By Marisa Wong
Madison, Wis., April 17 - Credit Suisse AG, Nassau Branch priced $1.42 million of additional Credit Suisse Gold Shares Covered Call exchange-traded notes due Feb. 2, 2033 linked to the Credit Suisse Nasdaq Gold Flows 103 index, according to a 424B2 filing with the Securities and Exchange Commission.
The $2 million principal amount of additional notes priced at 70.8675, or $14.1735 per $20.00 principal amount of notes, for proceeds of $1,417,350.
The company plans to issue up to $100 million of the notes from time to time at variable prices. It priced $25 million of the notes at par on Jan. 28, 2013, and the total amount priced is now $38 million.
The index seeks to implement a rolling covered call investment strategy by maintaining a notional long position in shares of the SPDR Gold Trust while notionally selling monthly out-of-the-money call options on that position.
The maturity date may be extended at Credit Suisse's option for up to two additional five-year periods.
The ETNs pay a variable monthly coupon based on the notional option premiums received from the sale of the covered call options on the SPDR Gold Trust shares each month. The coupon amount could be zero.
The payout at maturity will equal the average of the closing indicative values for the five trading days ending Jan. 28, 2033.
The closing indicative value was $20.00 on the inception date. On subsequent days, it equals 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 was $20.00 on the inception date. On subsequent days, it equals 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% of the prior day's closing indicative value.
The notes are listed on Nasdaq under the ticker symbol "GLDI."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Credit Suisse Gold Shares Covered Call exchange-traded notes
|
| Underlying index: | Credit Suisse Nasdaq Gold Flows 103 index
|
| Amount: | $38,002,000, increased from $25 million
|
| Maturity: | Feb. 2, 2033; may be extended at issuer's option for up to two additional five-year periods
|
| Coupon: | Variable monthly coupon based on premiums received from sale of monthly call options on SPDR Gold Trust shares; could be zero
|
| Price: | Par of $20.00 for original issue; 70.8675 for latest $2 million
|
| Payout at maturity: | Average of closing indicative values for five trading days ending Jan. 28, 2033
|
| Closing indicative value: | Current principal amount plus any accrued coupon
|
| Current principal amount: | Current principal amount on preceding day times daily index factor - closing index level on that day divided by closing level on preceding day - minus investor fee of 0.65% per year
|
| Put option: | Subject to minimum of 50,000 ETNs and 0.125% early redemption charge
|
| Call option: | At any time; in addition, notes will be automatically called if their intraday indicative value falls below 5% of prior day's closing indicative value
|
| Pricing dates: | Jan. 28, 2013 for original $25 million; April 16 for latest $2 million
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| Settlement dates: | Feb. 1, 2013 for original $25 million; April 17 for latest add-on
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Listing: | Nasdaq: GLDI
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| Cusip: | 22542D480
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