Credit Suisse plans covered call ETNs on Nasdaq Silver Flows 106 index

By Susanna Moon

Chicago, April 5 - Credit Suisse AG, Nassau Branch plans to price $100 million of Silver Shares covered call exchange-traded notes due April 21, 2033 linked to the Credit Suisse Nasdaq Silver Flows 106 index, according to a 424B2 filing with the Securities and Exchange Commission.

The Nasdaq Silver Flows 106 index measures the return of a covered call strategy on the shares of the iShares Silver Trust.

The index strategy consists of a hypothetical portfolio that takes a long position in iShares Silver Trust shares and sells a succession of short, about one-month, call options on the shares with a strike price of about 106. The sale of the options is "covered" by the long position in the iShares Silver Trust shares. The long position in the shares and the short call options are held in equal notional amounts.

This strategy is intended to provide exposure to gold through the notional positions in the iShares Silver Trust shares and the options that seeks to (i) generate periodic cash flows that a direct long-only ownership position in the shares would not, (ii) provide a limited offset to losses from downside market performance in the shares via the cash flows from option premiums and (iii) provide limited potential upside participation in the performance of the shares.

The level of the Nasdaq Silver Flows index on any day reflects the value of the notional long position in the iShares Silver Trust shares and the notional option premium, reduced based on the value of the options then outstanding.

The ETNs will pay a variable monthly coupon based on the premiums received from the sale of monthly call options on the iShares Silver Trust shares. Since the amount of any monthly coupon payment is uncertain and could be zero, investors should not expect to receive regular periodic interest payments.

The payout at maturity will equal the average of the closing indicative values for the five trading days ending

The closing indicative value is initially $20.00. The closing indicative value on each day after the inception date will equal the current principal amount plus any accrued coupon. The closing indicative value will never be less than zero. If the closing indicative value is equal to zero on any trading day, the closing indicative value on that day and all future days will be zero.

The current principal amount is $20.00 on the inception date. After that, the current principal amount is the current principal amount on the preceding day times the daily index factor minus the daily investor fee. The investor fee is 0.65% per year.

The daily index factor is the closing level of the index on that day divided by the closing level of the index on the preceding day.

The notes are callable in whole or in part at any time and are putable subject to a minimum of 50,000 ETNs and an early redemption charge of 0.125%.

The notes will be automatically called if the intraday indicative value of the ETNs falls below 5%.

Credit Suisse has applied to list the ETNs on Nasdaq under the ticker symbol "SLVO."

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on April 16 and settle on April 19.

The Cusip number is 22542DFC9.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.