By Angela McDaniels
Tacoma, Wash., Feb. 8 – Credit Suisse AG, Nassau Branch priced $25 million of 0% Credit Suisse X-Links WTI Crude Oil index exchange-traded notes due Feb. 8, 2036 linked to the Bloomberg WTI Crude Oil Total Return subindex, according to 424B2 filings with the Securities and Exchange Commission.
The underlying index is a subindex of the total return version of the Bloomberg Commodity index, which is intended to reflect the returns that are potentially available through an unleveraged investment in rolling West Texas Intermediate crude oil futures contracts plus the Treasury bill rate of interest that could be earned on funds committed to the trading of the underlying contracts.
The company plans to price up to $100 million of the notes in total.
The payout at maturity will be an amount in cash equal to the average of the closing indicative values of the notes on the five trading days ending Feb. 5, 2036.
At pricing, the closing indicative value was $25. On any subsequent calendar day, the closing indicative value equals (a) the product of the closing indicative value on the immediately preceding calendar day times the daily index factor on that day minus (b) the daily investor fee on that calendar day.
The closing indicative value will never be less than zero. If the intraday indicative value of the ETNs is equal to or less than zero at any time or the closing indicative value is equal to zero on any trading day, the closing indicative value on that day, and all future days, will be zero.
The daily index factor on any business day will equal (a) the closing level of the index on that business day divided by (b) the closing level of the index on the immediately preceding business day. The daily index factor is deemed to be one on any day that is not a business day.
On any calendar day, the daily investor fee will be equal to (a) the product of (i) the closing indicative value on the immediately preceding calendar day times (ii) the daily index factor on that calendar day times (iii) the investor fee, 0.55%, divided by (b) 365.
The notes are putable subject to a minimum of 50,000 ETNs. Holders who put their notes will receive a cash payment per ETN equal to the closing indicative value minus an early redemption charge of 0.125% of the closing indicative value.
The notes are callable at any time.
The company expects to list the notes on the NYSE Arca under the symbol “OIIL.”
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
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| Issue: | Credit Suisse X-Links WTI Crude Oil index exchange-traded notes
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| Underlying index: | Bloomberg WTI Crude Oil Total Return subindex
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| Amount: | $25 million
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| Maturity: | Feb. 8, 2036
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| Coupon: | 0%
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| Prices: | Par of $25
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| Payout at maturity: | Amount in cash equal to average of closing indicative values of notes on five trading days ending Feb. 5, 2036
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| Closing indicative value: | $25 on pricing date; on subsequent calendar days, (a) product of closing indicative value on immediately preceding calendar day times daily index factor on that day minus (b) daily investor fee on that calendar day
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| Daily index factor: | On any business day, closing index level on that business day divided by closing level of index on immediately preceding business day; on non-business days, one
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| Daily investor fee: | On any calendar day, (a) product of (i) closing indicative value on immediately preceding calendar day times (ii) daily index factor on that calendar day times (iii) 0.55% investor fee divided by (b) 365
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| Put option: | At any time, subject to minimum of 50,000 notes
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| Call option: | At any time
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| Pricing date: | Feb. 8
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| Settlement date: | Feb. 11
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22539T332
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