PRICING SUPPLEMENT No. VLS ETN-1/A5†
To the Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158199-10
June 27, 2011
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ETNs
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Leverage Amount
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ETN Type
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Exchange Ticker
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Indicative Value Ticker
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CUSIP
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ISIN
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Inverse VIX Short Term ETNs
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-1
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“Inverse”
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XIV
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XIVIV
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22542D795
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US22542D7957
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Inverse VIX Medium Term ETNs
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ZIV
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ZIVIV
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22542D829
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US22542D8294
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||
Long VIX Short Term ETNs
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1
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“Long”
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VIIX
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VIIXIV
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22542D811
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US22542D8112
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Long VIX Medium Term ETNs
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VIIZ
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VIIZIV
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22542D787
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US22542D7874
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2x Long VIX Short Term ETNs
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2
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“2x Long” or “Leveraged”
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TVIX
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TVIXIV
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22542D761
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US22542D7619
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2x Long VIX Medium Term ETNs
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TVIZ
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TVIZIV
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22542D779
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US22542D7791
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·
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The ETNs are designed for investors who seek exposure to the applicable underlying Index. The ETNs do not guarantee any return of principal at maturity and do not pay any interest during their term. For each ETN, investors will receive a cash payment at maturity, upon early redemption or upon acceleration by us that will be linked to the performance of the applicable underlying Index, plus a Daily Accrual and less a Daily Investor Fee (each as defined herein). Investors should be willing to forgo interest payments and, if the applicable underlying Index declines or increases, as applicable, be willing to lose up to 100% of their investment. Any payment on the ETNs is subject to our ability to pay our obligations as they become due.
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·
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The ETNs are senior medium-term notes of Credit Suisse AG, acting through its Nassau Branch, maturing December 4, 2030 (the “Maturity Date”).**
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·
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Prior to June 27, 2011, the denomination and stated principal amount of each ETN was $100. On June 16, 2011, Credit Suisse AG announced a 10-for-1 split of the Inverse VIX Short Term ETNs and an 8-for-1 split of the Inverse VIX Medium Term ETNs, effective June 27, 2011. On and after June 27, 2011, the denomination and stated principal amount will be $10 for the Inverse VIX Short Term ETNs, $12.50 for the Inverse VIX Medium Term ETNs and $100 for each of the Long VIX Short Term ETNs, the Long VIX Medium Term ETNs, the 2x Long VIX Short Term ETNs and the 2x Long VIX Medium Term ETNs. Any ETNs issued in the future may be issued at a price that is higher or lower than the stated principal amount, based on the most recent Closing Indicative Value of the ETNs of the applicable series at that time.
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·
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The initial issuance of ETNs of each series priced on November 29, 2010 (the “Inception Date”) and settled on December 2, 2010 (the “Initial Settlement Date”). Delivery of the ETNs in book-entry form only will be made through The Depository Trust Company (“DTC”).
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Index:
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The return on the ETNs of any series will be based on the performance of the applicable underlying Index during the term of such ETNs. Each series of ETNs tracks the daily performance of either the S&P 500 VIX Short-Term Futures™ Index ER or S&P 500 VIX Mid-Term Futures™ Index ER (each such index, an “Index” and collectively the “Indices”). The Indices are designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility Index® (the “VIX Index”), which reflect implied volatility of the S&P 500® Index at various points along the volatility forward curve. The calculation of the level of the VIX Index is based on prices of put and call options on the S&P 500® Index. Futures contracts on the VIX Index allow investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX Index. Each Index is intended to reflect the returns that are potentially available through an unleveraged investment in the relevant futures contract or contracts on the VIX Index. The S&P 500 VIX Short-Term Futures™ Index ER targets a constant weighted average futures contracts maturity of one month and the S&P 500 VIX Mid-Term Futures™ Index ER targets a constant weighted average futures contracts maturity of five months. The Indices were created by Standard & Poor’s Financial Services LLC (“S&P” or the “Index Sponsor”). The Index Sponsor calculates the level of the relevant Index daily when the Chicago Board Options Exchange, Incorporated (the “CBOE”) is open (excluding holidays and weekends) and publishes it on the Bloomberg pages specified below as soon as practicable thereafter. Each Index, or any successor index to such Index, may be modified, replaced or adjusted from time to time, as determined by the Calculation Agents as set forth below. See “The Indices” in this pricing supplement for further information on the Indices.
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ETNs
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Underlying Index
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Underlying Index Ticker
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Inverse VIX Short Term ETNs,
Long VIX Short Term ETNs,
2x Long VIX Short Term ETNs
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S&P 500 VIX Short-Term Futures™ Index ER
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SPVXSP
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Inverse VIX Medium Term ETNs,
Long VIX Medium Term ETNs,
2x LongVIX Medium Term ETNs
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S&P 500 VIX Mid-Term Futures™ Index ER
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SPVXMP
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The Calculation Agents, may modify, replace or adjust the Indices under certain circumstances even if the Index Sponsor continues to publish the applicable Index without modification, replacement or adjustment. See “Specific Terms of the ETNs—Discontinuance or Modification of the Index” and “Risk Factors—The Calculation Agents may modify the applicable underlying Index” in this pricing supplement for further information.
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Payment at Maturity:
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If your ETNs have not been previously redeemed or accelerated, on the Maturity Date you will receive for each $100 stated principal amount of your ETNs (for each $10 stated principal amount in the case of Inverse VIX Short Term ETNs and for each $12.50 stated principal amount in the case of Inverse VIX Medium Term ETNs) a cash payment equal to the applicable Closing Indicative Value on the Final Valuation Date (the “Final Indicative Value”), as calculated by the Calculation Agents. We refer to the amount of such payment as the “Maturity Redemption Amount.”
If the Final Indicative Value is zero, the Maturity Redemption Amount will be zero.
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Closing Indicative Value:
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The Closing Indicative Value for any series of ETNs on the Inception Date equaled $100 (the “Initial Indicative Value”). The Closing Indicative Value on each calendar day following the Inception Date for each series of ETNs will be equal to (1)(a) the Closing Indicative Value for that series on the immediately preceding calendar day times (b) the Daily ETN Performance for that series on such calendar day minus (2) the Daily Investor Fee for that series on such calendar day. The Closing Indicative Value will never be less than zero. The Closing Indicative Value will be zero on and subsequent to any calendar day on which the Intraday Indicative Value equals zero at any time or Closing Indicative Value equals zero.
The Inverse VIX Short Term ETNs and the Inverse VIX Medium Term ETNs underwent a 10-for-1 split and an 8-for-1 split, respectively, effective June 27, 2011. The Closing Indicative Value of the Inverse VIX Short Term ETNs on June 24, 2011 was 157.89294145 and the Closing Indicative Value of the Inverse VIX Medium Term ETNs on June 24, 2011 was 127.46917437. Such values were divided by 10 and 8, respectively, and rounded to 8 decimal places, prior to the open of trading on June 27, 2011. On and after June 27, 2011, the Closing Indicative Value for the Inverse VIX Short Term ETNs and the Inverse VIX Medium Term ETNs will be expressed in an amount per denomination and stated principal amount of $10 and $12.50, respectively.
If the ETNs undergo any subsequent splits or reverse splits, the Closing Indicative Value will be adjusted accordingly (see “Description of the ETNs—Split or Reverse Split of the ETNs” in this pricing supplement). VLS or its affiliate is responsible for computing and disseminating the Closing Indicative Value.
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Daily ETN Performance:
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The Daily ETN Performance for any series of ETNs on any Index Business Day will equal (1) the number one plus (2) the Daily Accrual for that series on such Index Business Day plus (3) the product of (a) the Daily Index Performance on such Index Business Day times (b) the Leverage Amount. The Daily ETN Performance is deemed to be one on any day that is not an Index Business Day.
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Daily Accrual:
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The Daily Accrual represents the rate of interest 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 Daily Accrual for any series of ETNs on any Index Business Day will equal:
![]() Where Tbillst-1 is the three month treasury rate reported on Bloomberg on the prior Index Business Day and d is the number of calendar days that have elapsed since the prior Index Business Day. The Daily Accrual is deemed to be zero on any day that is not an Index Business Day.
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Daily Index Performance:
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The Daily Index Performance for any series of ETNs on any Index Business Day will equal (1)(a) the closing level of the applicable underlying Index on such Index Business Day divided by (b) the closing level of the applicable underlying Index on the immediately preceding Index Business Day minus (2) the number one. If a Market Disruption Event occurs and continues on any Index Business Day, the Calculation Agents will determine the Daily Index Performance on such Index Business Day based on their assessment of the level of the applicable underlying Index that would have prevailed on such Index Business Day were it not for such Market Disruption Event. The Daily Index Performance is deemed to be zero on any day that is not an Index Business Day.
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Leverage Amount:
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The Leverage Amount for each series of ETNs is as follows:
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Inverse VIX Short Term ETNs:
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-1
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Inverse VIX Medium Term ETNs:
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-1
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Long VIX Short Term ETNs:
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1
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Long VIX Medium Term ETNs:
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1
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2x Long VIX Short Term ETNs:
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2
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2x Long VIX Medium Term ETNs:
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2
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Daily Investor Fee:
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On any calendar day (the “calculation day”), the Daily Investor Fee for any series of ETNs will be equal to the product of (1) the Closing Indicative Value for that series on the immediately preceding calendar day times (2) the Daily ETN Performance for that series on the calculation day times (3)(a) the Daily Investor Fee Factor for that series divided by (b) 365.
The “Daily Investor Fee Factor” will be equal to (i) 0.0089 for each of the Long ETNs, (ii) 0.0135 for each of the Inverse ETNs and (iii) 0.0165 for each of the 2x Long ETNs.
If the level of the Index decreases or does not increase sufficiently in the case of the Long ETNs or 2x Long ETNs or if it increases or does not decrease sufficiently in the case of the Inverse ETNs (in each case in addition to the Daily Accrual) to offset the sum of the Daily Investor Fees (and in the case of Early Redemption, the Early Redemption Charge) over the term of the ETNs, you will receive less than the principal amount of your investment at maturity or upon early redemption or acceleration of the ETNs. See “Risk Factors — Even if the closing level of the Index on the applicable Valuation Date exceeds (or is less than in the case of the Inverse ETNs) the initial closing level of the applicable underlying Index on the date of your investment, you may receive less than the principal amount of your ETNs” and “Hypothetical Examples” in this pricing supplement for additional information on how the Daily Investor Fee affects the overall value of the ETNs.
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Intraday Indicative Value:
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The Intraday Indicative Value of the ETNs will be calculated every 15 seconds on each Index Business Day during the period when a Market Disruption Event has not occurred or is not continuing and disseminated over the Consolidated Tape, or other major market data vendor. The Intraday Indicative Value at any time is based on the most recent intraday level of the underlying Index. If the Intraday Indicative Value is equal to or less than zero at any time, the Closing Indicative Value on that day, and all future days, will be zero. See “Description of the ETNs—Intraday Indicative Value” in this pricing supplement. VLS or its affiliate is responsible for computing and disseminating the Intraday Indicative Value.
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Valuation Dates:
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November 30, 2030 or, if such date is not an Index Business Day, the next following Index Business Day (the “Final Valuation Date”), any Early Redemption Valuation Date and the Accelerated Valuation Date.
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Secondary Market:
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We have listed each series of the ETNs on the NYSE Arca under the ticker symbols as set forth in the table above. However, there is no assurance that our application will be approved. If an active secondary market in the ETNs develops, we expect that investors will purchase and sell the ETNs primarily in this secondary market. We have no obligation to maintain any listing on NYSE Arca or any other exchange.
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Early Redemption:
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Prior to maturity, you may, subject to certain restrictions described below, offer the applicable minimum number of your ETNs to us for redemption on an Early Redemption Date during the term of the ETNs until November 28, 2030. If you elect to offer your ETNs for redemption, and the requirements for acceptance by us are met, you will receive a cash payment per ETN on the Early Redemption Date equal to the Early Redemption Amount.
You must offer for redemption at least 25,000 ETNs, or an integral multiple of 25,000 ETNs in excess thereof, at one time in order to exercise your right to cause us to redeem your ETNs on any Early Redemption Date (the “Minimum Redemption Amount”); provided that we or Credit Suisse International (“CSI”) as one of the Calculation Agents, may from time to time reduce, in part or in whole, the Minimum Redemption Amount. Any such reduction will be applied on a consistent basis for all holders of the relevant series of ETNs at the time the reduction becomes effective. If the ETNs undergo a split or reverse split, the minimum number of ETNs needed to exercise your right to redeem will remain the same.
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Early Redemption Mechanics:
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You may exercise your early redemption right by causing your broker or other person with whom you hold your ETNs to deliver a Redemption Notice (as defined herein) to the Redemption Agent (as defined herein). If your Redemption Notice is delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately following Index Business Day will be the applicable “Early Redemption Valuation Date”. Otherwise, the second following Index Business Day will be the applicable Early Redemption Valuation Date. See “Specific Terms of the ETNs—Redemption Procedures” in this pricing supplement.
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Early Redemption Date:
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The third Business Day following an Early Redemption Valuation Date.**
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Early Redemption Amount:
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A cash payment per ETN equal to the greater of (A) zero and (B) (1) the Closing Indicative Value on the Early Redemption Valuation Date minus (2) the Early Redemption Charge.
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Early Redemption Charge:
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The Early Redemption Charge will be equal to 0.05% times the Closing Indicative Value on the Early Redemption Valuation Date.
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Acceleration at Our Option or Upon Acceleration Event:
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We will have the right to accelerate the ETNs of any series in whole but not in part on any Business Day occurring on or after the Inception Date (an “Optional Acceleration”). In addition, if an Acceleration Event (as defined herein) occurs at any time with respect to any series of the ETNs, we will have the right, and under certain circumstances as described herein the obligation, to accelerate all of the outstanding ETNs of such series (an “Event Acceleration”). In either case, upon acceleration you will receive a cash payment in an amount (the “Accelerated Redemption Amount”) equal to the Closing Indicative Value on the Accelerated Valuation Date. In the case of an Optional Acceleration, the “Accelerated Valuation Date” shall be an Index Business Day specified in our notice of Optional Acceleration, which Index Business Day shall be at least 5 Business Days after the date on which we give you notice of such Optional Acceleration. In the case of an Event Acceleration, the Accelerated Valuation Date shall be the day on which we give notice of such Event Acceleration (or, if such day is not an Index Business Day, the next following Index Business Day). The Accelerated Redemption Amount will be payable on the third Business Day following the Accelerated Valuation Date (such third Business Day the “Acceleration Date”).*** We will give you notice of any acceleration of the ETNs through customary channels used to deliver notices to holders of exchange traded notes.
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Acceleration Event:
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As discussed in more detail under “Specific Terms of the ETNs—Acceleration at Our Option or Upon an Acceleration Event” in this pricing supplement, an Acceleration Event includes any event that adversely affects our ability to hedge or our rights in connection with the ETNs, including, but not limited to, if the Intraday Indicative Value is equal to or less than 20% of the prior day’s Closing Indicative Value.
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Business Day:
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Any day that is not (a) a Saturday or Sunday or (b) a day on which banking institutions generally are authorized or obligated by law or executive order to close in New York.
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Index Business Day:
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An Index Business Day, with respect to the applicable underlying Index, is a day on which (i) trading is generally conducted on the CBOE, (ii) the applicable underlying Index is published by S&P and (iii) trading is generally conducted on NYSE Arca, in each case as determined by VLS, as one of the Calculation Agents.
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Calculation Agents:
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CSI and VLS. See “Specific Terms of the ETNs—Role of Calculation Agents” in this pricing supplement.
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Page
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SUMMARY
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PS-1
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HYPOTHETICAL EXAMPLES
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PS-12
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RISK FACTORS
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PS-26
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THE INDICES
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PS-39
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DESCRIPTION OF THE ETNs
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PS-47
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SPECIFIC TERMS OF THE ETNs
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PS-49
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CLEARANCE AND SETTLEMENT
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PS-56
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USE OF PROCEEDS AND HEDGING
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PS-56
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CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
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PS-58
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SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
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PS-63
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BENEFIT PLAN INVESTOR CONSIDERATIONS
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PS-64
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ANNEX A
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A-1
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·
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Prospectus supplement dated March 25, 2009:
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·
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Prospectus dated March 25, 2009:
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ETNs
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Underlying Index
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Underlying Index Ticker
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Inverse VIX Short Term,
Long VIX Short Term,
2x VIX Short Term
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S&P 500 VIX Short-Term Futures™ Index ER
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SPVXSP
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Inverse VIX Medium-Term,
Long VIX Medium Term,
2xVIX Medium Term
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S&P 500 VIX Medium-Term Futures™ Index ER
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SPVXMP
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Daily Inverse VIX Short Term ETN:
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-1
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Daily Inverse VIX Medium Term ETN:
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-1
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VIX Short Term ETN:
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1
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VIX Medium Term ETN:
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1
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Daily 2x VIX Short Term ETN:
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2
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Daily 2x VIX Medium Term ETN:
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2
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Index
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Bloomberg Page Ticker
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S&P 500 VIX Short-Term Futures™ Index ER
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SPVXSP
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S&P 500 VIX Mid-Term Futures™ Index ER
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SPVXMP
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Payment Upon Early Redemption
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Payment Upon Acceleration
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·
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Deliver a notice of redemption, in substantially the form as Annex A (the “Redemption Notice”), to VLS (the “Redemption Agent”) via email or other electronic delivery (including, without limitation, the Redemption Agent’s proprietary technology system, TENZING) as requested by the Redemption Agent. If your Redemption Notice is delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately following Index Business Day will be the applicable “Early Redemption Valuation Date”. Otherwise, the second following Index Business Day will be the applicable Early Redemption Valuation Date. If the Redemption Agent receives your Redemption Notice no later than 4:00 p.m., New York City time, on any Business Day, the Redemption Agent will respond by sending your broker an acknowledgment of the Redemption Notice accepting your redemption request by 7:30 p.m., New York City time, on the Business Day prior to the applicable Early Redemption Valuation Date. The Redemption Agent or its affiliate must acknowledge to your broker acceptance of the Redemption Notice in order for your redemption request to be effective;
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·
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Cause your DTC custodian to book a delivery vs. payment trade with respect to the ETNs on the applicable Early Redemption Valuation Date at a price equal to the applicable Early Redemption Amount, facing us; and
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·
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Cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption Date (the third Business Day following the Early Redemption Valuation Date).
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·
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Uncertain Principal Repayment—The ETNs are designed for investors who seek exposure to the applicable underlying Index. The ETNs do not guarantee any return of principal at maturity. For each ETN, investors will receive a cash payment at maturity, upon early redemption or upon acceleration by us that will be linked to the performance of the applicable underlying Index, plus a Daily Accrual and less a Daily Investor Fee. If the applicable underlying Index declines or increases, as applicable, investors should be willing to lose up to 100% of their investment. Any payment on the ETNs is subject to our ability to pay our obligations as they become due. As explained in “Risk Factors” in this pricing supplement, because of the way in which the underlying Indices are calculated, the amount payable at maturity or upon redemption or acceleration is likely to be less than the initial principal amount of the ETNs, and you are likely to lose part or all of your initial investment. In almost any potential scenario the Closing Indicative Value (as defined below) of your ETNs is likely to be close to zero after 20 years and we do not intend or expect that any investor to hold the ETNs from inception to maturity.
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·
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Credit Risk of the Issuer—Any payments you are entitled to receive on your ETNs are subject to the ability of Credit Suisse to pay its obligations as they come due.
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·
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Market and Volatility Risk—The return on each series of ETNs is linked to the performance of an applicable underlying Index which, in turn is linked to the performance of one or more futures contracts on the VIX Index. The VIX Index measures the 30-day forward volatility of the S&P 500® Index as calculated based on the prices of certain put and call options on the S&P 500® Index. The level of the S&P 500® Index, the prices of options on the S&P 500® Index, and the level of the VIX Index may change unpredictably, affecting the value of futures contracts on the VIX Index and, consequently, the level of each Index and the value of your ETNs in unforseeable ways.
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·
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No Interest Payments—You will not receive any periodic interest payments on the ETNs.
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·
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Long Holding Period Risk—The ETNs, and in particular the 2x Long ETNs, are intended to be trading tools for sophisticated investors to manage daily trading risks. They are designed to achieve their stated investment objectives on a daily basis, but their performance over longer periods of time can differ significantly from their stated daily objectives. 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. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in volatility indices and of seeking inverse or leveraged investment results, as applicable. Investors should actively and frequently monitor their investments in the ETNs, even intra-day.
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·
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A Trading Market for the ETNs May Not Develop—Although the ETNs are currently listed on NYSE Arca, a trading market for your ETNs may not develop. We are not required to maintain any listing of the ETNs on NYSE Arca or any other exchange.
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·
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Requirements on Redemption by Credit Suisse—You must offer at least the applicable Minimum Redemption Amount to Credit Suisse and satisfy the other requirements described herein for your offer for redemption to be considered.
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·
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Your Offer for Redemption Is Irrevocable—You will not be able to rescind your offer for redemption after it is received by the Redemption Agent, so you will be exposed to market risk in the event market conditions change after the Redemption Agent receives your offer.
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·
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Uncertain Tax Treatment—No ruling is being requested from the Internal Revenue Service (“IRS”) with respect to the tax consequences of the ETNs. There is no direct authority dealing with securities such as the ETNs, and there can be no assurance that the IRS will accept, or that a court will uphold, the tax treatment described in this pricing supplement. In addition, you should note that the IRS and the U.S. Treasury Department have announced a review of the tax treatment of prepaid forward contracts. Accordingly, no assurance can be given that future tax legislation, regulations or other guidance may not change the tax treatment of the ETNs. Potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the ETNs, including possible alternative treatments.
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·
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Acceleration Feature—Your ETNs may be accelerated by us at any time on or after the Inception Date or accelerated by us at any time if an Acceleration Event occurs, and upon any such acceleration you may receive less, and possibly significantly less, than your original investment in the ETNs.
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·
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You seek an investment with a return linked to the performance of the applicable underlying Index.
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·
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You are willing to accept the risk of fluctuations in volatility in general and in the level of the applicable underlying Index in particular.
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·
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You are a sophisticated investor seeking to manage daily trading risk using a short-term investment, and are knowledgeable and understand the potential consequences of investing in volatility indices and of seeking inverse or leveraged investment results, as applicable.
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·
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You believe the level of the applicable underlying Index will increase (if you invest in the Long ETNs or 2x Long ETNs) or decline (if you invest in the Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fees (and in the case of Early Redemption, the Early Redemption Charge) over your intended holding period of the ETNs and to provide you with a satisfactory return on your investment during the time you hold the ETNs.
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·
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You do not seek current income from this investment.
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·
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You do not seek a guaranteed return of principal.
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·
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You are a sophisticated investor using the ETNs to manage daily trading risks and you understand that the ETNs are designed to achieve their stated investment objectives on a daily basis, but their performance over longer periods of time can differ significantly from their stated daily objectives.
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·
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You understand that the Daily Investor Fees and the Early Redemption Charge, if applicable, will reduce your return (or increase your loss, as applicable) on your investment.
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·
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You are not willing to be exposed to fluctuations in volatility in general and in the level of the applicable underlying Index in particular.
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·
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You seek a guaranteed return of principal.
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·
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You seek a long-term investment objective.
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·
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You believe the level of the applicable underlying Index will decrease (if you invest in the Long ETNs or 2x Long ETNs) or increase (if you invest in the Inverse ETNs) or will not increase (if you invest in the Long ETNs or 2x Long ETNs) or decrease (if you invest in the Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fees (and in the case of Early Redemption, the Early Redemption Charge) over your intended holding period of the ETNs and to provide you with a satisfactory return on your investment during the time you hold the ETNs.
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·
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You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings.
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·
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You seek current income from your investment.
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·
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You are not a sophisticated investor and you seek an investment for other purposes than managing daily trading risks.
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·
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You seek an investment with a longer duration than a daily basis.
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·
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You do not want to pay Daily Investor Fees and the Early Redemption Charge, if applicable, which are charged on the ETNs and which will reduce your return (or increase your loss, as applicable) on your investment.
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A
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B
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C
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D
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E
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F
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G
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H
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I
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Year
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Index Level
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Daily Accrual
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Daily Index Factor
|
Daily ETN Performance
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Daily Investor Fee
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Closing Indicative Value(1)
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Annualized Index Return
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Annualized ETN Return
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Total for year
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Total for year
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Total for
year
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Total for year
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At year end
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Total for year
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Total for year
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||
00
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100.00
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0.00%
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0.00%
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0.00%
|
$0.00
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$100.00
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0.00%
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0.00%
|
01
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109.74
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5.01%
|
9.74%
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-5.22%
|
$1.25
|
$93.51
|
9.74%
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-6.49%
|
02
|
104.37
|
5.48%
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-4.89%
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9.87%
|
$1.30
|
$101.30
|
-4.89%
|
8.33%
|
03
|
122.23
|
5.63%
|
17.11%
|
-11.73%
|
$1.31
|
$89.25
|
17.11%
|
-11.90%
|
04
|
138.52
|
4.80%
|
13.32%
|
-8.49%
|
$1.19
|
$80.71
|
13.32%
|
-9.57%
|
05
|
155.58
|
4.57%
|
12.32%
|
-7.72%
|
$1.07
|
$73.47
|
12.32%
|
-9.00%
|
06
|
189.37
|
4.77%
|
21.72%
|
-15.75%
|
$0.95
|
$61.80
|
21.72%
|
-16.08%
|
07
|
253.09
|
5.50%
|
33.64%
|
-22.99%
|
$0.75
|
$47.73
|
33.64%
|
-23.78%
|
08
|
280.79
|
5.02%
|
10.95%
|
-5.93%
|
$0.63
|
$44.12
|
10.95%
|
-7.55%
|
09
|
270.35
|
5.06%
|
-3.72%
|
8.07%
|
$0.63
|
$47.05
|
-3.72%
|
5.07%
|
10
|
295.24
|
5.60%
|
9.21%
|
-3.62%
|
$0.59
|
$44.40
|
9.21%
|
-5.63%
|
11
|
304.69
|
5.62%
|
3.20%
|
0.54%
|
$0.64
|
$44.36
|
3.20%
|
-0.09%
|
12
|
331.19
|
5.40%
|
8.70%
|
-5.35%
|
$0.58
|
$42.06
|
8.70%
|
-5.73%
|
13
|
317.61
|
4.50%
|
-4.10%
|
7.83%
|
$0.56
|
$44.78
|
-4.10%
|
6.46%
|
14
|
387.27
|
4.73%
|
21.93%
|
-16.04%
|
$0.57
|
$37.58
|
21.93%
|
-16.08%
|
15
|
491.85
|
4.98%
|
27.00%
|
-18.92%
|
$0.46
|
$30.36
|
27.00%
|
-19.20%
|
16
|
514.06
|
4.68%
|
4.52%
|
-1.69%
|
$0.40
|
$29.69
|
4.52%
|
-2.23%
|
17
|
471.37
|
4.42%
|
-8.30%
|
12.00%
|
$0.43
|
$33.05
|
-8.30%
|
11.32%
|
18
|
448.43
|
4.53%
|
-4.87%
|
8.22%
|
$0.46
|
$35.42
|
-4.87%
|
7.81%
|
19
|
499.34
|
5.07%
|
11.35%
|
-6.15%
|
$0.48
|
$32.67
|
11.35%
|
-7.77%
|
20
|
577.98
|
4.61%
|
15.75%
|
-9.95%
|
$0.42
|
$28.90
|
15.75%
|
-11.56%
|
Total Return
|
477.98%
|
-71.10%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At year
end
|
Total for year
|
Total for year
|
||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
01
|
109.74
|
5.01%
|
9.74%
|
15.37%
|
$0.99
|
$114.36
|
9.74%
|
14.36%
|
02
|
104.37
|
5.48%
|
-4.89%
|
0.49%
|
$1.02
|
$113.87
|
-4.89%
|
-0.42%
|
03
|
122.23
|
5.63%
|
17.11%
|
25.35%
|
$1.11
|
$139.83
|
17.11%
|
22.79%
|
04
|
138.52
|
4.80%
|
13.32%
|
19.12%
|
$1.30
|
$164.78
|
13.32%
|
17.84%
|
05
|
155.58
|
4.57%
|
12.32%
|
17.57%
|
$1.57
|
$192.00
|
12.32%
|
16.54%
|
06
|
189.37
|
4.77%
|
21.72%
|
29.24%
|
$1.87
|
$242.81
|
21.72%
|
26.83%
|
07
|
253.09
|
5.50%
|
33.64%
|
43.64%
|
$2.51
|
$339.80
|
33.64%
|
41.85%
|
08
|
280.79
|
5.02%
|
10.95%
|
16.31%
|
$3.20
|
$392.87
|
10.95%
|
15.62%
|
09
|
270.35
|
5.06%
|
-3.72%
|
1.27%
|
$3.42
|
$394.33
|
-3.72%
|
1.85%
|
10
|
295.24
|
5.60%
|
9.21%
|
14.65%
|
$3.93
|
$451.39
|
9.21%
|
14.47%
|
11
|
304.69
|
5.62%
|
3.20%
|
9.99%
|
$3.99
|
$488.36
|
3.20%
|
8.19%
|
12
|
331.19
|
5.40%
|
8.70%
|
16.64%
|
$4.65
|
$555.33
|
8.70%
|
14.47%
|
13
|
317.61
|
4.50%
|
-4.10%
|
0.46%
|
$5.20
|
$552.12
|
-4.10%
|
-0.58%
|
14
|
387.27
|
4.73%
|
21.93%
|
29.51%
|
$5.36
|
$699.51
|
21.93%
|
26.70%
|
15
|
491.85
|
4.98%
|
27.00%
|
34.85%
|
$7.18
|
$925.48
|
27.00%
|
32.30%
|
16
|
514.06
|
4.68%
|
4.52%
|
10.43%
|
$8.80
|
$1,004.59
|
4.52%
|
8.55%
|
17
|
471.37
|
4.42%
|
-8.30%
|
-3.42%
|
$8.65
|
$954.20
|
-8.30%
|
-5.02%
|
18
|
448.43
|
4.53%
|
-4.87%
|
0.02%
|
$8.39
|
$941.44
|
-4.87%
|
-1.85%
|
19
|
499.34
|
5.07%
|
11.35%
|
16.77%
|
$8.65
|
$1,093.03
|
11.35%
|
16.10%
|
20
|
577.98
|
4.61%
|
15.75%
|
20.69%
|
$10.69
|
$1,313.01
|
15.75%
|
20.13%
|
Total Return
|
477.98%
|
1213.01%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At year end
|
Total for year
|
Total for year
|
||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
01
|
109.74
|
5.01%
|
9.74%
|
25.25%
|
$1.99
|
$123.21
|
9.74%
|
23.21%
|
02
|
104.37
|
5.48%
|
-4.89%
|
-5.52%
|
$2.00
|
$114.49
|
-4.89%
|
-7.08%
|
03
|
122.23
|
5.63%
|
17.11%
|
46.79%
|
$2.21
|
$161.52
|
17.11%
|
41.08%
|
04
|
138.52
|
4.80%
|
13.32%
|
33.88%
|
$2.82
|
$211.93
|
13.32%
|
31.21%
|
05
|
155.58
|
4.57%
|
12.32%
|
30.76%
|
$3.85
|
$272.54
|
12.32%
|
28.67%
|
06
|
189.37
|
4.77%
|
21.72%
|
57.65%
|
$5.22
|
$412.17
|
21.72%
|
52.06%
|
07
|
253.09
|
5.50%
|
33.64%
|
93.19%
|
$8.96
|
$757.40
|
33.64%
|
88.70%
|
08
|
280.79
|
5.02%
|
10.95%
|
27.16%
|
$13.56
|
$953.33
|
10.95%
|
25.87%
|
09
|
270.35
|
5.06%
|
-3.72%
|
-3.55%
|
$14.54
|
$904.39
|
-3.72%
|
-2.28%
|
10
|
295.24
|
5.60%
|
9.21%
|
22.74%
|
$18.12
|
$1,108.24
|
9.21%
|
22.54%
|
11
|
304.69
|
5.62%
|
3.20%
|
12.98%
|
$17.32
|
$1,213.37
|
3.20%
|
9.49%
|
12
|
331.19
|
5.40%
|
8.70%
|
27.46%
|
$22.31
|
$1,473.17
|
8.70%
|
22.97%
|
13
|
317.61
|
4.50%
|
-4.10%
|
-4.58%
|
$26.26
|
$1,379.15
|
-4.10%
|
-6.38%
|
14
|
387.27
|
4.73%
|
21.93%
|
58.22%
|
$26.38
|
$2,091.65
|
21.93%
|
51.66%
|
15
|
491.85
|
4.98%
|
27.00%
|
71.15%
|
$44.78
|
$3,451.46
|
27.00%
|
65.01%
|
16
|
514.06
|
4.68%
|
4.52%
|
15.00%
|
$63.26
|
$3,841.11
|
4.52%
|
11.29%
|
17
|
471.37
|
4.42%
|
-8.30%
|
-11.67%
|
$57.65
|
$3,286.80
|
-8.30%
|
-14.43%
|
18
|
448.43
|
4.53%
|
-4.87%
|
-5.61%
|
$51.69
|
$3,024.54
|
-4.87%
|
-8.97%
|
19
|
499.34
|
5.07%
|
11.35%
|
28.20%
|
$51.73
|
$3,839.70
|
11.35%
|
26.95%
|
20
|
577.98
|
4.61%
|
15.75%
|
37.82%
|
$74.63
|
$5,250.19
|
15.75%
|
36.73%
|
Total Return
|
477.98%
|
5150.19%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value(1)
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
|||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
90.39
|
4.92%
|
-9.61%
|
15.19%
|
$1.46
|
$113.64
|
-9.61%
|
13.64%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
20.31%
|
$1.62
|
$134.66
|
-14.05%
|
18.49%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
-9.04%
|
$1.75
|
$120.50
|
12.43%
|
-10.52%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
19.31%
|
$1.81
|
$142.57
|
-14.94%
|
18.32%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
4.48%
|
$1.96
|
$146.94
|
-1.98%
|
2.96%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
15.28%
|
$2.30
|
$168.08
|
-11.86%
|
13.61%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
5.01%
|
$2.33
|
$175.97
|
-3.58%
|
3.93%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
17.05%
|
$2.41
|
$204.55
|
-13.18%
|
16.24%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
1.68%
|
$2.76
|
$205.19
|
0.32%
|
-0.56%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
17.91%
|
$2.97
|
$237.98
|
-12.71%
|
15.98%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
12.11%
|
$3.47
|
$264.49
|
-8.67%
|
11.14%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
22.30%
|
$3.82
|
$314.77
|
-14.29%
|
19.84%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
-12.02%
|
$3.90
|
$272.16
|
17.65%
|
-13.54%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
10.32%
|
$3.92
|
$294.97
|
-6.69%
|
8.38%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
9.42%
|
$4.15
|
$317.61
|
-6.31%
|
7.68%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
6.99%
|
$4.27
|
$335.77
|
-4.67%
|
5.72%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
11.78%
|
$4.80
|
$372.29
|
-9.08%
|
10.88%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
-4.96%
|
$5.04
|
$344.90
|
8.96%
|
-6.76%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
19.75%
|
$4.85
|
$407.13
|
-14.54%
|
18.05%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
-4.34%
|
$5.52
|
$385.23
|
6.51%
|
-5.38%
|
|
Total Return
|
-67.44%
|
285.23%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
|||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
90.39
|
4.92%
|
-9.61%
|
-5.05%
|
$0.85
|
$94.11
|
-9.61%
|
-5.89%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
-10.43%
|
$0.82
|
$83.62
|
-14.05%
|
-11.14%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
15.56%
|
$0.78
|
$96.04
|
12.43%
|
14.85%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
-11.89%
|
$0.78
|
$83.43
|
-14.94%
|
-13.13%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
1.47%
|
$0.76
|
$83.90
|
-1.98%
|
0.65%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
-8.30%
|
$0.67
|
$75.78
|
-11.86%
|
-9.04%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
0.89%
|
$0.67
|
$74.94
|
-3.58%
|
-0.34%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
-9.54%
|
$0.67
|
$66.72
|
-13.18%
|
-10.97%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
3.51%
|
$0.61
|
$68.44
|
0.32%
|
3.48%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
-9.68%
|
$0.58
|
$61.44
|
-12.71%
|
-10.23%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
-4.56%
|
$0.52
|
$57.83
|
-8.67%
|
-5.88%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
-11.68%
|
$0.49
|
$51.28
|
-14.29%
|
-11.89%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
22.15%
|
$0.51
|
$62.28
|
17.65%
|
21.45%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
-3.73%
|
$0.53
|
$59.67
|
-6.69%
|
-4.20%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
-3.46%
|
$0.52
|
$57.23
|
-6.31%
|
-4.09%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
-1.64%
|
$0.52
|
$55.70
|
-4.67%
|
-2.67%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
-5.47%
|
$0.48
|
$51.89
|
-9.08%
|
-6.84%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
11.38%
|
$0.47
|
$57.95
|
8.96%
|
10.98%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
-11.72%
|
$0.51
|
$50.72
|
-14.54%
|
-12.48%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
10.37%
|
$0.46
|
$55.33
|
6.51%
|
9.10%
|
|
Total Return
|
-67.44%
|
-44.67%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
|||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
90.39
|
4.92%
|
-9.61%
|
-14.93%
|
$1.47
|
$83.68
|
-9.61%
|
-16.32%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
-23.91%
|
$1.30
|
$62.77
|
-14.05%
|
-24.99%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
28.19%
|
$1.13
|
$79.59
|
12.43%
|
26.80%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
-25.42%
|
$1.07
|
$57.79
|
-14.94%
|
-27.40%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
-1.60%
|
$0.96
|
$55.92
|
-1.98%
|
-3.04%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
-19.65%
|
$0.72
|
$43.67
|
-11.86%
|
-20.83%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
-2.78%
|
$0.69
|
$40.85
|
-3.58%
|
-5.02%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
-21.83%
|
$0.68
|
$30.98
|
-13.18%
|
-24.17%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
2.65%
|
$0.52
|
$31.28
|
0.32%
|
2.76%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
-22.26%
|
$0.46
|
$24.06
|
-12.71%
|
-23.09%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
-13.34%
|
$0.35
|
$20.30
|
-8.67%
|
-15.60%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
-26.03%
|
$0.30
|
$15.17
|
-14.29%
|
-26.27%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
41.75%
|
$0.31
|
$21.30
|
17.65%
|
40.37%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
-11.48%
|
$0.31
|
$18.69
|
-6.69%
|
-12.22%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
-10.67%
|
$0.29
|
$16.51
|
-6.31%
|
-11.70%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
-6.87%
|
$0.28
|
$15.07
|
-4.67%
|
-8.70%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
-14.59%
|
$0.23
|
$12.52
|
-9.08%
|
-16.93%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
18.65%
|
$0.21
|
$14.96
|
8.96%
|
17.97%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
-25.37%
|
$0.23
|
$10.99
|
-14.54%
|
-26.53%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
16.50%
|
$0.18
|
$12.53
|
6.51%
|
13.98%
|
|
Total Return
|
-67.44%
|
-87.47%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value(1)
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for
year
|
Total for year
|
|||
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
188.36
|
5.58%
|
88.36%
|
-61.68%
|
$0.81
|
$37.80
|
88.36%
|
-62.20%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-29.76%
|
$0.38
|
$24.86
|
14.49%
|
-34.24%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
-50.69%
|
$0.17
|
$11.63
|
55.65%
|
-53.22%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
49.70%
|
$0.15
|
$17.11
|
-52.80%
|
47.15%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
52.51%
|
$0.26
|
$25.74
|
-52.85%
|
51.11%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
64.61%
|
$0.41
|
$43.27
|
-58.07%
|
58.33%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
-57.57%
|
$0.55
|
$18.87
|
68.03%
|
-56.47%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
5.03%
|
$0.19
|
$19.26
|
-35.02%
|
2.04%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
-69.55%
|
$0.13
|
$5.79
|
150.88%
|
-70.02%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
-53.54%
|
$0.05
|
$2.64
|
52.71%
|
-54.30%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
-44.95%
|
$0.03
|
$1.46
|
28.78%
|
-44.61%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
-85.25%
|
$0.01
|
$0.20
|
414.10%
|
-85.84%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-42.71%
|
$0.00
|
$0.12
|
1.34%
|
-36.89%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
-50.87%
|
$0.00
|
$0.06
|
32.90%
|
-50.53%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-3.30%
|
$0.00
|
$0.06
|
-22.01%
|
-8.37%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
34.34%
|
$0.00
|
$0.07
|
-45.85%
|
29.49%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-21.55%
|
$0.00
|
$0.05
|
-8.62%
|
-24.76%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
-59.15%
|
$0.00
|
$0.02
|
99.33%
|
-61.55%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
-68.16%
|
$0.00
|
$0.01
|
122.09%
|
-68.96%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
-65.32%
|
$0.00
|
$0.00
|
104.12%
|
-64.66%
|
|
Total Return
|
3973.34%
|
-100.00%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
188.36
|
5.58%
|
88.36%
|
99.13%
|
$1.48
|
$197.37
|
88.36%
|
97.37%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
14.29%
|
$2.16
|
$236.09
|
14.49%
|
19.61%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
56.47%
|
$3.76
|
$381.29
|
55.65%
|
61.50%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-50.95%
|
$3.15
|
$186.02
|
-52.80%
|
-51.21%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-50.61%
|
$1.34
|
$91.04
|
-52.85%
|
-51.28%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
-54.35%
|
$0.61
|
$39.92
|
-58.07%
|
-53.58%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
84.98%
|
$0.36
|
$70.25
|
68.03%
|
76.47%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-32.69%
|
$0.72
|
$47.56
|
-35.02%
|
-32.30%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
164.79%
|
$0.89
|
$124.82
|
150.88%
|
162.94%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
62.50%
|
$1.46
|
$201.60
|
52.71%
|
61.51%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
38.72%
|
$2.18
|
$271.78
|
28.78%
|
34.81%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
389.96%
|
$6.72
|
$1,446.76
|
414.10%
|
399.12%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
15.14%
|
$17.56
|
$1,494.10
|
1.34%
|
3.27%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
38.77%
|
$14.79
|
$2,014.06
|
32.90%
|
34.80%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-23.25%
|
$18.38
|
$1,597.61
|
-22.01%
|
-20.68%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-45.39%
|
$9.97
|
$885.45
|
-45.85%
|
-44.58%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-8.50%
|
$7.64
|
$826.51
|
-8.62%
|
-6.66%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
84.68%
|
$9.39
|
$1,692.01
|
99.33%
|
92.29%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
127.29%
|
$21.63
|
$3,855.10
|
122.09%
|
127.84%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
115.49%
|
$49.46
|
$7,978.48
|
104.12%
|
106.96%
|
Total Return
|
3973.34%
|
7878.48%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
188.36
|
5.58%
|
88.36%
|
157.83%
|
$3.85
|
$253.62
|
88.36%
|
153.62%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-10.32%
|
$5.33
|
$250.38
|
14.49%
|
-1.28%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
64.52%
|
$11.55
|
$440.22
|
55.65%
|
75.82%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-84.28%
|
$5.51
|
$68.56
|
-52.80%
|
-84.43%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-84.04%
|
$0.65
|
$10.76
|
-52.85%
|
-84.45%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
-86.75%
|
$0.09
|
$1.32
|
-58.07%
|
-86.27%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
127.84%
|
$0.02
|
$2.74
|
68.03%
|
107.95%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-72.67%
|
$0.05
|
$0.76
|
-35.02%
|
-72.30%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
383.39%
|
$0.05
|
$3.61
|
150.88%
|
377.34%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
65.26%
|
$0.08
|
$5.90
|
52.71%
|
63.49%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
24.21%
|
$0.11
|
$6.93
|
28.78%
|
17.52%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
1432.36%
|
$0.79
|
$126.23
|
414.10%
|
1493.73%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-19.23%
|
$3.38
|
$82.90
|
1.34%
|
-34.33%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
22.97%
|
$1.38
|
$96.35
|
32.90%
|
16.23%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-59.58%
|
$1.46
|
$41.73
|
-22.01%
|
-56.68%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-80.15%
|
$0.31
|
$8.55
|
-45.85%
|
-79.52%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-45.05%
|
$0.11
|
$4.90
|
-8.62%
|
-42.68%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
133.21%
|
$0.11
|
$14.16
|
99.33%
|
153.82%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
237.68%
|
$0.40
|
$48.14
|
122.09%
|
239.91%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
226.79%
|
$1.42
|
$145.43
|
104.12%
|
202.12%
|
Total Return
|
3973.34%
|
45.43%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value(1)
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
44.21
|
3.30%
|
-55.79%
|
75.99%
|
$1.69
|
$173.64
|
-55.79%
|
73.64%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
1.08%
|
$2.11
|
$170.95
|
-18.85%
|
-1.55%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-13.60%
|
$2.09
|
$143.92
|
-3.76%
|
-15.81%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
52.35%
|
$2.52
|
$212.67
|
-46.86%
|
47.77%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-11.17%
|
$2.42
|
$186.35
|
-11.42%
|
-8.17%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-10.46%
|
$2.24
|
$164.26
|
-13.20%
|
-9.65%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
51.04%
|
$2.26
|
$234.36
|
-44.60%
|
48.84%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-6.25%
|
$2.48
|
$222.57
|
-16.20%
|
-5.03%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-8.04%
|
$2.69
|
$201.92
|
-13.21%
|
-9.95%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
-65.70%
|
$2.33
|
$67.36
|
138.03%
|
-66.64%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-4.46%
|
$1.18
|
$65.86
|
-18.87%
|
-2.22%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-22.83%
|
$0.82
|
$51.15
|
5.00%
|
-23.64%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
-36.75%
|
$0.79
|
$33.06
|
20.71%
|
-35.37%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
4.29%
|
$0.55
|
$36.89
|
-28.89%
|
11.58%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
7.68%
|
$0.42
|
$38.14
|
-24.75%
|
3.39%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
54.14%
|
$0.62
|
$56.48
|
-47.49%
|
48.07%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
-44.62%
|
$0.60
|
$30.68
|
43.36%
|
-45.67%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
12.73%
|
$0.59
|
$34.20
|
-29.03%
|
9.18%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-6.12%
|
$0.43
|
$32.45
|
-19.03%
|
-5.11%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
121.57%
|
$0.79
|
$72.84
|
-65.39%
|
124.44%
|
Total Return
|
-98.89%
|
-27.16%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
44.21
|
3.30%
|
-55.79%
|
-54.30%
|
$0.68
|
$45.30
|
-55.79%
|
-54.70%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-17.06%
|
$0.42
|
$37.71
|
-18.85%
|
-16.76%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-2.42%
|
$0.34
|
$36.93
|
-3.76%
|
-2.07%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
-46.31%
|
$0.24
|
$19.99
|
-46.86%
|
-45.87%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-9.09%
|
$0.19
|
$18.01
|
-11.42%
|
-13.86%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-10.87%
|
$0.17
|
$15.96
|
-13.20%
|
-13.60%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
-45.16%
|
$0.13
|
$9.07
|
-44.60%
|
-45.60%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-10.29%
|
$0.10
|
$7.85
|
-16.20%
|
-13.41%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-9.52%
|
$0.07
|
$7.04
|
-13.21%
|
-9.67%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
144.35%
|
$0.07
|
$17.30
|
138.03%
|
145.69%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-13.50%
|
$0.11
|
$14.31
|
-18.87%
|
-17.27%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
10.37%
|
$0.13
|
$15.35
|
5.00%
|
9.05%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
28.49%
|
$0.11
|
$18.88
|
20.71%
|
23.03%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-21.49%
|
$0.12
|
$13.63
|
-28.89%
|
-27.81%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-24.76%
|
$0.13
|
$10.45
|
-24.75%
|
-23.33%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
-47.86%
|
$0.07
|
$5.55
|
-47.49%
|
-46.90%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
44.98%
|
$0.06
|
$8.02
|
43.36%
|
44.49%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-27.37%
|
$0.05
|
$5.76
|
-29.03%
|
-26.66%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-15.04%
|
$0.05
|
$4.74
|
-19.03%
|
-17.79%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
-63.65%
|
$0.02
|
$1.66
|
-65.39%
|
-64.89%
|
Total Return
|
-98.89%
|
-98.34%
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily Accrual
|
Daily Index Factor
|
Daily ETN Performance
|
Daily Investor Fee
|
Closing Indicative Value
|
Annualized Index Return
|
Annualized ETN Return
|
|
Total for year
|
Total for year
|
Total for
year
|
Total for year
|
At Year End
|
Total for year
|
Total for year
|
00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$0.00
|
$100.00
|
0.00%
|
0.00%
|
|
01
|
44.21
|
3.30%
|
-55.79%
|
-84.90%
|
$0.94
|
$14.85
|
-55.79%
|
-85.15%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-47.95%
|
$0.24
|
$7.80
|
-18.85%
|
-47.49%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-26.06%
|
$0.11
|
$5.82
|
-3.76%
|
-25.42%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
-78.44%
|
$0.05
|
$1.28
|
-46.86%
|
-78.05%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-38.57%
|
$0.02
|
$0.77
|
-11.42%
|
-44.66%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-42.22%
|
$0.01
|
$0.44
|
-13.20%
|
-45.61%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
-77.60%
|
$0.01
|
$0.11
|
-44.60%
|
-77.93%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-40.17%
|
$0.00
|
$0.06
|
-16.20%
|
-44.12%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-40.06%
|
$0.00
|
$0.04
|
-13.21%
|
-40.17%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
346.42%
|
$0.00
|
$0.16
|
138.03%
|
352.05%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-43.39%
|
$0.00
|
$0.08
|
-18.87%
|
-48.08%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-5.06%
|
$0.00
|
$0.07
|
5.00%
|
-7.19%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
23.31%
|
$0.00
|
$0.08
|
20.71%
|
13.36%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-53.05%
|
$0.00
|
$0.03
|
-28.89%
|
-60.05%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-58.06%
|
$0.00
|
$0.01
|
-24.75%
|
-56.36%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
-79.57%
|
$0.00
|
$0.00
|
-47.49%
|
-78.77%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
60.14%
|
$0.00
|
$0.00
|
43.36%
|
59.27%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-59.69%
|
$0.00
|
$0.00
|
-29.03%
|
-58.82%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-46.53%
|
$0.00
|
$0.00
|
-19.03%
|
-49.83%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
-90.12%
|
$0.00
|
$0.00
|
-65.39%
|
-90.77%
|
Total Return
|
-98.89%
|
-100.00%
|
·
|
You are not willing to be exposed to fluctuations in volatility in general and in the level of the applicable underlying Index in particular.
|
·
|
You seek a guaranteed return of principal.
|
·
|
You seek a long-term investment objective.
|
·
|
You believe the level of the applicable underlying Index will decrease (if you invest in the Long ETNs or 2x Long ETNs) or increase (if you invest in the Inverse ETNs) or will not increase (if you invest in the Long ETNs or 2x Long ETNs) or decrease (if you invest in the Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fees (and in the case of Early Redemption, the Early Redemption Charge) over your intended holding period of the ETNs and to provide you with a satisfactory return on your investment during the time you hold the ETNs.
|
·
|
You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings.
|
·
|
You seek current income from your investment.
|
·
|
You are not a sophisticated investor and you seek an investment for other purposes than managing daily trading risks.
|
·
|
You seek an investment with a longer duration than a daily basis.
|
·
|
You do not want to pay Daily Investor Fees and the Early Redemption Charge, if applicable, which are charged on the ETNs and which will reduce your return (or increase your loss, as applicable) on your investment.
|
·
|
the level of the applicable underlying Index at any time,
|
·
|
the volatility of any option or futures contracts relating to the applicable underlying Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or the underlying futures,
|
·
|
the liquidity of any option or futures contracts relating to the applicable underlying Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or the or the underlying futures,
|
·
|
economic, financial, regulatory, political, judicial, military and other events that affect stock markets generally, the applicable underlying Index, the equity securities included in the S&P 500® Index, the S&P 500® Index, the VIX Index or the relevant futures contracts on the VIX Index,
|
·
|
supply and demand for the ETNs in the secondary market, including but not limited to, inventory positions with any market maker or other person or entity who is trading the ETNs (supply and demand for the ETNs will be affected by the total issuance of ETNs, and we are under no obligations to issue additional ETNs to increase the supply),
|
·
|
interest and yield rates and rate spreads in the markets,
|
·
|
the time remaining until your ETNs mature, and
|
·
|
the actual or perceived creditworthiness of Credit Suisse.
|
A:
Index level
|
B:
% change in Index
|
C:
hypothetical inverse
ETN price
C=A*(1-B)
|
D:
hypothetical inverse
ETN notional exposure
D=A*-1
|
E:
Inverse ETN effective leverage amount
E=D/C
|
F:
hypothetical 2x
ETN price
E=A*(1+2B)
|
G:
hypothetical 2x Long ETNs notional exposure
G=A*2
|
E:
2x Long ETNs effective
leverage amount
E=G/F
|
120.00
|
20%
|
$80.00
|
-$120.00
|
-1.50
|
$140.00
|
$240.00
|
1.71
|
115.00
|
15%
|
$85.00
|
-$115.00
|
-1.35
|
$130.00
|
$230.00
|
1.77
|
110.00
|
10%
|
$90.00
|
-$110.00
|
-1.22
|
$120.00
|
$220.00
|
1.83
|
105.00
|
5%
|
$95.00
|
-$105.00
|
-1.11
|
$110.00
|
$210.00
|
1.91
|
104.00
|
4%
|
$96.00
|
-$104.00
|
-1.08
|
$108.00
|
$208.00
|
1.93
|
103.00
|
3%
|
$97.00
|
-$103.00
|
-1.06
|
$106.00
|
$206.00
|
1.94
|
102.00
|
2%
|
$98.00
|
-$102.00
|
-1.04
|
$104.00
|
$204.00
|
1.96
|
101.00
|
1%
|
$99.00
|
-$101.00
|
-1.02
|
$102.00
|
$202.00
|
1.98
|
100.00
|
0%
|
$100.00
|
-$100.00
|
-1.00
|
$100.00
|
$200.00
|
2.00
|
99.00
|
-1%
|
$101.00
|
-$99.00
|
-0.98
|
$98.00
|
$198.00
|
2.02
|
98.00
|
-2%
|
$102.00
|
-$98.00
|
-0.96
|
$96.00
|
$196.00
|
2.04
|
97.00
|
-3%
|
$103.00
|
-$97.00
|
-0.94
|
$94.00
|
$194.00
|
2.06
|
96.00
|
-4%
|
$104.00
|
-$96.00
|
-0.92
|
$92.00
|
$192.00
|
2.09
|
95.00
|
-5%
|
$105.00
|
-$95.00
|
-0.90
|
$90.00
|
$190.00
|
2.11
|
85.00
|
-15%
|
$115.00
|
-$85.00
|
-0.74
|
$70.00
|
$170.00
|
2.43
|
80.00
|
-20%
|
$120.00
|
-$80.00
|
-0.67
|
$60.00
|
$160.00
|
2.67
|
% change in the level of the Index
|
Effective Leverage Amount for Inverse ETNs
|
Effective Leverage Amount for 2x ETNs
|
20%
|
-1.50
|
1.71
|
15%
|
-1.35
|
1.77
|
10%
|
-1.22
|
1.83
|
5%
|
-1.11
|
1.91
|
4%
|
-1.08
|
1.93
|
3%
|
-1.06
|
1.94
|
2%
|
-1.04
|
1.96
|
1%
|
-1.02
|
1.98
|
0%
|
-1.00
|
2.00
|
-1%
|
-0.98
|
2.02
|
-2%
|
-0.96
|
2.04
|
-3%
|
-0.94
|
2.06
|
-4%
|
-0.92
|
2.09
|
-5%
|
-0.90
|
2.11
|
-15%
|
-0.74
|
2.43
|
-20%
|
-0.67
|
2.67
|
Index Name
|
End of Day Ticker
|
Intraday Ticker
|
S&P 500 VIX Short-Term Futures™ Index ER
|
SPVXSP
|
SPVXSPID
|
S&P 500 VIX Medium-Term Futures™ Index ER
|
SPVXMP
|
SPVXMPID
|
ETNs
|
Indicative
Value Ticker
|
Inverse VIX Short Term ETNs
|
XIVIV
|
Inverse VIX Medium Term ETNs
|
ZIVIV
|
Long VIX Short Term ETNs
|
VIIXIV
|
Long VIX Medium Term ETNs
|
VIIZIV
|
2x Long VIX Short Term ETNs
|
TVIXIV
|
2x Long VIX Medium Term ETNs
|
TVIZIV
|
Daily Inverse VIX Short Term ETN:
|
-1
|
Daily Inverse VIX Medium Term ETN:
|
-1
|
VIX Short Term ETN:
|
1
|
VIX Medium Term ETN:
|
1
|
Daily 2x VIX Short Term ETN:
|
2
|
Daily 2x VIX Medium Term ETN:
|
2
|
Index
|
Bloomberg
Page Ticker
|
S&P 500 VIX Short-Term Futures™ Index ER
|
SPVXSP
|
S&P 500 VIX Mid-Term Futures™ Index ER
|
SPVXMP
|
·
|
Deliver a notice of redemption, in substantially the form as Annex A (the “Redemption Notice”), to VLS (the “Redemption Agent”) via email or other electronic delivery (including, without limitation, the Redemption Agent’s proprietary technology system, TENZING) as requested by the Redemption Agent. If your Redemption Notice is delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately following Index Business Day will be the applicable “Early Redemption Valuation Date”. Otherwise, the second following Index Business Day will be the applicable Early Redemption Valuation Date. If the Redemption Agent receives your Redemption Notice no later than 4:00 p.m., New York City time, on any Business Day, the Redemption Agent will respond by sending your broker an acknowledgment of the Redemption Notice accepting your redemption request by 7:30 p.m., New York City time, on the Business Day prior to the applicable Early Redemption Valuation Date. The Redemption Agent or its affiliate must acknowledge to your broker acceptance of the Redemption Notice in order for your redemption request to be effective;
|
·
|
Cause your DTC custodian to book a delivery vs. payment trade with respect to the ETNs on the applicable Early Redemption Valuation Date at a price equal to the applicable Early Redemption Amount, facing us; and
|
·
|
Cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption Date (the third Business Day following the Early Redemption Valuation Date).
|
(a)
|
an amendment to or change (including any officially announced proposed change) in the laws, regulations or rules of the United States (or any political subdivision thereof), any jurisdiction in which a Primary Exchange or Related Exchange (each as defined herein) is located that (i) makes it illegal to hold, acquire or dispose of the underlying futures (including but not limited to exchange imposed position limits), (ii) shall materially increase the cost to the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties in performing our or their obligations in connection with the ETNs, (iii) shall have a material adverse effect on any of these party’s ability to perform their obligations in connection with the ETNs or (iv) shall materially affect our ability to issue or transact in exchange traded notes similar to the ETNs, each as determined by us or the Calculation Agents;
|
(b)
|
any official administrative decision, judicial decision, administrative action, regulatory interpretation or other official pronouncement interpreting or applying those laws, regulations or rules that is announced on or after the Inception Date that (i) makes it illegal to hold, acquire or dispose of the underlying futures (including but not limited to exchange imposed position limits), (ii) shall materially increase the cost to the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties in performing our or their obligations in connection with the ETNs, (iii) shall have a material adverse effect on the Issuer’s, our affiliates, third parties with whom we transact or similarly situated third parties ability to perform our or their obligations in connection with the ETNs or (iv) shall materially affect our ability to issue or transact in exchange traded notes similar to the ETNs, each as determined by us or the Calculation Agents;
|
(c)
|
any event, as determined by us or the Calculation Agents that we or any of our affiliates or a similarly situated party would, after using commercially reasonable efforts, be unable to, or would incur a materially increased amount of tax, duty, expense or fee (other than brokerage commissions) to acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction or asset it deems necessary to hedge the risk of the ETNs, or realize, recover or remit the proceeds of any such transaction or asset;
|
(d)
|
if, at any point, the Intraday Indicative Value is equal to or less than twenty percent (20%) of the prior day’s Closing Indicative Value;
|
(e)
|
if the primary exchange or market for trading for the ETNs, if any, announces that pursuant to the rules of such exchange or market, as applicable, the ETNs cease (or will cease) to be listed, traded or publicly quoted on such exchange or market, as applicable, for any reason and are not immediately re-listed, re-traded or re-quoted on an exchange or quotation system located in the same country as such exchange or market, as applicable;
|
(f)
|
if any of the initial Calculation Agents ceases to be a Calculation Agent hereunder; or
|
(g)
|
VLS exercises their right to cause an early acceleration due to the termination of our agreement with them in certain circumstances. See “Supplemental Plan of Distribution” in this pricing supplement for further information.
|
·
|
a suspension, absence or material limitation of trading in option or futures contracts relating to the Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or to the underlying futures, if available, on their respective Primary Exchange or Related Exchange, as determined by the Calculation Agents,
|
·
|
option or futures contracts relating to the Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or the underlying futures, if available, not trading on their respective Primary Exchange or Related Exchange, as determined by the Calculation Agents,
|
·
|
the Index Sponsor or the CBOE fails to publish or compute the Indices or VIX Index, or
|
·
|
any trading restriction imposed upon, option or futures contracts relating to the Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or to the underlying futures, if available, on their respective Primary Exchange or Related Exchange due to a price change in that respective instrument exceeding limits set by that market before the close of trading in that market on any day, as determined by the Calculation Agents.
|
·
|
a limitation on the hours or numbers of days of trading, but only if the limitation results from a previously announced change in the regular business hours of the relevant market, and
|
·
|
a decision to permanently discontinue trading in the option or futures contracts relating to the Index, the VIX Index, the S&P 500® Index, the component securities of the S&P 500® Index, or the underlying futures.
|
·
|
a price change exceeding limits set by that market, or
|
·
|
an imbalance of orders relating to that stock, instrument or those contracts, or
|
·
|
a disparity in bid and ask quotes relating to that stock, instrument or those contracts,
|
·
|
a financial institution,
|
·
|
a mutual fund,
|
·
|
a tax-exempt organization,
|
·
|
a grantor trust,
|
·
|
certain U.S. expatriates,
|
·
|
an insurance company,
|
·
|
a dealer or trader in securities or foreign currencies,
|
·
|
a person (including traders in securities) using a mark-to-market method of accounting,
|
·
|
a person who holds securities as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or
|
·
|
an entity that is treated as a partnership for U.S. federal income tax purposes.
|
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