By Toni Weeks
San Luis Obispo, Calif., March 5 - Credit Suisse AG, Nassau Branch priced another $800,000 of 0% exchange-traded notes due March 13, 2031 linked on a leveraged basis to the Credit Suisse Merger Arbitrage Liquid Index (Net), according to a 424B2 filing with the Securities and Exchange Commission.
The company plans to issue up to $250 million of the notes. The initial $15 million of notes priced at par of $20, and the remainder of the notes will be sold from time to time at variable prices.
The add-on priced at 96.871 for proceeds of $774,968.
Credit Suisse has now issued $17.8 million of the notes at prices ranging from 96.871 to 102.75.
The payout at maturity will be the closing value of the notes, which on any day equals the quotient obtained by dividing the product of the leverage factor and the closing level of the index on that day by the ETN divisor on that day, minus the sum of the accrued fee amount, the leverage amount and the leverage charge for that day. The leverage factor is two.
The ETN divisor resets on the first day of each month. For the first month, it is 55.07303075, which is equal to the closing index level on the inception date divided by $20. For any subsequent month, the ETN divisor will equal the closing level of the index on the last day of the previous month divided by the closing value of the ETNs on that last day of the month.
The fee is 0.55% per year and accrues daily.
The leverage amount is reset on the first day of each month. It will initially be $20. On each subsequent reset date, it will be the closing value of the notes on the last day of the previous month.
The leverage charge is an annualized amount equal to the leverage amount multiplied by one-month Libor plus 95 basis points.
The notes will be putable at any time, subject to a minimum of $1 million principal amount and a fee of up to $0.03 per note, and they will be callable in whole at any time. In addition, they will be called automatically if the closing value of the notes is 25% or less of the leverage amount. The payout upon redemption will be the closing value of the notes.
The index is designed to capture the spread, if any, between the price at which the stock of a target company trades after a proposed acquisition of that target company is announced and the price that the acquiring company has proposed to pay for the stock of the target company. It is subject to an annual index calculation fee of 0.5%.
The notes are listed on NYSE Arca under the symbol "CSMB."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Exchange-traded notes
|
| Underlying index: | Credit Suisse Merger Arbitrage Liquid Index (Net)
|
| Amount: | $17.8 million (up from original $15 million)
|
| Maturity: | March 13, 2031
|
| Coupon: | 0%
|
| Price: | Par of $20 for original $15 million; 96.871 for $800,000 in latest add-on
|
| Payout at maturity: | An amount equal to the closing value of the notes, which on any day equals the quotient obtained by dividing the product of the leverage factor (two) and the closing level of the index on that day by the ETN divisor on that day, minus the sum of the accrued fee amount, the leverage amount and the leverage charge for that day
|
| Put option: | At any time, subject to a minimum of $1 million principal amount and a fee of up to $0.03 per note
|
| Call: | Automatically if the closing value of the notes is 25% or less of the leverage amount
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| Inception date: | March 7, 2011 for original $15 million
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| Pricing date: | March 7, 2011 for $15 million; March 4 for $800,000 in latest add-on
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| Settlement date: | March 11, 2011 for original $15 million; March 5 for latest add-on
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | Agent will receive all or a portion of the investor fee
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| Listing: | NYSE Arca: CSMB
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| Cusip: | 22542D753
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