By Jennifer Chiou
New York, June 21 - Credit Suisse AG, Nassau Branch priced $1.5 million principal amount of additional 0% VelocityShares 3x Inverse Gold exchange-traded notes due Oct. 14, 2031 linked to the S&P GSCI Gold Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
Credit Suisse plans to issue up to $100 million of the notes from time to time and has priced $8.25 million so far. The initial $5 million tranche priced at par on Oct. 14, 2011. The latest add-on priced at 97.4834 for proceeds of $1,462,251. Thus far, add-on tranches have priced at between 94.8228 and 97.4834.
The closing indicative value of the notes on the inception date was $50. 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) (i) the index return on that day 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 equals (a) the closing indicative value on the preceding day times (b) 0.0135 divided by (c) 365.
The payout at maturity will equal the closing indicative value of the notes on Oct. 8, 2031.
The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value on the early redemption valuation date minus an early redemption charge of 0.05%.
The notes are listed on the NYSE Arca under the ticker symbol "DGLD."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares 3x Inverse Gold exchange-traded notes
|
| Underlying index: | S&P GSCI Gold Index Excess Return
|
| Amount: | $8.25 million, increased from original $5 million
|
| Maturity: | Oct. 14, 2031
|
| Coupon: | 0%
|
| Price: | Par of $50 for original issue; 97.4834 for latest add-on
|
| 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 product of index return on that day times negative three
|
| Daily investor fee: | Closing indicative value on preceding day times 0.0135 divided by 365
|
| Initial note value: | $50
|
| Put option: | At closing indicative value minus early redemption charge of 0.05%; subject to minimum of 25,000 notes
|
| Pricing dates: | Oct. 14, 2011 for $5 million; June 20 for latest $1.5 million
|
| Settlement dates: | Oct. 19, 2011 for original issue; June 25 for latest add-on
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22542D670
|
| Listing: | NYSE Arca: DGLD
|
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