By Susanna Moon
Chicago, Dec. 12 - Credit Suisse AG, Nassau Branch priced an additional $3.93 million of 0% VelocityShares 3x Inverse Natural Gas exchange-traded notes due Feb. 9, 2032 linked to the S&P GSCI Natural Gas Index Excess Return, according to 424B2 filings with the Securities and Exchange Commission.
The $22.5 million add-on priced at 17.4488 for proceeds of $3,925,980.
Since the inception date, the company has priced $1.01 billion principal amount of notes between 16.84 and 133.18. The initial tranche priced at par of $50.00.
The payout at maturity will equal the closing indicative value of the notes on Feb. 2, 2032.
The closing indicative value of the notes on the inception date was $50. On subsequent days, it 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) (i) the index return (over the previous day's closing index level) times (ii) negative three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day U.S. Treasury rate.
The daily investor fee is an annualized amount equal to 1.65% of the closing indicative value on the preceding day.
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 company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day's closing indicative value.
The notes are listed on the NYSE Arca under the ticker symbol "DGAZ."
Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or a portion of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares 3x Inverse Natural Gas exchange-traded notes
|
| Underlying index: | S&P GSCI Natural Gas Index Excess Return
|
| Amount: | $1,013,149,500, increased from original $10 million
|
| Maturity: | Feb. 9, 2032
|
| Coupon: | 0%
|
| Prices: | Par of $50 for initial $5 million; 17.4488 for latest $22.5 million
|
| Payout at maturity: | Amount equal to closing indicative value of notes on Feb. 2, 2032
|
| Closing indicative value: | Closing indicative value on preceding day times daily ETN performance on that day minus daily investor fee; daily ETN performance equals one plus daily accrual plus product of negative three times index's return over previous day's closing level
|
| Put option: | Subject to minimum of 25,000 notes and 0.05% early redemption charge
|
| Acceleration: | If intraday indicative value of notes on any day is 15% or less of prior day's closing indicative value
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| Inception date: | Feb. 7, 2012
|
| Pricing dates: | Feb. 7, 2012 for initial $5 million; Dec. 11 for latest $22.5 million
|
| Settlement dates: | Feb. 10, 2012 for initial issue; Dec. 16 for latest add-on
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: DGAZ
|
| Cusip: | 22542D530
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