Published on 1/19/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $510,000 7.5% bearish callable yield notes on S&P, Russell
By Susanna Moon
Chicago, Jan. 19 - Credit Suisse AG, Nassau Branch priced $510,000 of 7.5% bearish callable yield notes due Jan. 20, 2012 based on the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The payout at maturity will be par unless either index closes at or above 116.5% of its initial level during the life of the notes, in which case the payout will be par minus the percentage change in the better-performing index, up to a maximum payout of par.
The notes are callable at par on any interest payment date beginning July 20.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Bearish callable yield notes
|
| Underlying indexes: | S&P 500 index, Russell 2000 index
|
| Amount: | $510,000
|
| Maturity: | Jan. 20, 2012
|
| Coupon: | 7.5%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either underlying index rises to or above knock-in level, par minus return of better-performing index, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date after six months
|
| Initial levels: | 1,293.24 for S&P, 807.57 for Russell
|
| Knock-in levels: | 1,506.6246 for S&P, 940.8191 for Russell; 116.5% of initial levels
|
| Pricing date: | Jan. 14
|
| Settlement date: | Jan. 20
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546EQ64
|
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