.
The index units equal the product of (a) the leverage factor of 2 times (b) the initial indicative value of $100 divided by (c) the initial index value. The index units will be adjusted if a rebalance event occurs. From and including each rebalance date, the index units will equal (a) the leverage factor times (b) the closing indicative value on the most recent rebalance trigger date divided by (c) the closing level of the index on that rebalance trigger date.
Fees
On any day after inception, the investor fee will equal the product of (a) the closing indicative value as of the previous trading day times (b) 1% times (c) the number of calendar days from and including the previous trading day to but excluding the current trading day divided by 360.
After inception, the exposure fee will equal the product of (a) (i) the index units as of the previous trading day times (ii) 0.5 times (b) the financing rate as of the most recent quarterly reference date (each Jan. 1, April 1, July 1 and Oct. 1) prior to the current trading day times (c) the closing level of the index as of the most recent quarterly reference date prior to the current day times (d) the number of calendar days from and including the previous trading day to but excluding the current trading day divided by 360.
The financing rate is Libor plus a spread of 100 basis points.
Rebalancing
A rebalance event will occur (a) on each quarterly rebalance calculation date (the trading day immediately before each quarterly reference date) and (b) on a rebalance trigger date, which occurs if the closing indicative value on any trading day is equal to or less than 60% of the then current rebalanced indicative value and no acceleration event has occurred on that day. The trading day following each rebalance trigger date will be a rebalance date.
Each time a rebalance event occurs, investors will incur a rebalance fee on the relevant rebalance date, which will reduce the value of the ETNs.
The rebalance fee is initially zero. On any trading day that is a rebalance date, the rebalance fee per ETN will be equal to the product of (a) 0.05% times (b) the closing level of the index on that rebalance date times (c) the absolute value of the difference between (i) the index units on the trading day immediately preceding the relevant rebalance date minus (ii) the index units on that rebalance date.
Early redemption
The notes are putable subject to a minimum of 10,000 notes and an early redemption charge.
The early redemption charge is (a) 0.1% times (b) the closing level of the index on the applicable early redemption valuation date times (c) the index units as of the immediately preceding trading day.
The issuer may call the notes in whole at any time or if an acceleration event occurs. Under an optional acceleration, the redemption amount will be determined like the payout at maturity. Under an automatic accelerateon, an acceleration fee will apply.
An acceleration event occurs if the intraday indicative value on any trading day falls to or below 40% of the most recent rebalanced indicative value.
The acceleration fee is equal to (a) 0.1% times (b) the closing level of the index on the accelerated valuation date times (c) the index units as of the immediately preceding trading day.
The issuer intends to list the notes on NYSE Arca under the symbol “FEUL.”
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Credit Suisse FI Enhanced Europe 50 exchange-traded notes
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| Underlying index: | Stoxx Europe 50 USD (Gross Return) index
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| Amount: | $120 million
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| Maturity: | May 11, 2028
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| Coupon: | 0%
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| Price: | Par of $100 for initial $25 million
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| Payout at maturity: | Average of the closing indicative values of the ETNs during the five consecutive trading days ending May 8, 2028
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| Closing indicative value: | $100 on the inception date; on any subsequent trading day (a) the closing indicative value on the immediately preceding trading day plus (b) the index amount on the current trading day minus (c) the investor fee on that day minus (d) the exposure fee on that day minus (e) the rebalance fee on that day, if applicable; will never be less than zero
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| Index amount: | Zero on the inception date; after that, (a) the index units as of the immediately preceding trading day times (b) the difference between (i) the closing level of the index on the current trading day minus (ii) the closing level of the index on the immediately preceding day
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| Index units: | (a) 2 times (b) $100 divided by (c) the initial index value; if a rebalance event occurs, (a) 2 times (b) the closing indicative value on the most recent rebalance trigger date divided by (c) the closing level of the index on that rebalance trigger date
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| Investor fee: | (a) the closing indicative value as of the previous trading day times (b) 1% times (c) the number of calendar days from and including the previous trading day to but excluding the current trading day divided by 360
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| Exposure fee: | (a) (i) the index units as of the previous trading day times (ii) 0.5 times (b) the financing rate as of the most recent quarterly reference date (each Jan. 1, April 1, July 1 and Oct. 1) prior to the current trading day times (c) the closing level of the index as of the most recent quarterly reference date prior to the current day times (d) the number of calendar days from and including the previous trading day to but excluding the current trading day divided by 360
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| Financing rate: | Libor plus 100 bps
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| Rebalance event: | (a) on each quarterly rebalance calculation date (the trading day immediately before each quarterly reference date) and (b) on a rebalance trigger date, which occurs if the closing indicative value on any trading day is equal to or less than 60% of the then current rebalanced indicative value and no acceleration event has occurred on that day
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| Rebalance fee: | Initially zero; on any trading day that is a rebalance date, (a) 0.05% times (b) the closing level of the index on that rebalance date times (c) the absolute value of the difference between (i) the index units on the trading day immediately preceding the relevant rebalance date minus (ii) the index units on that rebalance date
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| Put option: | Subject to a minimum of 10,000 notes and early redemption charge of (a) 0.1% times (b) the closing level of the index on the applicable early redemption valuation date times (c) the index units as of the immediately preceding trading day
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| Call option: | In whole at any time
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| Automatic acceleration: | If the intraday indicative value on any trading day falls to or below 40% of the most recent rebalanced indicative value; acceleration fee is (a) 0.1% times (b) the closing level of the index on the accelerated valuation date times (c) the index units as of the immediately preceding trading day
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| Initial level: | 1,645.12
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| Inception date: | May 10
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| Settlement date: | May 15 for $25 million
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| Agent: | Credit Suisse Securities (USA) LLC
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| Listing: | NYSE Arca: FEUL
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| Cusip: | 22539U107
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