By Toni Weeks
San Diego, Nov. 6 - Credit Suisse AG, Nassau Branch priced an additional $16.25 million principal amount of 0% VelocityShares 3x Long Silver exchange-traded notes due Oct. 14, 2031 linked to the S&P GSCI Silver Index Excess Return, according to 424B2 filings with the Securities and Exchange Commission.
The issuer priced the notes in two tranches, with a $7.5 million tranche pricing at 57.3334 for proceeds of $4,300,005 and an $8.75 million tranche pricing at 58.8368 for proceeds of $5,148,220.
Credit Suisse plans to issue up to $375 million of the notes from time to time. The maximum issue size was increased from $250 million on Sept. 21 and to $250 million from $100 million on March 7, 2012. The issuer has priced $252.89 million of the notes so far at prices ranging from 40.4164 to 114.48.
The payout at maturity will be the closing indicative value of the notes on Oct. 8, 2031.
The closing indicative value of the notes on the inception date, Oct. 14, 2011, was $50.00. The closing indicative value on each subsequent day equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee.
The closing indicative value will never be less than zero. If the intraday indicative value of the notes is less than or equal to zero at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero.
The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) three times the index return on that day. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate.
The daily investor fee equals (a) the closing indicative value on the preceding day times (b) 0.0165 divided by (c) 365.
The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%.
The notes are listed on the NYSE Arca under the ticker symbol "USLV."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares 3x Long Silver exchange-traded notes
|
| Underlying index: | S&P GSCI Silver Index Excess Return
|
| Amount: | $252,890,840, increased from original $5 million
|
| Maturity: | Oct. 14, 2031
|
| Coupon: | 0%
|
| Prices: | Par of $50 for original $5 million; 57.3334 for $7.5 million, 58.8368 for $8.75 million
|
| Payout at maturity: | Closing indicative value on Oct. 8, 2031; closing indicative value equals (a) (i) closing indicative value on preceding day times (ii) daily ETN performance minus (b) daily investor fee
|
| Daily ETN performance: | One plus daily accrual plus three times index return on that day
|
| Daily investor fee: | Closing indicative value on preceding day times 0.0165 divided by 365
|
| Initial indicative value: | $50
|
| Put option: | Subject to minimum of 25,000 notes; payout is closing indicative minus early redemption charge of 0.05%
|
| Pricing dates: | Oct. 14, 2011 for original $5 million; Nov. 2 for $7.5 million; Nov. 5 for $8.75 million
|
| Settlement dates: | Oct. 19, 2011 for original issue; Nov. 7 for $7.5 million; Nov. 8 for $8.75 million
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: USLV
|
| Cusip: | 22542D662
|
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