The FAQs below are intended only to provide a brief discussion of the applicable ETNs. Investors should read the applicable registration statement (including a prospectus and related supplements) linked below and any other documents relating to the offering that the issuer has filed with the SEC to understand fully the terms of the relevant ETNs, including risks, fees and other considerations that are important in making a decision about investing in the ETNs.
The VelocityShares® Commodity Notes (Metals and Energy suites) are issued by Credit Suisse AG ("Credit Suisse") acting through its Nassau branch. The Commodity Notes are senior, unsecured obligations of Credit Suisse which are designed to provide sophisticated investors with daily trading tools to manage daily trading risks. The Notes enable investors to gain leveraged long or leveraged inverse exposure to the relevant underlying index (as defined below) minus the investor fee on a daily basis. The Notes may be referred to as Exchange Traded Notes (ETNs) as they were initially listed on an exchange. The Commodity Notes have been delisted and are no longer traded on a national security exchange. Delisted products may trade, if at all, on an over-the-counter (OTC) basis. There can be no assurance a secondary market will develop or be maintained.
Each series of ETNs is designed to provide leveraged long or leveraged inverse exposure to the daily performance of one of the S&P GSCI® Gold Index ER, the S&P GSCI® Silver Index ER, or the S&P GSCI® Natural Gas Index ER(each, an “underlying index”), as described in the applicable pricing supplement. The Daily ETN Performance will be linked to the Daily Index Performance of the relevant underlying index times the relevant leverage amount (3x or -3x), plus a daily accrual equal to the return that could be earned on a notional capital reinvestment at the three month U.S. Treasury rate as reported on Bloomberg under ticker USB3MTA. The performance of each series of ETNs will be reduced by the daily investor fee.
No. The ETNs do not represent an investment in physical commodities. Each series of ETNs is linked to the applicable underlying index as described in the applicable pricing supplement. Each applicable underlying index is comprised of futures contracts on a single commodity. Investors will have no entitlement to physical commodities or futures contracts by virtue of owning the ETNs and will be dependent upon the ability of the relevant issuer to make payments when due.
The Closing Indicative Value will be based on the Daily ETN Performance (which will be linked to the Daily Index Performance of the relevant underlying index times the relevant leverage amount plus a daily accrual at the 3-month U.S. Treasury rate) minus a daily investor fee. For the specific manner in which the Closing Indicative Value is calculated, which can vary depending on the circumstances, see the applicable pricing supplement.
The ETNs are linked to the applicable underlying index. The underlying indices are published by S&P Dow Jones Indices LLC. For additional information, please refer to the description of the applicable underlying index in the applicable pricing supplement.
Each underlying index comprises futures contracts on a single commodity and is calculated according to the methodology of the S&P GSCI® Index (the “S&P GSCI”). The fluctuations in the values of the underlying indices are intended to correlate with changes in the prices of futures contracts on such physical commodities in global markets. The S&P GSCI® Gold Index ER, the S&P GSCI® Silver Index ER, and the S&P GSCI® Natural Gas Index ER are composed entirely of gold, silver, or natural gas futures contracts, respectively. Each underlying index is an excess return index.
Yes. For each series of the ETNs, the leveraged exposure, as a function of the Closing Indicative Value, is equal to the stated leverage ratio only if you purchase the ETNs at their most recent Closing Indicative Value. If you purchase the ETNs at a price other than the most recent Closing Indicative Value, the effective amount of leverage provided by those ETNs from the time of purchase until the next determination of the Closing Indicative Value will differ from the stated leverage ratio. In general, if you buy the ETNs at a price that is higher than the most recent Closing Indicative Value, the effective leverage will be less than the stated leverage ratio (in absolute value terms, in the case of the leveraged inverse ETNs), and if you buy the ETNs at a price that is lower than the most recent Closing Indicative Value, the effective leverage will be greater than the stated leverage ratio (in absolute value terms, in the case of the leveraged inverse ETNs). This effect is detailed in the applicable pricing supplement within the Risk Factors section under “The ETNs are subject to intraday purchase risk” or “Despite the title of the ETNs, the leveraged exposure of the ETNs will differ from 3 times if you purchase them intraday."
No. The ETNs do not attempt to, and should not be expected to, provide returns which achieve their stated investment objectives for holding periods other than a single day. If you hold the ETNs for more than one day, it is possible that you will suffer significant losses in the ETNs even if the performance of the underlying index over the time you hold the ETNs is positive, in the case of the leveraged long ETNs, or negative, in the case of the leveraged inverse ETNs.
The ETNs are intended to be daily trading tools for sophisticated investors to manage daily trading risks using a short-term investment. The ETNs are riskier than securities that have intermediate or long-term investment objectives, and may not be suitable for investors who plan to hold them for longer than one day. Any decision to hold the ETNs for more than one day should be made with great care and only as the result of a series of daily (or more frequent) investment decisions to remain invested in the ETNs for the next one-day period. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the applicable underlying index and of seeking daily compounding leveraged long or leveraged inverse investment results, as applicable. Investors should actively and frequently monitor their investment in the ETNs, even intra-day.
On any Index Business Day, the Daily Investor Fee for each series of the ETNs will be equal to the product of (1) the Closing Indicative Value for such series of ETNs on the immediately preceding Index Business Day times (2)(a) the Investor Fee Factor for such series of ETNs times (b) 1/365 times (c) d, where d is the number of calendar days from and including the immediately prior Index Business Day to but excluding the date of determination. The Daily Investor Fee is deemed to be zero on any day that is not an Index Business Day. The Investor Fee Factor is 1.35% per annum for the gold ETNs. The Investor Fee Factor is 1.65% per annum for the silver and the natural gas ETNs. These fees are described more fully in the applicable pricing supplement.
On each Index Business Day, an Intraday Indicative Value (an approximation of the intrinsic value) of each series of the ETNs is calculated and disseminated over the Consolidated Tape and/or other major market data vendors every 15 seconds. A Closing Indicative Value of each series of the ETNs is calculated and is disseminated over the Consolidated Tape and/or other major market data vendors at the end of each Index Business Day. Because each underlying index comprises futures contracts that may trade on markets with different hours of trading than the over-the-counter market where the ETNs may be traded, each underlying index may reach its final level on each Index Business Day before the close of trading of the ETNs. Therefore, the ETNs may continue to trade in the afternoon on each Index Business Day for a period of time after the final level of the index has been determined for such Index Business Day.