By Susanna Moon
Chicago, Aug. 19 - Credit Suisse AG, Nassau Branch priced another $999,633 of 0% VelocityShares 3x Inverse Silver exchange-traded notes due Oct. 14, 2031 linked to the S&P GSCI Silver Index Excess Return, according to 424B2 filings with the Securities and Exchange Commission.
The $1.25 million principal amount add-on priced at 79.9706 for proceeds of $999,632.50.
The initial $5 million tranche priced at par on Oct. 14, 2011. The issuer has priced a total of $184.36 million principal amount notes at prices ranging from 39.74 to 160.2892.
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 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) 0.0165 divided by (c) 365.
The payout at maturity will be 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 minus an early redemption charge of 0.05%.
The notes are listed on the NYSE Arca under the ticker symbol "DSLV."
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | VelocityShares 3x Inverse Silver exchange-traded notes
|
| Underlying index: | S&P GSCI Silver Index Excess Return
|
| Amount: | $184,358,150, up from $5 million
|
| Maturity: | Oct. 14, 2031
|
| Coupon: | 0%
|
| Prices: | Par of $50 for original $5 million; 79.9706 for latest $1.25 million
|
| 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 0.0165 divided by 365
|
| Initial indicative value: | $50
|
| Put option: | Subject to minimum of 25,000 notes; redemption amount is closing indicative value minus early redemption charge of 0.05%
|
| Pricing dates: | Oct. 14, 2011 for original $5 million; Aug. 16 for latest $1.25 million
|
| Settlement dates: | Oct. 19, 2011 for original $5 million; Aug. 21 for latest add-on
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: DSLV
|
| Cusip: | 22542D654
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