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| Share Name | Share Symbol | Market | Type |
|---|---|---|---|
| Ranger Gold Corporation (PK) | USOTC:RNGC | OTCMarkets | Common Stock |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 0.00957 | 0.0081 | 0.013 | 0.00 | 12:30:06 |
|
PRICING SUPPLEMENT No. VLS ETN-3/A6
†
To the Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
August 14, 2013
|
|
ETNs
|
Leverage Amount
|
ETN Type
|
Exchange Ticker
|
Indicative Value Ticker
|
CUSIP
|
ISIN
|
|
3x Long Brent Crude ETNs
|
3
|
“Leveraged Long”
|
UOIL
|
UOIL.IV
|
22542D597
|
US22542D5977
|
|
3x Long Crude Oil ETNs
|
3
|
“Leveraged Long”
|
UWTI
|
UWTI.IV
|
22542D589
|
US22542D5894
|
|
3x Long Natural Gas ETNs
|
3
|
“Leveraged Long”
|
UGAZ
|
UGAZ.IV
|
22542D571
|
US22542D5712
|
|
3x Inverse Brent Crude ETNs
|
-3
|
“Leveraged Inverse”
|
DOIL
|
DOIL.IV
|
22542D555
|
US22542D5555
|
|
3x Inverse Crude Oil ETNs
|
-3
|
“Leveraged Inverse”
|
DWTI
|
DWTI.IV
|
22542D548
|
US22542D5480
|
|
3x Inverse Natural Gas ETNs
|
-3
|
“Leveraged Inverse”
|
DGAZ
|
DGAZ.IV
|
22542D530
|
US22542D5308
|
|
|
·
|
The ETNs are designed for investors who seek leveraged long or leveraged inverse exposure, as applicable, to the applicable Index (as defined below). The ETNs do not guarantee any return of principal 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 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 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.
|
|
|
·
|
The ETNs are designed to reflect a leveraged long or leveraged inverse exposure, as applicable, to the performance of the applicable Index on a daily basis, but their returns over different periods of time can, and most likely will, differ significantly from two times or three times, as applicable, the return on a direct long or inverse, as applicable, investment in the applicable Index. The ETNs are very sensitive to changes in the level of the applicable Index, and returns on the ETNs may be negatively impacted in complex ways by the volatility of the applicable Index on a daily or intraday basis. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the applicable Index and of seeking daily compounding leveraged long or leveraged inverse investment results, as applicable. Investors should actively and frequently monitor their investments in the ETNs.
|
|
|
·
|
The ETNs are senior medium-term notes of Credit Suisse AG, acting through its Nassau Branch, maturing February 9, 2032 (the “
Maturity Date
”) unless the maturity of any series of ETNs is extended at our option, as described below.
**
|
|
|
·
|
The denomination and stated principal amount of each ETN is $50. 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 Intraday Indicative Value or Closing Indicative Value for the ETNs of the applicable series.
|
|
|
·
|
The initial issuance of ETNs of each series priced on February 7, 2012 (the “
Inception Date
”) and settled on February 10, 2012 (the “
Initial Settlement Date
”). Delivery of the ETNs in book-entry form only will be made through The Depository Trust Company (“
DTC
”).
|
|
·
|
$1,539,700 in stated principal amount of the 3x Long Brent Crude ETNs (30,794 3x Long Brent Crude ETNs).
|
|
·
|
$2,030,350 in stated principal amount of the 3x Long Crude Oil ETNs (40,607 3x Long Crude Oil ETNs).
|
|
·
|
$418,750,000 in stated principal amount of the 3x Long Natural Gas ETNs (8,375,000 3x Long Natural Gas ETNs).
|
|
·
|
$1,250,000 in stated principal amount of the 3x Inverse Brent Crude ETNs (25,000 3x Inverse Brent Crude ETNs).
|
|
·
|
$17,020,200 in stated principal amount of the 3x Inverse Crude Oil ETNs (340,404 3x Inverse Crude Oil ETNs).
|
|
·
|
$60,750,000 in stated principal amount of the 3x Inverse Natural Gas ETNs (1,215,000 3x Inverse Natural Gas ETNs).
|
|
Issuer:
|
Credit Suisse AG (“
Credit Suisse
”), acting through its Nassau Branch
|
|
| Index: | The return on the ETNs of any series will be based on the performance of the applicable Index during the term for such series of ETNs. Each series of ETNs tracks the daily performance of the S&P GSCI ® Brent Crude Index ER, the S&P GSCI ® Crude Oil Index ER or the S&P GSCI ® Natural Gas Index ER (each such index, an “ Index ” and collectively the “ Indices ”). Each 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 Indices are intended generally to correlate with changes in the prices of such physical commodities in global markets. The S&P GSCI ® Brent Crude Index ER, the S&P GSCI ® Crude Oil Index ER and the S&P GSCI ® Natural Gas Index ER are composed entirely of Brent crude oil, WTI crude oil and natural gas futures contracts, respectively. The Indices are determined, composed and calculated by S&P Dow Jones Indices LLC (“ S&P ” or the “ Index Sponsor ”). S&P calculates the levels of the Indices on each business day and publishes them on the Bloomberg pages specified in the table below. Each Index, or any successor index or substitute index to such Index, may be modified, replaced or adjusted from time to time, as determined by the Calculation Agents (defined below) as set forth below. See “The Indices” in this pricing supplement for further information on the Indices. |
|
ETNs
|
Underlying Index
|
Underlying Index Ticker
|
|
3x Long Brent Crude ETNs,
3x Inverse Brent Crude ETNs
|
S&P GSCI
®
Brent Crude Index ER
|
SPGSBRP
|
|
3x Long Crude Oil ETNs
3x Inverse Crude Oil ETNs
|
S&P GSCI
®
Crude Oil Index ER
|
SPGSCLP
|
|
3x Long Natural Gas ETNs
3x Inverse Natural Gas ETNs
|
S&P GSCI
®
Natural Gas Index ER
|
SPGSNGP
|
| 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 “Risk Factors—The Calculation Agents may modify the applicable Index” and “Specific Terms of the ETNs—Discontinuation or Modification of an Index” in this pricing supplement for further information. | ||
| Payment at Maturity: | If the ETNs have not been previously redeemed or accelerated, on the Maturity Date you will receive for each $50 stated principal amount of the ETNs a cash payment equal to the applicable Closing Indicative Value for such series of ETNs 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 .” Any payment on the ETNs is subject to our ability to pay our obligations as they become due. | |
| If the Final Indicative Value is zero, the Maturity Redemption Amount will be zero. | ||
| Closing Indicative Value: |
The Closing Indicative Value for each series of ETNs on the Inception Date will equal $50 (the “
Initial Indicative Value
”). The Closing Indicative Value on each calendar day following the Inception Date for each series of ETNs will equal (1)(a) the Closing Indicative Value for such series of ETNs on the immediately preceding calendar day
times
(b) the Daily ETN Performance for such series of ETNs on such calendar day
minus
(2) the Daily Investor Fee for such series of ETNs on such calendar day. The Closing Indicative Value will never be less than zero.
If the Intraday Indicative Value for any series of ETNs is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Index Business Day for such series of ETNs, the Closing Indicative Value for such series of ETNs on that day, and all future days, will be zero.
If any series of ETNs undergoes a split or reverse split, the Closing Indicative Value for such series of ETNs will be adjusted accordingly (see “Description of the ETNs—Split or Reverse Split of the ETNs” in this pricing supplement). VelocityShares Index & Calculation Services, a division of VelocityShares LLC (“
VIC
”) or its affiliate is responsible for computing and disseminating the Closing Indicative Value. The Closing Indicative Value and the closing price of the 3x Long Brent Crude ETNs, the 3x Long Crude Oil ETNs, the 3x Long Natural Gas ETNs, the 3x Inverse Crude Oil ETNs and the 3x Inverse Natural Gas ETNs on August 12, 2013 and the Closing Indicative Value and the closing price of the 3x Inverse Brent Crude ETNs on July 31, 2013 are set forth below.
|
|
ETNs
|
Closing Price
|
Closing Indicative Value
|
|
3x Long Brent Crude ETNs:
|
$41.95 (exchange ticker
UOIL
)
|
$42.40 (Indicative Value Ticker
UOIL.IV
)
|
|
3x Long Crude Oil ETNs:
|
$38.8101 (exchange ticker
UWTI
)
|
$39.03 (Indicative Value Ticker
UWTI.IV
)
|
|
3x Long Natural Gas ETNs:
|
$14.04 (exchange ticker
UGAZ
)
|
$14.11 (Indicative Value Ticker
UGAZ.IV
)
|
|
3x Inverse Brent Crude ETNs:
|
$34.87 (exchange ticker
DOIL
)
|
$33.51 (Indicative Value Ticker
DOIL.IV
)
|
|
3x Inverse Crude Oil ETNs:
|
$28.4369 (exchange ticker
DWTI
)
|
$28.50 (Indicative Value Ticker
DWTI.IV
)
|
|
3x Inverse Natural Gas ETNs:
|
$17.47 (exchange ticker
DGAZ
)
|
$17.42 (Indicative Value Ticker
DGAZ.IV
)
|
| 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. |
|
Daily ETN Performance:
|
The Daily ETN Performance for any series of ETNs on any Index Business Day for such series of ETNs will equal (1) one
plus
(2) the Daily Accrual for such series of ETNs on such Index Business Day
plus
(3) the product of (a) the Daily Index Performance for such series of ETNs on such Index Business Day
times
(b) the Leverage Amount for such series of ETNs. The Daily ETN Performance for any series of ETNs is deemed to equal one on any day that is not an Index Business Day for such series of ETNs.
|
|
Daily Accrual:
|
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 (or any successor ticker on Bloomberg or any successor service). The Daily Accrual for any series of ETNs on any Index Business Day for such series of ETNs will equal:
|
|
|
||
| Where Tbills t -1 is the three month U.S. Treasury rate reported on Bloomberg on the prior Index Business Day for such series of ETNs and d is the number of calendar days from and including the immediately prior Index Business Day for such series of ETNs to but excluding the date of determination. The Daily Accrual for any series of ETNs is deemed to equal zero on any day that is not an Index Business Day for such series of ETNs. |
|
Daily Index Performance:
|
The Daily Index Performance for any series of ETNs on any Index Business Day for such series of ETNs will equal (1)(a) the closing level of the applicable Index on such Index Business Day
divided by
(b) the closing level of the applicable Index on the immediately preceding Index Business Day for such series of ETNs
minus
(2) one.**** If a Market Disruption Event occurs or is continuing on any Index Business Day, the Calculation Agents will determine the Daily Index Performance for such series of ETNs on such Index Business Day using an appropriate closing level of the applicable Index for such Index Business Day taking into account the nature and duration of such Market Disruption Event. The Daily Index Performance for any series of ETNs is deemed to equal zero on any day that is not an Index Business Day for such series of ETNs.
|
|
| Leverage Amount: | The Leverage Amount for each series of ETNs is as follows: |
|
3x Long Brent Crude ETNs:
|
3 | ||
|
3x Long Crude Oil ETNs:
|
3 | ||
|
3x Long Natural Gas ETNs:
|
3 | ||
|
3x Inverse Brent Crude ETNs:
|
-3
|
||
|
3x Inverse Crude Oil ETNs:
|
-3
|
||
|
3x Inverse Natural Gas ETNs:
|
-3
|
|
Daily Investor Fee:
|
The Daily Investor Fee for any series of ETNs on any Index Business Day for such series of ETNs will equal the product of (1) the Closing Indicative Value for such series of ETNs on the immediately preceding Index Business Day for such series of ETNs
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 for such series of ETNs to but excluding the date of determination.
The Daily Investor Fee for any series of ETNs is deemed to equal zero on any day that is not an Index Business Day for such series of ETNs.
If the level of the applicable Index decreases or does not increase sufficiently in the case of the Leveraged Long ETNs or if it increases or does not decrease sufficiently in the case of the Leveraged Inverse ETNs (in each case in addition to the Daily Accrual) to offset the sum of the Daily Investor Fee (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, upon early redemption or upon acceleration of the ETNs.
See “Hypothetical Examples” and “Risk Factors — Even if the closing level of the applicable Index on the applicable Valuation Date (or Valuation Dates, in the case of an acceleration of a series of the ETNs) exceeds, in the case of the Leveraged Long ETNs, or is less than, in the case of the Leveraged Inverse ETNs, the initial closing level of the applicable Index on the date of your investment, you may receive less than the principal amount of the ETNs” in this pricing supplement for additional information on how the Daily Investor Fee affects the overall value of the ETNs.
|
|
| Investor Fee Factor: | The Investor Fee Factor for each series of ETNs is as follows: |
|
3x Long Brent Crude ETNs:
|
1.35%
|
|
|
3x Long Crude Oil ETNs:
|
1.35%
|
|
|
3x Long Natural Gas ETNs:
|
1.65%
|
|
|
3x Inverse Brent Crude ETNs:
|
1.35%
|
|
|
3x Inverse Crude Oil ETNs:
|
1.35%
|
|
|
3x Inverse Natural Gas ETNs:
|
1.65%
|
|
Intraday Indicative Value:
|
The Intraday Indicative Value for each series of the ETNs will be calculated every 15 seconds on each Index Business Day for such series of ETNs so long as no Market Disruption Event with respect to such series of ETNs has occurred and is continuing and will be disseminated over the Consolidated Tape, or other major market data vendor. The Intraday Indicative Value for each series of the ETNs at any time is based on the most recent intraday level of the applicable Index. At any time at which a Market Disruption Event with respect to a series of ETNs has occurred and is continuing, there shall be no Intraday Indicative Value for such series of ETNs.
If the Intraday Indicative Value for any series of ETNs is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Index Business Day for such series of ETNs, the Closing Indicative Value for such series of ETNs on that day, and all future days, will be zero.
See “Description of the ETNs—Intraday Indicative Value” in this pricing supplement. VIC or its affiliate is responsible for computing and disseminating the Intraday Indicative Value.
|
|
|
Valuation Dates:
|
February 2, 2032 or, if such date is not an Index Business Day for any series of ETNs, the next following Index Business Day for such series of ETNs (the “
Final Valuation Date
”), any Early Redemption Valuation Date and any Index Business Day in the Accelerated Valuation Period.*** If we exercise our option to extend the maturity of any series of ETNs (as described below), the Final Valuation Date for such series of ETNs will be the third scheduled Business Day prior to the scheduled Maturity Date, as extended.
|
|
|
Maturity Date:
|
The scheduled Maturity Date for each series of ETNs is initially February 9, 2032, but may be extended for any series of ETNs at our option for up to two additional five-year periods. We may only extend the scheduled Maturity Date for any series of ETNs for five years at a time. If we exercise our option to extend the maturity of any series of ETNs, we will notify DTC (the holder of the global note for each series of ETNs) and the trustee at least 45 but not more than 60 calendar days prior to the then scheduled Maturity Date for such series of ETNs. We will provide such notice to DTC and the trustee in respect of each five-year extension of the scheduled Maturity Date that we choose to effect.
|
|
|
Early Redemption:
|
Prior to maturity, you may, subject to certain restrictions described below, offer at least the applicable minimum number of the ETNs to us for redemption on an Early Redemption Date during the term of the ETNs until February 2, 2032 (or, if the maturity of the relevant series of ETNs is extended as described above, five scheduled Business Days prior to the scheduled Maturity Date for such series of ETNs, as extended). If you elect to offer the 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. Any payment on the ETNs is subject to our ability to pay our obligations as they become due.
You must offer for redemption at least 25,000 ETNs of any one series, or an integral multiple of 25,000 ETNs of such series in excess thereof, at one time in order to exercise your right to cause us to redeem the ETNs on any Early Redemption Date (the “
Minimum Redemption Amount
”), except 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.
|
|
|
Early Redemption Mechanics:
|
You may exercise your early redemption right by causing your broker or other person with whom you hold the 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 for the applicable series of ETNs will be the applicable “
Early Redemption Valuation Date
” for such series of ETNs. Otherwise, the second following Index Business Day for such series of ETNs will be the applicable Early Redemption Valuation Date. See “Specific Terms of the ETNs—Redemption Procedures” in this pricing supplement.
|
|
|
Early Redemption Date:
|
The third Business Day following an Early Redemption Valuation Date.***
|
|
|
Early Redemption Amount:
|
A cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing Indicative Value for such series of ETNs on the Early Redemption Valuation Date
minus
(2) the Early Redemption Charge.
|
|
|
Early Redemption Charge:
|
The Early Redemption Charge for any series of ETNs will equal 0.05%
times
the Closing Indicative Value for such series of ETNs on the Early Redemption Valuation Date.
|
|
Acceleration at Our Option or Upon Acceleration Event:
|
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 per ETN in an amount (the “
Accelerated Redemption Amount
”) equal to the arithmetic average of the Closing Indicative Values for such series of ETNs during the Accelerated Valuation Period. Any payment on the ETNs is subject to our ability to pay our obligations as they become due.
In the case of an Optional Acceleration of the ETNs of any series, the “
Accelerated Valuation Period
” shall be a period of five consecutive Index Business Days for such series of ETNs specified in our notice of Optional Acceleration, the first Index Business Day of which shall be at least two Business Days after the date on which we give you notice of such Optional Acceleration. In the case of an Event Acceleration of the ETNs of any series, the “
Accelerated Valuation Period
” shall be a period of five consecutive Index Business Days for such series of ETNs, the first Index Business Day of which shall be the day on which we give notice of such Event Acceleration (or, if such day is not an Index Business Day for such series of ETNs, the next following Index Business Day for such series of ETNs). The Accelerated Redemption Amount will be payable on the third Business Day following the last such Index Business Day in the Accelerated Valuation Period (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.
If an Acceleration Event occurs at any time with respect to any series of the ETNs (other than an Acceleration Event that obligates us to accelerate all of the outstanding ETNs of such series) and we do not exercise our right to effect an Event Acceleration of the ETNs of such series, and the Index Sponsor or anyone else publishes an index that we determine is comparable to the applicable Index (the “
Substitute Index
”), then the Calculation Agents may elect, in their sole discretion, to permanently replace the original applicable Index with the Substitute Index for all purposes under such series of ETNs, and all provisions described in this pricing supplement as applying to the applicable Index will thereafter apply to the Substitute Index instead. If the Calculation Agents elect to replace the original Index for any series of ETNs with a Substitute Index, then the Calculation Agents will determine the Early Redemption Amount, Accelerated Redemption Amount or Maturity Redemption Amount, as applicable, for such series of ETNs by reference to the Substitute Index.
If the Calculation Agents so elect to replace the original applicable Index with a Substitute Index, the Calculation Agents will, within 10 Index Business Days for the applicable series of ETNs of the occurrence of such Acceleration Event, notify you of the Substitute Index through customary channels used to deliver notices to the holders of exchange traded notes. See “Specific Terms of the ETNs—Discontinuation or Modification of an Index”
in this pricing supplement.
|
|
|
Acceleration Event:
|
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 our obligations in connection with the ETNs, including, but not limited to, if the Intraday Indicative Value for any series of ETNs is equal to or less than 15% of the prior day’s Closing Indicative Value for such series of ETNs.
|
|
|
Business Day:
|
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.
|
|
|
Index Business Day:
|
An Index Business Day for any series of ETNs is a day on which (i) trading is generally conducted on the primary exchange on which futures contracts included in the applicable Index for such series of ETNs are traded, as determined by the Calculation Agents, which is initially (a) the IntercontinentalExchange (“
ICE
”), in the case of the S&P GSCI
®
Brent Crude Index ER or (b) the New York Mercantile Exchange, Inc. (“
NYMEX
”), in the case of the S&P GSCI
®
Crude Oil Index ER or the S&P GSCI
®
Natural Gas Index ER (the “
Primary Exchange
”), (ii) the applicable Index for such series of ETNs is published by S&P and (iii) trading is generally conducted on NYSE Arca, in each case as determined by VIC, as one of the Calculation Agents.
|
|
|
Calculation Agents:
|
CSI and VIC. See “Specific Terms of the ETNs—Role of Calculation Agents” in this pricing supplement.
|
|
SUMMARY
|
PS-1
|
|
HYPOTHETICAL EXAMPLES
|
PS-15
|
|
RISK FACTORS
|
PS-17
|
|
THE INDICES
|
PS-38
|
|
DESCRIPTION OF THE ETNs
|
PS-48
|
|
SPECIFIC TERMS OF THE ETNs
|
PS-51
|
|
CLEARANCE AND SETTLEMENT
|
PS-61
|
|
SUPPLEMENTAL USE OF PROCEEDS AND HEDGING
|
PS-61
|
|
MATERIAL UNITED STATES FEDERAL INCOME TAX CONSIDERATIONS
|
PS-62
|
|
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
|
PS-67
|
|
BENEFIT PLAN INVESTOR CONSIDERATIONS
|
PS-69
|
|
LEGAL MATTERS
|
PS-70
|
|
ANNEX A
|
A-1
|
|
ANNEX B
|
B-1
|
|
|
·
|
Prospectus supplement dated March 23, 2012 and Prospectus dated March 23, 2012
|
|
ETNs
|
Underlying Index
|
Underlying Index Ticker
|
|
3x Long Brent Crude ETNs,
3x Inverse Brent Crude ETNs
|
S&P GSCI
®
Brent Crude Index ER
|
SPGSBRP
|
|
3x Long Crude Oil ETNs
3x Inverse Crude Oil ETNs
|
S&P GSCI
®
Crude Oil Index ER
|
SPGSCLP
|
|
3x Long Natural Gas ETNs
3x Inverse Natural Gas ETNs
|
S&P GSCI
®
Natural Gas Index ER
|
SPGSNGP
|
|
3x Long Brent Crude ETNs:
|
3
|
|
3x Long Crude Oil ETNs:
|
3
|
|
3x Long Natural Gas ETNs:
|
3
|
|
3x Inverse Brent Crude ETNs:
|
-3
|
|
3x Inverse Crude Oil ETNs:
|
-3
|
|
3x Inverse Natural Gas ETNs:
|
-3
|
|
3x Long Brent Crude ETNs:
|
1.35%
|
|
3x Long Crude Oil ETNs:
|
1.35%
|
|
3x Long Natural Gas ETNs:
|
1.65%
|
|
3x Inverse Brent Crude ETNs:
|
1.35%
|
|
3x Inverse Crude Oil ETNs:
|
1.35%
|
|
3x Inverse Natural Gas ETNs:
|
1.65%
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Index
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Bloomberg Page Ticker
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S&P GSCI
®
Brent Crude Index ER
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SPGSBRP
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S&P GSCI
®
Crude Oil Index ER
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SPGSCLP
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S&P GSCI
®
Natural Gas Index ER
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SPGSNGP
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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 for the applicable series of ETNs will be the applicable “
Early Redemption Valuation Date
” for such series of ETNs. Otherwise, the second following Index Business Day for such series of ETNs 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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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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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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Uncertain Principal Repayment
—The ETNs are designed for investors who seek leveraged long or leveraged inverse exposure, as applicable, to the applicable Index. The ETNs do not guarantee any return of principal. 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 Index, plus a Daily Accrual and less a Daily Investor Fee. If the applicable Index declines, in the case of Leveraged Long ETNs or increases, in the case of Leveraged Inverse ETNs, 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.
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Credit Risk of the Issuer
—Any payments you are entitled to receive on the ETNs are subject to the ability of Credit Suisse to pay its obligations as they become due.
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Long Holding Period Risk
—The ETNs are intended to be daily trading tools for sophisticated investors and are designed to reflect a leveraged long or leveraged inverse exposure, as applicable, to the performance of the applicable Index on a daily basis, but their returns over different periods of time can, and most likely will, differ significantly from two times or three times, as applicable, the return on
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Concentration Risk
—The ETNs reflect a leveraged long or leveraged inverse position, as applicable, in the applicable Index, each of which comprises futures contracts on a single commodity, and thus are much less diversified than other investments and, therefore, could experience greater volatility. You will not benefit, with respect to the ETNs, from any of the advantages of a diversified investment and will bear the risks of a highly concentrated investment.
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Potentially High and Unpredictable Volatility in the Prices of Brent Crude Oil, WTI Crude Oil and Natural Gas—
The return on each series of ETNs is linked to the performance of the applicable Index, which in turn is linked to the performance of futures contracts on Brent crude oil, WTI crude oil or natural gas. Brent crude oil, WTI crude oil and natural gas prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. These factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional fixed-income and equity securities and may create additional investment risks that cause the value of the ETNs to be more volatile than the values of traditional securities. These and other factors may affect the levels of the Indices, and thus the value of the ETNs, in unpredictable or unanticipated ways. The potential for high volatility and the cyclical nature of commodity markets may render an investment in the ETNs inappropriate as the focus of an investment portfolio.
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You Will Not Have Any Rights in Any Physical Commodities, or Any Rights in the Commodity Futures Contracts Included in the Applicable Index
—As an owner of the ETNs, you will not have rights that holders of Brent crude oil, WTI crude oil or natural gas, as applicable, or the commodity futures contracts included in the applicable Index may have. The ETNs will be paid in cash, and you will have no right to receive delivery of any components of the applicable Index. You will have no right to receive any payment or delivery of amounts in respect of the futures contracts included in the applicable Index.
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No Direct Exposure to the Spot Price of Brent Crude Oil, WTI Crude Oil or Natural Gas
—Each Index is linked to commodity futures contracts, not physical commodities (or their spot prices). The price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price of a commodity reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected future price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term of the futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply and demand for the commodity. The price movements of a futures contract are typically correlated with the movements of the spot price of the referenced commodity, but the correlation is generally imperfect and price movements in the spot market may not be reflected in the futures market (and vice versa). Accordingly, the ETNs may underperform a similar investment that is linked to the spot price of Brent crude oil, WTI crude oil or natural gas, as applicable.
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No Interest Payments
—You will not receive any periodic interest payments on the ETNs.
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Uncertain Trading Market for the ETNs
—Although we have listed each series of ETNs on NYSE Arca, a trading market for the ETNs may not continue for the term of the ETNs. We are not required to maintain any listing of the ETNs on NYSE Arca or any other exchange or quotation system.
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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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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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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 financial 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 United States federal income tax consequences of an investment in the ETNs, including possible alternative treatments.
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Acceleration Feature
—The 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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You seek an investment with a return linked on a leveraged long or leveraged inverse basis, as applicable, to the performance of the applicable Index.
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You are willing to accept the risk of fluctuations in the price of Brent crude oil, WTI crude oil or natural gas futures, as applicable, in general and in the level of the applicable Index in particular.
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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 the applicable Index and of seeking daily compounding leveraged long or leveraged inverse investment results, as applicable.
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You are willing to actively and frequently monitor your investment in the ETNs.
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You believe the level of the applicable Index will increase (if you invest in the Leveraged Long ETNs) or decline (if you invest in the Leveraged Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fee (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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You do not seek current income from this investment.
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You do not seek a certain return of principal.
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You are a sophisticated investor and you understand that the ETNs are designed to achieve their stated investment objectives on a daily basis, but their performance over different periods of time can differ significantly from their stated daily objectives.
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You understand that the Daily Investor Fee and the Early Redemption Charge, if applicable, will reduce your return (or increase your loss, as applicable) on your investment.
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You are not willing to be exposed to fluctuations in the price of Brent crude oil, WTI crude oil or natural gas futures, as applicable, in general and in the level of the applicable Index in particular.
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You seek a guaranteed return of principal.
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You seek an investment with a longer investment objective than one day.
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You are not willing to actively and frequently monitor your investment in the ETNs.
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You believe the level of the applicable Index will decrease (if you invest in the Leveraged Long ETNs) or increase (if you invest in the Leveraged Inverse ETNs) or will not increase (if you invest in the Leveraged Long ETNs) or decrease (if you invest in the Leveraged Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fee (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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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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You seek current income from your investment.
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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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You do not want to pay Daily Investor Fee and the Early Redemption Charge, if applicable, which are charged on the ETNs and that will reduce your return (or increase your loss, as applicable) on your investment.
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for the 3x Long Brent Crude ETNs, −10.36%;
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for the 3x Long Crude Oil ETNs, −15.15%;
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for the
3x Long Natural Gas ETNs, −56.79%;
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for the 3x Inverse Brent Crude ETNs, −24.79%
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for the 3x Inverse Crude Oil ETNs, −31.12%.
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for the 3x Inverse Natural Gas ETNs, −50.30%
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You are not willing to be exposed to fluctuations in the price of Brent crude oil, WTI crude oil or natural gas futures, as applicable, in general and in the level of the applicable Index in particular.
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You seek a certain return of principal.
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You seek an investment with a longer investment objective than one day.
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You are not willing to actively and frequently monitor your investment in the ETNs.
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You believe the level of the applicable Index will decrease (if you invest in the Leveraged Long ETNs) or increase (if you invest in the Leveraged Inverse ETNs) or will not increase (if you invest in the Leveraged Long ETNs) or decrease (if you invest in the Leveraged Inverse ETNs) by an amount, and at a time or times, sufficient to offset the sum of the Daily Investor Fee (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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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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You seek current income from your investment.
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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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You do not want to pay the Daily Investor Fee and the Early Redemption Charge, if applicable, which are charged on the ETNs and that will reduce your return (or increase your loss, as applicable) on your investment.
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the level of the applicable Index at any time,
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the volatility of any option or futures contracts relating to the applicable Index or the futures contracts included in the applicable Index,
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the liquidity of any option or futures contracts relating to the applicable Index or the futures contracts included in the applicable Index,
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economic, financial, regulatory, political, judicial, military and other events that affect commodities markets generally, the applicable Index or the relevant futures contracts included in the applicable Index,
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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 obligation to issue additional ETNs to increase the supply),
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global supply and demand for Brent crude oil, WTI crude oil or natural gas, as applicable, which is influenced by such factors as forward selling by Brent crude oil, WTI crude oil or natural gas producers, as applicable, purchases made by Brent crude oil, WTI crude oil or natural gas producers, as applicable, to unwind Brent crude oil, WTI crude oil or natural gas, as applicable, hedge positions, central bank purchases and sales of Brent crude oil, WTI crude oil or natural gas, as applicable, and production and cost levels in major Brent crude oil-, WTI crude oil- or natural gas- producing countries, as applicable,
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interest and yield rates and rate spreads in the markets,
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the time remaining until the ETNs mature, and
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the actual or perceived creditworthiness of Credit Suisse.
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A:
Index level
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B:
% change in Index
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C:
hypothetical price of 3x Inverse Brent Crude ETNs, 3x Inverse Crude Oil ETNs or 3x Inverse Natural Gas ETNs
C=$50*(1-3*B)
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D:
Hypothetical notional exposure of 3x Inverse Brent Crude ETNs, 3x Inverse Crude Oil ETNs or 3x Inverse Natural Gas ETNs
D=$50*(1+B)*-3
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E:
Effective leverage amount of 3x Inverse Brent Crude ETNs, 3x Inverse Crude Oil ETNs or 3x Inverse Natural Gas ETNs
E=D/C
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F:
Hypothetical price of 3x Long Brent Crude ETNs, 3x Long Crude Oil ETNs or 3x Long Natural Gas ETNs
E=$50*(1+3*B)
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G:
Hypothetical notional exposure of 3x Long Brent Crude ETNs, 3x Long Crude Oil ETNs or 3x Long Natural Gas ETNs
G=$50*(1+B)*3
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E:
Effective leverage amount of 3x Long Brent Crude ETNs, 3x Long Crude Oil ETNs or 3x Long Natural Gas ETNs
E=G/F
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120.00
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20%
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$20.00
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-$180.00
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-9.00
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$80.00
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$180.00
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2.25
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|||||||
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115.00
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15%
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$27.50
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-$172.50
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-6.27
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$72.50
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$172.50
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2.38
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|||||||
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110.00
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10%
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$35.00
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-$165.00
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-4.71
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$65.00
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$165.00
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2.54
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|||||||
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105.00
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5%
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$42.50
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-$157.50
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-3.71
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$57.50
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$157.50
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2.74
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|||||||
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104.00
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4%
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$44.00
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-$156.00
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-3.55
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$56.00
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$156.00
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2.79
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|||||||
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103.00
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3%
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$45.50
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-$154.50
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-3.40
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$54.50
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$154.50
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2.83
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|||||||
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102.00
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2%
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$47.00
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-$153.00
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-3.26
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$53.00
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$153.00
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2.89
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|||||||
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101.00
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1%
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$48.50
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-$151.50
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-3.12
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$51.50
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$151.50
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2.94
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100.00
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0%
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$50.00
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-$150.00
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-3.00
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$50.00
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$150.00
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3.00
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|||||||
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99.00
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-1%
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$51.50
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-$148.50
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-2.88
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$48.50
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$148.50
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3.06
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|||||||
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98.00
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-2%
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$53.00
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-$147.00
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-2.77
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$47.00
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$147.00
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3.13
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|||||||
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97.00
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-3%
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$54.50
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-$145.50
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-2.67
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$45.50
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$145.50
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3.20
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|||||||
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96.00
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-4%
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$56.00
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-$144.00
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-2.57
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$44.00
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$144.00
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3.27
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|||||||
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95.00
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-5%
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$57.50
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-$142.50
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-2.48
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$42.50
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$142.50
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3.35
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|||||||
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85.00
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-15%
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$72.50
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-$127.50
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-1.76
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$27.50
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$127.50
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4.64
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|||||||
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80.00
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-20%
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$80.00
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-$120.00
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-1.50
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$20.00
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$120.00
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6.00
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% change in the level of the applicable Index
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Effective Leverage Amount for 3x Inverse Brent Crude ETNs, 3x Inverse Crude Oil ETNs and 3x Inverse Natural Gas ETNs
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Effective Leverage Amount for 3x Long Brent Crude ETNs, 3x Long Crude Oil ETNs and 3x Long Natural Gas ETNs
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20%
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-9
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2.25
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15%
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-6.27
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2.38
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10%
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-4.71
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2.54
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5%
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-3.71
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2.74
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4%
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-3.55
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2.79
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3%
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-3.4
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2.83
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2%
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-3.26
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2.89
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1%
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-3.12
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2.94
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0%
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-3
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3
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-1%
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-2.88
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3.06
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-2%
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-2.77
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3.13
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||
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-3%
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-2.67
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3.2
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-4%
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-2.57
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3.27
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||
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-5%
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-2.48
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3.35
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-15%
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-1.76
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4.64
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-20%
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-1.5
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6
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·
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The contract must be in respect of a physical commodity and not a financial commodity.
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In addition, the contract must:
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o
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have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and
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o
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at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement.
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is denominated in U.S. dollars; and
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is traded on or through an exchange, facility or other platform (referred to as a “trading facility”) that has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and Development during the relevant annual calculation period or interim calculation period and that:
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makes price quotations generally available to its members or participants (and to S&P) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;
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makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations;
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accepts bids and offers from multiple participants or price providers; and
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is accessible by a sufficiently broad range of participants.
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A contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity that is not represented in the S&P GSCI at such time must, in order to be added to the S&P GSCI at such time, have an annualized total dollar value traded over the relevant period of at least U.S. $15 billion. The annualized total dollar value traded is equal to the total annualized quantity traded in the relevant contract over the period for which the calculation is made, expressed in physical units, multiplied by the average of the daily contract reference prices on the last day of each month during such period.
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A contract that is already included in the S&P GSCI at the time of determination and that is the only contract on the relevant commodity included in the S&P GSCI must, in order to continue to be included in the S&P GSCI after such time, have an annualized total dollar value traded over the relevant period of at least U.S. $5 billion and at least U.S. $10 billion during at least one of the three most recent annual periods used in making the determination.
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A contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI at such time must, in order to be added to the S&P GSCI at such time, have an annualized total dollar value traded over the relevant period of at least U.S. $30 billion.
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A contract that is already included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI at such time
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A contract that is already included in the S&P GSCI at the time of determination must, in order to continue to be included after such time, have a reference percentage dollar weight of at least 0.10%. The reference percentage dollar weight is determined by dividing the reference dollar weight of such contract by the sum of the reference dollar weights of all designated contracts. The reference dollar weight of a contract is determined by multiplying the CPW (defined above) of a contract by the average of its daily contract reference prices on the last day of each month during the relevant period. These reference percentage dollar weight amounts are summed for all contracts included in the S&P GSCI and each contract’s percentage of the total is then determined.
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A contract that is not included in the S&P GSCI at the time of determination must, in order to be added to the S&P GSCI at such time, have a reference percentage dollar weight of at least 1.0%.
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In the event that two or more contracts on the same commodity satisfy the eligibility criteria, such contracts will be included in the S&P GSCI in the order of their respective total quantity traded during the relevant period (determined as the total quantity of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first, except that no further contracts will be included if such inclusion would result in the portion of the S&P GSCI attributable to such commodity exceeding a particular level.
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If additional contracts could be included with respect to several commodities at the same time, that procedure is first applied with respect to the commodity that has the smallest portion of the S&P GSCI attributable to it at the time of determination. Subject to the other eligibility criteria relating to the composition of the S&P GSCI, the contract with the highest total quantity traded on such commodity will be included. Before any additional contracts on the same commodity or on any other commodity are included, the portion of the S&P GSCI attributable to all commodities is recalculated. The selection procedure described above is then repeated with respect to the contracts on the commodity that then has the smallest portion of the S&P GSCI attributable to it.
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the “daily contract reference price” (as discussed below),
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multiplied by the appropriate CPWs, and
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during a roll period, the appropriate “roll weights” (as discussed below).
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no daily contract reference price is available for a given contract expiration;
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any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a “Limit Price”);
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the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 p.m., New York City time—in that event, S&P may, but is not required to, determine a daily contract reference price and complete the relevant portion of the roll based on such price; except that if the trading facility publishes a price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or
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trading in the relevant contract terminates prior to its scheduled closing time.
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ETNs
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Indicative Value Ticker
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3x Long Brent Crude ETNs
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UOIL.IV
|
|
3x Long Crude Oil ETNs
|
UWTI.IV
|
|
3x Long Natural Gas ETNs
|
UGAZ.IV
|
|
3x Inverse Brent Crude ETNs
|
DOIL.IV
|
|
3x Inverse Crude Oil ETNs
|
DWTI.IV
|
|
3x Inverse Natural Gas ETNs
|
DGAZ.IV
|
|
3x Long Brent Crude ETNs:
|
3
|
|
3x Long Crude Oil ETNs:
|
3
|
|
3x Long Natural Gas ETNs:
|
3
|
|
3x Inverse Brent Crude ETNs:
|
-3
|
|
3x Inverse Crude Oil ETNs:
|
-3
|
|
3x Inverse Natural Gas ETNs:
|
-3
|
|
3x Long Brent Crude ETNs:
|
1.35%
|
|
3x Long Crude Oil ETNs:
|
1.35%
|
|
3x Long Natural Gas ETNs:
|
1.65%
|
|
3x Inverse Brent Crude ETNs:
|
1.35%
|
|
3x Inverse Crude Oil ETNs:
|
1.35%
|
|
3x Inverse Natural Gas ETNs:
|
1.65%
|
|
Index
|
Bloomberg Page Ticker
|
|
S&P GSCI
®
Brent Crude Index ER
|
SPGSBRP
|
|
S&P GSCI
®
Crude Oil Index ER
|
SPGSCLP
|
|
S&P GSCI
®
Natural Gas Index ER
|
SPGSNGP
|
|
|
·
|
Deliver a notice of redemption, in substantially the form of 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 for the applicable series of ETNs will be the applicable “
Early Redemption Valuation Date
” for such series of ETNs. Otherwise, the second following Index Business Day for such series of ETNs 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), or any jurisdiction in which a Primary Exchange or Related Exchange (each as defined herein) is located that (i) makes it illegal for CSI to hold, acquire or dispose of the futures contracts included in the applicable Index or options, futures, swaps or other derivatives on the applicable Index or the futures contracts included in the applicable Index (including but not limited to exchange-imposed position limits), (ii) materially increases 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) has a material adverse effect on any of these parties’ ability to perform their obligations in connection with the ETNs or (iv) materially affects our ability to issue or transact in exchange traded notes similar to the ETNs, each as determined by us or CSI, as one of 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 for CSI to hold, acquire or dispose of the futures contracts included in the applicable Index or options, futures, swaps or other derivatives on the applicable Index or the futures contracts included in the applicable Index (including but not limited to exchange-imposed position limits), (ii) materially increases 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) has a material adverse effect on the ability of the Issuer, our affiliates, third parties with whom we transact or a similarly situated third party to perform our or their obligations in connection with the ETNs or (iv) materially affects our ability to issue or transact in exchange traded notes similar to the ETNs, each as determined by us or CSI, as one of the Calculation Agents;
|
|
|
(c)
|
any event that occurs on or after the Inception Date that makes it a violation of any law, regulation or rule of the United States (or any political subdivision thereof), or any jurisdiction in which a Primary Exchange or Related Exchange (each as defined herein) is located, or of any official administrative decision, judicial decision, administrative action, regulatory interpretation or other official pronouncement interpreting or applying those laws, regulations or rules, (i) for CSI to hold, acquire or dispose of the futures contracts included in the applicable Index or options, futures, swaps or other derivatives on the applicable Index or the futures contracts included in the applicable Index (including but not limited to exchange-imposed position limits), (ii) for the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties to perform our or their obligations in connection with the ETNs or (iii) for us to issue or transact in exchange traded notes similar to the ETNs, each as determined by us or CSI, as one of the Calculation Agents;
|
|
|
(d)
|
any event, as determined by us or CSI, as one of 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;
|
|
|
(e)
|
if at any point, the Intraday Indicative Value for any series of ETNs is equal to or less than fifteen percent (15%) of the prior day’s Closing Indicative Value for such series of ETNs;
|
|
|
(f)
|
as determined by CSI, as one of the Calculation Agents, 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;
|
|
|
(g)
|
any of the initial Calculation Agents ceases to be a Calculation Agent hereunder; or
|
|
|
(h)
|
VLS or VIC 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 (Conflicts of Interest)” in this pricing supplement for further information.
|
|
|
·
|
a termination or suspension of, or a material limitation or disruption in trading in, any futures contract included in, or option contract related to, the applicable Index, or any such futures contract included in, or option contract related to, any component of the applicable Index (or the applicable Successor Index or Substitute Index, as defined below) (an “
index component
”) that prevents the relevant exchange on which such index component is traded from establishing an official settlement price for such index component as of the regularly scheduled time;
|
|
|
·
|
the settlement price for any index component being a “
limit price
,” which means that the settlement price for such index component for a day has increased or decreased from the previous day’s settlement price by the maximum amount permitted under applicable exchange rules;
|
|
|
·
|
failure by the applicable exchange or other price source to announce or publish the settlement price for any futures contract included in, or option contract related to, the applicable Index, or any such futures contract included in, or option contract related to, any component of the applicable Index;
|
|
|
·
|
failure of the sponsor of the applicable Index (or the applicable Successor Index or Substitute Index, as defined below) to publish the level of the applicable Index (or the applicable Successor Index or Substitute Index), subject to certain adjustments described below under “—Discontinuation or Modification of an Index” in this pricing supplement;
|
|
|
·
|
the occurrence since the Inception Date of a material change in the content, composition, or constitution of the applicable Index; and
|
|
|
·
|
the occurrence since the Inception Date of a material change in the formula for or the method of calculating the value of the applicable Index.
|
|
|
·
|
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.
|
|
·
|
$1,539,700 in stated principal amount of the 3x Long Brent Crude ETNs (30,794 3x Long Brent Crude ETNs).
|
|
·
|
$2,030,350 in stated principal amount of the 3x Long Crude Oil ETNs (40,607 3x Long Crude Oil ETNs).
|
|
·
|
$418,750,000 in stated principal amount of the 3x Long Natural Gas ETNs (8,375,000 3x Long Natural Gas ETNs).
|
|
·
|
$1,250,000 in stated principal amount of the 3x Inverse Brent Crude ETNs (25,000 3x Inverse Brent Crude ETNs).
|
|
·
|
$17,020,200 in stated principal amount of the 3x Inverse Crude Oil ETNs (340,404 3x Inverse Crude Oil ETNs).
|
|
·
|
$60,750,000 in stated principal amount of the 3x Inverse Natural Gas ETNs (1,215,000 3x Inverse Natural Gas ETNs).
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
34.52%
|
$1.77
|
$132.72
|
9.74%
|
32.72%
|
|
02
|
104.37
|
5.48%
|
-4.89%
|
-12.18%
|
$1.72
|
$114.99
|
-4.89%
|
-13.36%
|
|
03
|
122.23
|
5.63%
|
17.11%
|
69.90%
|
$1.95
|
$186.24
|
17.11%
|
61.95%
|
|
04
|
138.52
|
4.80%
|
13.32%
|
48.96%
|
$2.70
|
$272.23
|
13.32%
|
46.17%
|
|
05
|
155.58
|
4.57%
|
12.32%
|
44.00%
|
$4.17
|
$386.71
|
12.32%
|
42.05%
|
|
06
|
189.37
|
4.77%
|
21.72%
|
90.38%
|
$6.44
|
$699.76
|
21.72%
|
80.95%
|
|
07
|
253.09
|
5.50%
|
33.64%
|
157.23%
|
$14.20
|
$1,689.57
|
33.64%
|
141.45%
|
|
08
|
280.79
|
5.02%
|
10.95%
|
37.46%
|
$25.40
|
$2,313.65
|
10.95%
|
36.94%
|
|
09
|
270.35
|
5.06%
|
-3.72%
|
-9.15%
|
$27.29
|
$2,073.78
|
-3.72%
|
-10.37%
|
|
10
|
295.24
|
5.60%
|
9.21%
|
29.79%
|
$36.82
|
$2,715.82
|
9.21%
|
30.96%
|
|
11
|
304.69
|
5.62%
|
3.20%
|
14.67%
|
$33.14
|
$3,005.05
|
3.20%
|
10.65%
|
|
12
|
331.19
|
5.40%
|
8.70%
|
37.86%
|
$47.19
|
$3,896.65
|
8.70%
|
29.67%
|
|
13
|
317.61
|
4.50%
|
-4.10%
|
-10.33%
|
$58.48
|
$3,434.62
|
-4.10%
|
-11.86%
|
|
14
|
387.27
|
4.73%
|
21.93%
|
91.20%
|
$57.23
|
$6,234.54
|
21.93%
|
81.52%
|
|
15
|
491.85
|
4.98%
|
27.00%
|
114.95%
|
$123.28
|
$12,833.03
|
27.00%
|
105.84%
|
|
16
|
514.06
|
4.68%
|
4.52%
|
18.37%
|
$200.31
|
$14,627.27
|
4.52%
|
13.98%
|
|
17
|
471.37
|
4.42%
|
-8.30%
|
-20.02%
|
$169.12
|
$11,281.99
|
-8.30%
|
-22.87%
|
|
18
|
448.43
|
4.53%
|
-4.87%
|
-12.02%
|
$140.24
|
$9,666.49
|
-4.87%
|
-14.32%
|
|
19
|
499.34
|
5.07%
|
11.35%
|
39.27%
|
$135.93
|
$13,418.76
|
11.35%
|
38.82%
|
|
20
|
577.98
|
4.61%
|
15.75%
|
55.96%
|
$229.67
|
$20,916.08
|
15.75%
|
55.87%
|
|
Total Return
|
477.98%
|
20816.08%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
34.52%
|
$2.16
|
$132.33
|
9.74%
|
32.33%
|
|
02
|
104.37
|
5.48%
|
-4.89%
|
-12.18%
|
$2.09
|
$114.31
|
-4.89%
|
-13.62%
|
|
03
|
122.23
|
5.63%
|
17.11%
|
69.90%
|
$2.36
|
$184.57
|
17.11%
|
61.47%
|
|
04
|
138.52
|
4.80%
|
13.32%
|
48.96%
|
$3.27
|
$268.98
|
13.32%
|
45.73%
|
|
05
|
155.58
|
4.57%
|
12.32%
|
44.00%
|
$5.03
|
$380.94
|
12.32%
|
41.63%
|
|
06
|
189.37
|
4.77%
|
21.72%
|
90.38%
|
$7.74
|
$687.27
|
21.72%
|
80.41%
|
|
07
|
253.09
|
5.50%
|
33.64%
|
157.23%
|
$17.02
|
$1,654.46
|
33.64%
|
140.73%
|
|
08
|
280.79
|
5.02%
|
10.95%
|
37.46%
|
$30.36
|
$2,258.78
|
10.95%
|
36.53%
|
|
09
|
270.35
|
5.06%
|
-3.72%
|
-9.15%
|
$32.52
|
$2,018.52
|
-3.72%
|
-10.64%
|
|
10
|
295.24
|
5.60%
|
9.21%
|
29.79%
|
$43.74
|
$2,635.52
|
9.21%
|
30.57%
|
|
11
|
304.69
|
5.62%
|
3.20%
|
14.67%
|
$39.25
|
$2,907.42
|
3.20%
|
10.32%
|
|
12
|
331.19
|
5.40%
|
8.70%
|
37.86%
|
$55.71
|
$3,758.79
|
8.70%
|
29.28%
|
|
13
|
317.61
|
4.50%
|
-4.10%
|
-10.33%
|
$68.85
|
$3,303.18
|
-4.10%
|
-12.12%
|
|
14
|
387.27
|
4.73%
|
21.93%
|
91.20%
|
$67.16
|
$5,978.00
|
21.93%
|
80.98%
|
|
15
|
491.85
|
4.98%
|
27.00%
|
114.95%
|
$144.24
|
$12,268.10
|
27.00%
|
105.22%
|
|
16
|
514.06
|
4.68%
|
4.52%
|
18.37%
|
$233.67
|
$13,941.47
|
4.52%
|
13.64%
|
|
17
|
471.37
|
4.42%
|
-8.30%
|
-20.02%
|
$196.73
|
$10,720.64
|
-8.30%
|
-23.10%
|
|
18
|
448.43
|
4.53%
|
-4.87%
|
-12.02%
|
$162.64
|
$9,158.08
|
-4.87%
|
-14.58%
|
|
19
|
499.34
|
5.07%
|
11.35%
|
39.27%
|
$157.15
|
$12,674.91
|
11.35%
|
38.40%
|
|
20
|
577.98
|
4.61%
|
15.75%
|
55.96%
|
$264.71
|
$19,697.45
|
15.75%
|
55.41%
|
|
Total Return
|
477.98%
|
19597.45%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-25.45%
|
$1.02
|
$73.56
|
9.74%
|
-26.44%
|
|
02
|
104.37
|
5.48%
|
-4.89%
|
14.78%
|
$1.03
|
$83.22
|
-4.89%
|
13.14%
|
|
03
|
122.23
|
5.63%
|
17.11%
|
-40.70%
|
$0.94
|
$50.44
|
17.11%
|
-39.40%
|
|
04
|
138.52
|
4.80%
|
13.32%
|
-32.48%
|
$0.63
|
$33.77
|
13.32%
|
-33.04%
|
|
05
|
155.58
|
4.57%
|
12.32%
|
-30.40%
|
$0.41
|
$23.19
|
12.32%
|
-31.34%
|
|
06
|
189.37
|
4.77%
|
21.72%
|
-47.31%
|
$0.26
|
$12.51
|
21.72%
|
-46.04%
|
|
07
|
253.09
|
5.50%
|
33.64%
|
-60.38%
|
$0.12
|
$5.14
|
33.64%
|
-58.89%
|
|
08
|
280.79
|
5.02%
|
10.95%
|
-27.30%
|
$0.06
|
$3.65
|
10.95%
|
-29.02%
|
|
09
|
270.35
|
5.06%
|
-3.72%
|
10.46%
|
$0.06
|
$3.98
|
-3.72%
|
8.97%
|
|
10
|
295.24
|
5.60%
|
9.21%
|
-22.92%
|
$0.04
|
$2.96
|
9.21%
|
-25.63%
|
|
11
|
304.69
|
5.62%
|
3.20%
|
-12.42%
|
$0.04
|
$2.61
|
3.20%
|
-11.65%
|
|
12
|
331.19
|
5.40%
|
8.70%
|
-26.34%
|
$0.03
|
$1.99
|
8.70%
|
-23.78%
|
|
13
|
317.61
|
4.50%
|
-4.10%
|
10.91%
|
$0.02
|
$2.19
|
-4.10%
|
9.74%
|
|
14
|
387.27
|
4.73%
|
21.93%
|
-47.92%
|
$0.02
|
$1.17
|
21.93%
|
-46.53%
|
|
15
|
491.85
|
4.98%
|
27.00%
|
-53.29%
|
$0.01
|
$0.56
|
27.00%
|
-52.49%
|
|
16
|
514.06
|
4.68%
|
4.52%
|
-16.48%
|
$0.01
|
$0.47
|
4.52%
|
-15.54%
|
|
17
|
471.37
|
4.42%
|
-8.30%
|
24.76%
|
$0.01
|
$0.59
|
-8.30%
|
25.94%
|
|
18
|
448.43
|
4.53%
|
-4.87%
|
11.43%
|
$0.01
|
$0.66
|
-4.87%
|
11.41%
|
|
19
|
499.34
|
5.07%
|
11.35%
|
-27.72%
|
$0.01
|
$0.46
|
11.35%
|
-29.46%
|
|
20
|
577.98
|
4.61%
|
15.75%
|
-35.23%
|
$0.01
|
$0.29
|
15.75%
|
-36.93%
|
|
Total Return
|
477.98%
|
-99.71%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-25.45%
|
$1.25
|
$73.34
|
9.74%
|
-26.66%
|
|
02
|
104.37
|
5.48%
|
-4.89%
|
14.78%
|
$1.25
|
$82.73
|
-4.89%
|
12.80%
|
|
03
|
122.23
|
5.63%
|
17.11%
|
-40.70%
|
$1.14
|
$49.99
|
17.11%
|
-39.58%
|
|
04
|
138.52
|
4.80%
|
13.32%
|
-32.48%
|
$0.76
|
$33.37
|
13.32%
|
-33.24%
|
|
05
|
155.58
|
4.57%
|
12.32%
|
-30.40%
|
$0.49
|
$22.84
|
12.32%
|
-31.55%
|
|
06
|
189.37
|
4.77%
|
21.72%
|
-47.31%
|
$0.32
|
$12.29
|
21.72%
|
-46.20%
|
|
07
|
253.09
|
5.50%
|
33.64%
|
-60.38%
|
$0.14
|
$5.04
|
33.64%
|
-59.01%
|
|
08
|
280.79
|
5.02%
|
10.95%
|
-27.30%
|
$0.07
|
$3.56
|
10.95%
|
-29.23%
|
|
09
|
270.35
|
5.06%
|
-3.72%
|
10.46%
|
$0.07
|
$3.87
|
-3.72%
|
8.64%
|
|
10
|
295.24
|
5.60%
|
9.21%
|
-22.92%
|
$0.05
|
$2.87
|
9.21%
|
-25.86%
|
|
11
|
304.69
|
5.62%
|
3.20%
|
-12.42%
|
$0.05
|
$2.53
|
3.20%
|
-11.92%
|
|
12
|
331.19
|
5.40%
|
8.70%
|
-26.34%
|
$0.04
|
$1.92
|
8.70%
|
-24.01%
|
|
13
|
317.61
|
4.50%
|
-4.10%
|
10.91%
|
$0.03
|
$2.10
|
-4.10%
|
9.41%
|
|
14
|
387.27
|
4.73%
|
21.93%
|
-47.92%
|
$0.03
|
$1.12
|
21.93%
|
-46.69%
|
|
15
|
491.85
|
4.98%
|
27.00%
|
-53.29%
|
$0.01
|
$0.53
|
27.00%
|
-52.63%
|
|
16
|
514.06
|
4.68%
|
4.52%
|
-16.48%
|
$0.01
|
$0.45
|
4.52%
|
-15.80%
|
|
17
|
471.37
|
4.42%
|
-8.30%
|
24.76%
|
$0.01
|
$0.56
|
-8.30%
|
25.56%
|
|
18
|
448.43
|
4.53%
|
-4.87%
|
11.43%
|
$0.01
|
$0.62
|
-4.87%
|
11.08%
|
|
19
|
499.34
|
5.07%
|
11.35%
|
-27.72%
|
$0.01
|
$0.44
|
11.35%
|
-29.67%
|
|
20
|
577.98
|
4.61%
|
15.75%
|
-35.23%
|
$0.01
|
$0.28
|
15.75%
|
-37.12%
|
|
Total Return
|
477.98%
|
-99.72%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-24.45%
|
$1.12
|
$74.54
|
-9.61%
|
-25.46%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
-36.04%
|
$0.91
|
$47.21
|
-14.05%
|
-36.67%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
40.70%
|
$0.72
|
$66.08
|
12.43%
|
39.99%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
-37.50%
|
$0.65
|
$40.12
|
-14.94%
|
-39.29%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
-5.60%
|
$0.54
|
$37.36
|
-1.98%
|
-6.87%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
-30.43%
|
$0.35
|
$25.19
|
-11.86%
|
-32.59%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
-7.38%
|
$0.32
|
$22.28
|
-3.58%
|
-11.55%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
-33.23%
|
$0.30
|
$14.38
|
-13.18%
|
-35.47%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
0.65%
|
$0.20
|
$14.28
|
0.32%
|
-0.70%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
-33.83%
|
$0.16
|
$9.40
|
-12.71%
|
-34.14%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
-22.14%
|
$0.11
|
$7.12
|
-8.67%
|
-24.32%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
-38.65%
|
$0.08
|
$4.48
|
-14.29%
|
-37.00%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
62.86%
|
$0.08
|
$7.28
|
17.65%
|
62.33%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
-19.47%
|
$0.08
|
$5.85
|
-6.69%
|
-19.56%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
-18.16%
|
$0.07
|
$4.76
|
-6.31%
|
-18.67%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
-12.58%
|
$0.07
|
$4.09
|
-4.67%
|
-14.16%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
-23.73%
|
$0.05
|
$3.02
|
-9.08%
|
-26.01%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
25.05%
|
$0.04
|
$3.86
|
8.96%
|
27.81%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
-37.57%
|
$0.05
|
$2.38
|
-14.54%
|
-38.32%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
21.55%
|
$0.03
|
$2.84
|
6.51%
|
18.97%
|
|
Total Return
|
-67.44%
|
-97.16%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-24.45%
|
$1.37
|
$74.32
|
-9.61%
|
-25.68%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
-36.04%
|
$1.11
|
$46.92
|
-14.05%
|
-36.86%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
40.70%
|
$0.87
|
$65.49
|
12.43%
|
39.57%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
-37.50%
|
$0.79
|
$39.64
|
-14.94%
|
-39.47%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
-5.60%
|
$0.65
|
$36.81
|
-1.98%
|
-7.15%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
-30.43%
|
$0.42
|
$24.74
|
-11.86%
|
-32.79%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
-7.38%
|
$0.38
|
$21.81
|
-3.58%
|
-11.82%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
-33.23%
|
$0.36
|
$14.04
|
-13.18%
|
-35.66%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
0.65%
|
$0.23
|
$13.90
|
0.32%
|
-1.00%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
-33.83%
|
$0.19
|
$9.12
|
-12.71%
|
-34.34%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
-22.14%
|
$0.12
|
$6.88
|
-8.67%
|
-24.54%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
-38.65%
|
$0.10
|
$4.32
|
-14.29%
|
-37.19%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
62.86%
|
$0.10
|
$7.00
|
17.65%
|
61.84%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
-19.47%
|
$0.10
|
$5.61
|
-6.69%
|
-19.80%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
-18.16%
|
$0.08
|
$4.55
|
-6.31%
|
-18.91%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
-12.58%
|
$0.08
|
$3.90
|
-4.67%
|
-14.42%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
-23.73%
|
$0.06
|
$2.87
|
-9.08%
|
-26.23%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
25.05%
|
$0.05
|
$3.66
|
8.96%
|
27.43%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
-37.57%
|
$0.06
|
$2.25
|
-14.54%
|
-38.50%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
21.55%
|
$0.04
|
$2.67
|
6.51%
|
18.61%
|
|
Total Return
|
-67.44%
|
-97.33%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
34.89%
|
$1.63
|
$133.09
|
-9.61%
|
33.09%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
55.07%
|
$2.03
|
$202.73
|
-14.05%
|
52.33%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
-31.37%
|
$2.39
|
$136.11
|
12.43%
|
-32.86%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
55.21%
|
$2.48
|
$211.70
|
-14.94%
|
55.54%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
3.04%
|
$2.87
|
$215.18
|
-1.98%
|
1.65%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
38.27%
|
$4.31
|
$298.81
|
-11.86%
|
38.86%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
4.43%
|
$4.24
|
$318.01
|
-3.58%
|
6.43%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
44.65%
|
$4.38
|
$463.19
|
-13.18%
|
45.65%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
-4.59%
|
$6.03
|
$436.01
|
0.32%
|
-5.87%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
47.25%
|
$7.03
|
$627.80
|
-12.71%
|
43.99%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
26.24%
|
$10.15
|
$793.49
|
-8.67%
|
26.39%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
62.91%
|
$12.72
|
$1,225.19
|
-14.29%
|
54.41%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
-39.16%
|
$12.48
|
$727.49
|
17.65%
|
-40.62%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
21.17%
|
$11.50
|
$858.91
|
-6.69%
|
18.06%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
19.16%
|
$12.67
|
$1,002.23
|
-6.31%
|
16.69%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
12.50%
|
$13.05
|
$1,117.65
|
-4.67%
|
11.52%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
26.12%
|
$17.12
|
$1,414.12
|
-9.08%
|
26.53%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
-22.35%
|
$18.70
|
$1,045.71
|
8.96%
|
-26.05%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
55.85%
|
$15.52
|
$1,604.81
|
-14.54%
|
53.47%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
-20.87%
|
$21.21
|
$1,262.71
|
6.51%
|
-21.32%
|
|
Total Return
|
-67.44%
|
1162.71%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
34.89%
|
$1.99
|
$132.69
|
-9.61%
|
32.69%
|
|
02
|
77.69
|
4.21%
|
-14.05%
|
55.07%
|
$2.47
|
$201.52
|
-14.05%
|
51.87%
|
|
03
|
87.35
|
3.02%
|
12.43%
|
-31.37%
|
$2.90
|
$134.89
|
12.43%
|
-33.06%
|
|
04
|
74.30
|
2.99%
|
-14.94%
|
55.21%
|
$3.00
|
$209.18
|
-14.94%
|
55.07%
|
|
05
|
72.83
|
3.46%
|
-1.98%
|
3.04%
|
$3.46
|
$211.98
|
-1.98%
|
1.34%
|
|
06
|
64.19
|
3.37%
|
-11.86%
|
38.27%
|
$5.19
|
$293.47
|
-11.86%
|
38.45%
|
|
07
|
61.89
|
3.42%
|
-3.58%
|
4.43%
|
$5.08
|
$311.40
|
-3.58%
|
6.11%
|
|
08
|
53.73
|
3.41%
|
-13.18%
|
44.65%
|
$5.23
|
$452.21
|
-13.18%
|
45.22%
|
|
09
|
53.90
|
3.13%
|
0.32%
|
-4.59%
|
$7.19
|
$424.39
|
0.32%
|
-6.15%
|
|
10
|
47.05
|
3.69%
|
-12.71%
|
47.25%
|
$8.35
|
$609.24
|
-12.71%
|
43.56%
|
|
11
|
42.97
|
3.90%
|
-8.67%
|
26.24%
|
$12.03
|
$767.71
|
-8.67%
|
26.01%
|
|
12
|
36.83
|
4.30%
|
-14.29%
|
62.91%
|
$15.01
|
$1,181.84
|
-14.29%
|
53.94%
|
|
13
|
43.33
|
4.07%
|
17.65%
|
-39.16%
|
$14.69
|
$699.65
|
17.65%
|
-40.80%
|
|
14
|
40.43
|
3.53%
|
-6.69%
|
21.17%
|
$13.50
|
$823.57
|
-6.69%
|
17.71%
|
|
15
|
37.88
|
3.23%
|
-6.31%
|
19.16%
|
$14.83
|
$958.11
|
-6.31%
|
16.34%
|
|
16
|
36.11
|
2.97%
|
-4.67%
|
12.50%
|
$15.22
|
$1,065.25
|
-4.67%
|
11.18%
|
|
17
|
32.83
|
3.33%
|
-9.08%
|
26.12%
|
$19.92
|
$1,343.76
|
-9.08%
|
26.15%
|
|
18
|
35.77
|
3.35%
|
8.96%
|
-22.35%
|
$21.69
|
$990.71
|
8.96%
|
-26.27%
|
|
19
|
30.57
|
3.27%
|
-14.54%
|
55.85%
|
$17.94
|
$1,515.85
|
-14.54%
|
53.01%
|
|
20
|
32.56
|
3.29%
|
6.51%
|
-20.87%
|
$24.45
|
$1,189.14
|
6.51%
|
-21.55%
|
|
Total Return
|
-67.44%
|
1089.14%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
128.51%
|
$3.69
|
$225.45
|
88.36%
|
125.45%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-49.20%
|
$3.49
|
$134.50
|
14.49%
|
-40.34%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
20.69%
|
$7.33
|
$181.88
|
55.65%
|
35.23%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-96.58%
|
$1.43
|
$6.20
|
-52.80%
|
-96.59%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-96.51%
|
$0.03
|
$0.21
|
-52.85%
|
-96.56%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
-97.46%
|
$0.00
|
$0.00
|
-58.07%
|
-97.69%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
96.16%
|
$0.00
|
$0.01
|
68.03%
|
72.04%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-93.12%
|
$0.00
|
$0.00
|
-35.02%
|
-92.89%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
541.77%
|
$0.00
|
$0.00
|
150.88%
|
533.14%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
11.93%
|
$0.00
|
$0.00
|
52.71%
|
11.40%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
-25.30%
|
$0.00
|
$0.00
|
28.78%
|
-30.43%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
3096.25%
|
$0.00
|
$0.13
|
414.10%
|
4127.50%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-64.82%
|
$0.00
|
$0.03
|
1.34%
|
-73.60%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
-29.40%
|
$0.00
|
$0.02
|
32.90%
|
-34.34%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-85.14%
|
$0.00
|
$0.00
|
-22.01%
|
-83.28%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-95.09%
|
$0.00
|
$0.00
|
-45.85%
|
-94.79%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-77.88%
|
$0.00
|
$0.00
|
-8.62%
|
-76.13%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
109.09%
|
$0.00
|
$0.00
|
99.33%
|
194.95%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
236.25%
|
$0.00
|
$0.00
|
122.09%
|
243.56%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
257.04%
|
$0.00
|
$0.00
|
104.12%
|
221.43%
|
|
Total Return
|
3973.34%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
128.51%
|
$4.50
|
$224.78
|
88.36%
|
124.78%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-49.20%
|
$4.24
|
$133.70
|
14.49%
|
-40.52%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
20.69%
|
$8.89
|
$180.26
|
55.65%
|
34.82%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-96.58%
|
$1.73
|
$6.13
|
-52.80%
|
-96.60%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-96.51%
|
$0.04
|
$0.21
|
-52.85%
|
-96.57%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
-97.46%
|
$0.00
|
$0.00
|
-58.07%
|
-97.69%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
96.16%
|
$0.00
|
$0.01
|
68.03%
|
71.53%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-93.12%
|
$0.00
|
$0.00
|
-35.02%
|
-92.92%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
541.77%
|
$0.00
|
$0.00
|
150.88%
|
531.24%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
11.93%
|
$0.00
|
$0.00
|
52.71%
|
11.07%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
-25.30%
|
$0.00
|
$0.00
|
28.78%
|
-30.64%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
3096.25%
|
$0.00
|
$0.12
|
414.10%
|
4114.87%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-64.82%
|
$0.00
|
$0.03
|
1.34%
|
-73.68%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
-29.40%
|
$0.00
|
$0.02
|
32.90%
|
-34.54%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-85.14%
|
$0.00
|
$0.00
|
-22.01%
|
-83.33%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-95.09%
|
$0.00
|
$0.00
|
-45.85%
|
-94.81%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-77.88%
|
$0.00
|
$0.00
|
-8.62%
|
-76.20%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
109.09%
|
$0.00
|
$0.00
|
99.33%
|
194.07%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
236.25%
|
$0.00
|
$0.00
|
122.09%
|
242.54%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
257.04%
|
$0.00
|
$0.00
|
104.12%
|
220.47%
|
|
Total Return
|
3973.34%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-98.55%
|
$0.37
|
$1.43
|
88.36%
|
-98.57%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-88.82%
|
$0.01
|
$0.14
|
14.49%
|
-90.50%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
-96.34%
|
$0.00
|
$0.00
|
55.65%
|
-96.77%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-16.57%
|
$0.00
|
$0.00
|
-52.80%
|
-18.57%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-0.14%
|
$0.00
|
$0.00
|
-52.85%
|
-1.49%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
18.79%
|
$0.00
|
$0.00
|
-58.07%
|
31.83%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
-97.78%
|
$0.00
|
$0.00
|
68.03%
|
-97.50%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-73.83%
|
$0.00
|
$0.00
|
-35.02%
|
-75.30%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
-99.09%
|
$0.00
|
$0.00
|
150.88%
|
-99.10%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
-97.69%
|
$0.00
|
$0.00
|
52.71%
|
-97.74%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
-95.45%
|
$0.00
|
$0.00
|
28.78%
|
-95.23%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
-99.92%
|
$0.00
|
$0.00
|
414.10%
|
-99.94%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-96.09%
|
$0.00
|
$0.00
|
1.34%
|
-94.38%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
-97.13%
|
$0.00
|
$0.00
|
32.90%
|
-96.98%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-71.04%
|
$0.00
|
$0.00
|
-22.01%
|
-74.56%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-28.83%
|
$0.00
|
$0.00
|
-45.85%
|
-34.41%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-86.83%
|
$0.00
|
$0.00
|
-8.62%
|
-88.04%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
-97.99%
|
$0.00
|
$0.00
|
99.33%
|
-98.53%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
-99.14%
|
$0.00
|
$0.00
|
122.09%
|
-99.18%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
-98.65%
|
$0.00
|
$0.00
|
104.12%
|
-98.53%
|
|
Total Return
|
3973.34%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-98.55%
|
$0.45
|
$1.43
|
88.36%
|
-98.57%
|
|
02
|
215.66
|
5.27%
|
14.49%
|
-88.82%
|
$0.01
|
$0.14
|
14.49%
|
-90.52%
|
|
03
|
335.67
|
4.59%
|
55.65%
|
-96.34%
|
$0.00
|
$0.00
|
55.65%
|
-96.78%
|
|
04
|
158.43
|
4.17%
|
-52.80%
|
-16.57%
|
$0.00
|
$0.00
|
-52.80%
|
-18.81%
|
|
05
|
74.70
|
4.60%
|
-52.85%
|
-0.14%
|
$0.00
|
$0.00
|
-52.85%
|
-1.79%
|
|
06
|
31.32
|
5.39%
|
-58.07%
|
18.79%
|
$0.00
|
$0.00
|
-58.07%
|
31.44%
|
|
07
|
52.63
|
5.51%
|
68.03%
|
-97.78%
|
$0.00
|
$0.00
|
68.03%
|
-97.51%
|
|
08
|
34.20
|
4.99%
|
-35.02%
|
-73.83%
|
$0.00
|
$0.00
|
-35.02%
|
-75.38%
|
|
09
|
85.79
|
5.41%
|
150.88%
|
-99.09%
|
$0.00
|
$0.00
|
150.88%
|
-99.11%
|
|
10
|
131.01
|
6.52%
|
52.71%
|
-97.69%
|
$0.00
|
$0.00
|
52.71%
|
-97.75%
|
|
11
|
168.71
|
5.48%
|
28.78%
|
-95.45%
|
$0.00
|
$0.00
|
28.78%
|
-95.24%
|
|
12
|
867.35
|
4.41%
|
414.10%
|
-99.92%
|
$0.00
|
$0.00
|
414.10%
|
-99.94%
|
|
13
|
878.95
|
2.78%
|
1.34%
|
-96.09%
|
$0.00
|
$0.00
|
1.34%
|
-94.39%
|
|
14
|
1168.16
|
2.31%
|
32.90%
|
-97.13%
|
$0.00
|
$0.00
|
32.90%
|
-96.99%
|
|
15
|
911.00
|
2.58%
|
-22.01%
|
-71.04%
|
$0.00
|
$0.00
|
-22.01%
|
-74.64%
|
|
16
|
493.33
|
3.20%
|
-45.85%
|
-28.83%
|
$0.00
|
$0.00
|
-45.85%
|
-34.61%
|
|
17
|
450.78
|
3.02%
|
-8.62%
|
-86.83%
|
$0.00
|
$0.00
|
-8.62%
|
-88.07%
|
|
18
|
898.54
|
3.56%
|
99.33%
|
-97.99%
|
$0.00
|
$0.00
|
99.33%
|
-98.54%
|
|
19
|
1995.54
|
3.46%
|
122.09%
|
-99.14%
|
$0.00
|
$0.00
|
122.09%
|
-99.18%
|
|
20
|
4073.34
|
2.27%
|
104.12%
|
-98.65%
|
$0.00
|
$0.00
|
104.12%
|
-98.54%
|
|
Total Return
|
3973.34%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-96.33%
|
$0.59
|
$3.62
|
-55.79%
|
-96.38%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-74.51%
|
$0.04
|
$0.95
|
-18.85%
|
-73.87%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-55.63%
|
$0.01
|
$0.43
|
-3.76%
|
-54.53%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
-93.43%
|
$0.00
|
$0.03
|
-46.86%
|
-93.17%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-68.67%
|
$0.00
|
$0.01
|
-11.42%
|
-69.10%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-72.20%
|
$0.00
|
$0.00
|
-13.20%
|
-74.31%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
-93.00%
|
$0.00
|
$0.00
|
-44.60%
|
-93.07%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-69.12%
|
$0.00
|
$0.00
|
-16.20%
|
-71.78%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-69.96%
|
$0.00
|
$0.00
|
-13.21%
|
-70.37%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
537.37%
|
$0.00
|
$0.00
|
138.03%
|
557.05%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-71.34%
|
$0.00
|
$0.00
|
-18.87%
|
-74.49%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-34.56%
|
$0.00
|
$0.00
|
5.00%
|
-36.03%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
-9.48%
|
$0.00
|
$0.00
|
20.71%
|
-19.17%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-78.20%
|
$0.00
|
$0.00
|
-28.89%
|
-82.57%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-82.42%
|
$0.00
|
$0.00
|
-24.75%
|
-81.11%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
-93.94%
|
$0.00
|
$0.00
|
-47.49%
|
-93.49%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
36.17%
|
$0.00
|
$0.00
|
43.36%
|
36.61%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-82.68%
|
$0.00
|
$0.00
|
-29.03%
|
-81.91%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-74.60%
|
$0.00
|
$0.00
|
-19.03%
|
-76.64%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
-97.97%
|
$0.00
|
$0.00
|
-65.39%
|
-98.14%
|
|
Total Return
|
-98.89%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
-96.33%
|
$0.72
|
$3.61
|
-55.79%
|
-96.39%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-74.51%
|
$0.05
|
$0.94
|
-18.85%
|
-73.95%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-55.63%
|
$0.01
|
$0.43
|
-3.76%
|
-54.67%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
-93.43%
|
$0.00
|
$0.03
|
-46.86%
|
-93.19%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-68.67%
|
$0.00
|
$0.01
|
-11.42%
|
-69.19%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-72.20%
|
$0.00
|
$0.00
|
-13.20%
|
-72.31%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
-93.00%
|
$0.00
|
$0.00
|
-44.60%
|
-92.07%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-69.12%
|
$0.00
|
$0.00
|
-16.20%
|
-71.86%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-69.96%
|
$0.00
|
$0.00
|
-13.21%
|
-70.46%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
537.37%
|
$0.00
|
$0.00
|
138.03%
|
555.09%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-71.34%
|
$0.00
|
$0.00
|
-18.87%
|
-74.57%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-34.56%
|
$0.00
|
$0.00
|
5.00%
|
-39.31%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
-9.48%
|
$0.00
|
$0.00
|
20.71%
|
-19.41%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-78.20%
|
$0.00
|
$0.00
|
-28.89%
|
-82.62%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-82.42%
|
$0.00
|
$0.00
|
-24.75%
|
-81.17%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
-93.94%
|
$0.00
|
$0.00
|
-47.49%
|
-93.51%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
36.17%
|
$0.00
|
$0.00
|
43.36%
|
36.20%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-82.68%
|
$0.00
|
$0.00
|
-29.03%
|
-83.01%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-74.60%
|
$0.00
|
$0.00
|
-19.03%
|
-76.71%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
-97.97%
|
$0.00
|
$0.00
|
-65.39%
|
-98.14%
|
|
Total Return
|
-98.89%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
119.05%
|
$1.82
|
$216.12
|
-55.79%
|
116.12%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-54.87%
|
$1.44
|
$92.68
|
-18.85%
|
-57.12%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-68.87%
|
$0.71
|
$27.44
|
-3.76%
|
-70.40%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
56.44%
|
$0.56
|
$40.28
|
-46.86%
|
46.82%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-70.15%
|
$0.21
|
$11.86
|
-11.42%
|
-70.56%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-71.50%
|
$0.10
|
$3.32
|
-13.20%
|
-71.97%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
44.90%
|
$0.03
|
$4.20
|
-44.60%
|
26.18%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-66.31%
|
$0.02
|
$1.51
|
-16.20%
|
-63.91%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-68.32%
|
$0.01
|
$0.47
|
-13.21%
|
-68.75%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
-98.38%
|
$0.00
|
$0.01
|
138.03%
|
-98.47%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-61.22%
|
$0.00
|
$0.00
|
-18.87%
|
-57.09%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-78.09%
|
$0.00
|
$0.00
|
5.00%
|
-77.02%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
-89.41%
|
$0.00
|
$0.00
|
20.71%
|
-88.33%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-49.61%
|
$0.00
|
$0.00
|
-28.89%
|
-35.12%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-46.68%
|
$0.00
|
$0.00
|
-24.75%
|
-51.40%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
62.45%
|
$0.00
|
$0.00
|
-47.49%
|
48.27%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
-92.43%
|
$0.00
|
$0.00
|
43.36%
|
-92.66%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-33.98%
|
$0.00
|
$0.00
|
-29.03%
|
-34.26%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-66.11%
|
$0.00
|
$0.00
|
-19.03%
|
-63.96%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
372.07%
|
$0.00
|
$0.00
|
-65.39%
|
405.26%
|
|
Total Return
|
-98.89%
|
-100.00%
|
|
A
|
B
|
C
|
D
|
E
|
F
|
G
|
H
|
I
|
|
Year
|
Index Level
|
Daily
Accrual
|
Daily Index
Performance
|
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%
|
119.05%
|
$2.22
|
$215.48
|
-55.79%
|
115.48%
|
|
02
|
35.88
|
3.42%
|
-18.85%
|
-54.87%
|
$1.76
|
$92.13
|
-18.85%
|
-57.24%
|
|
03
|
34.53
|
2.64%
|
-3.76%
|
-68.87%
|
$0.86
|
$27.19
|
-3.76%
|
-70.49%
|
|
04
|
18.35
|
2.74%
|
-46.86%
|
56.44%
|
$0.67
|
$39.80
|
-46.86%
|
46.38%
|
|
05
|
16.25
|
2.59%
|
-11.42%
|
-70.15%
|
$0.26
|
$11.68
|
-11.42%
|
-70.65%
|
|
06
|
14.11
|
2.97%
|
-13.20%
|
-71.50%
|
$0.11
|
$3.27
|
-13.20%
|
-72.05%
|
|
07
|
7.82
|
3.44%
|
-44.60%
|
44.90%
|
$0.04
|
$4.11
|
-44.60%
|
25.81%
|
|
08
|
6.55
|
4.17%
|
-16.20%
|
-66.31%
|
$0.02
|
$1.48
|
-16.20%
|
-64.02%
|
|
09
|
5.68
|
4.16%
|
-13.21%
|
-68.32%
|
$0.01
|
$0.46
|
-13.21%
|
-68.84%
|
|
10
|
13.53
|
4.06%
|
138.03%
|
-98.38%
|
$0.00
|
$0.01
|
138.03%
|
-98.48%
|
|
11
|
10.98
|
2.85%
|
-18.87%
|
-61.22%
|
$0.00
|
$0.00
|
-18.87%
|
-57.22%
|
|
12
|
11.53
|
2.96%
|
5.00%
|
-78.09%
|
$0.00
|
$0.00
|
5.00%
|
-77.09%
|
|
13
|
13.91
|
2.79%
|
20.71%
|
-89.41%
|
$0.00
|
$0.00
|
20.71%
|
-88.37%
|
|
14
|
9.89
|
2.39%
|
-28.89%
|
-49.61%
|
$0.00
|
$0.00
|
-28.89%
|
-35.31%
|
|
15
|
7.44
|
2.75%
|
-24.75%
|
-46.68%
|
$0.00
|
$0.00
|
-24.75%
|
-51.54%
|
|
16
|
3.91
|
2.01%
|
-47.49%
|
62.45%
|
$0.00
|
$0.00
|
-47.49%
|
47.83%
|
|
17
|
5.60
|
1.68%
|
43.36%
|
-92.43%
|
$0.00
|
$0.00
|
43.36%
|
-92.68%
|
|
18
|
3.98
|
2.13%
|
-29.03%
|
-33.98%
|
$0.00
|
$0.00
|
-29.03%
|
-34.45%
|
|
19
|
3.22
|
2.41%
|
-19.03%
|
-66.11%
|
$0.00
|
$0.00
|
-19.03%
|
-64.07%
|
|
20
|
1.11
|
2.29%
|
-65.39%
|
372.07%
|
$0.00
|
$0.00
|
-65.39%
|
403.74%
|
|
Total Return
|
-98.89%
|
-100.00%
|
1 Year Ranger Gold (PK) Chart |
1 Month Ranger Gold (PK) Chart |
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