By Angela McDaniels
Tacoma, Wash., March 15 - Credit Suisse AG, Nassau Branch priced $2 million of 12.5% bullish/bearish callable yield notes due March 16, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
A knock-in event will occur if the index's closing level falls to or below 70% of its initial level or if the ETF closes at or above 130% of its initial share price on any day during the life of the notes.
If a knock-in event does not occur, the payout at maturity will be par. Otherwise, the payout will be par plus the return of the worst-performing underlying component, subject to a maximum payout of par.
The final return of the ETF will equal the quotient of (a) its initial level minus its final level divided by (b) its initial level, meaning its return will be negative if its final level is greater than its initial level.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Bullish/bearish callable yield notes
|
| Underlying components: | Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $2 million
|
| Maturity: | March 16, 2012
|
| Coupon: | 12.5%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If index closes at or below 70% of initial level or ETF closes at or above 130% of initial share price on any day during life of notes, then par plus return of worst-performing underlying component, up to maximum payout of par; otherwise, par; return of ETF will be negative if its final level is greater than its initial level
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 828.89 for index and $59.87 for ETF
|
| Knock-in levels: | 580.223, or 70% of initial level, for index and $77.831, or 130% of initial level, for ETF
|
| Pricing date: | March 11
|
| Settlement date: | March 16
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546E2M5
|
© 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.
