Published on 12/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.19 million 7.5% autocallable yield notes on indexes, gold ETF
By Jennifer Chiou
New York, Dec. 29 - Credit Suisse AG, Nassau Branch priced $1.19 million of 7.5% autocallable yield notes due Dec. 31, 2012 linked to the Russell 2000 index, S&P 500 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.
The notes will be automatically redeemed at par if all of the underlying components close at or above their initial levels on any quarterly observation date.
The payout at maturity will be par unless any component falls to or below its knock-in level - 60% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Autocallable yield notes
|
| Underlying components: | Russell 2000 index, S&P 500 index and Market Vectors Gold Miners ETF
|
| Amount: | $1,193,000
|
| Maturity: | Dec. 31, 2012
|
| Coupon: | 7.5%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless any component ever falls to or below knock-in level, in which case par plus return of worst-performing component, capped at par
|
| Initial levels: | 751.31 for Russell, 1,265.43 for S&P, $51.90 for gold fund
|
| Knock-in levels: | 450.786 for Russell, 759.258 for S&P, $31.14 for gold fund; 60% of initial levels
|
| Call option: | Automatically at par if all of the underlying components close at or above their initial levels on any quarterly observation date
|
| Pricing date: | Dec. 27
|
| Settlement date: | Dec. 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TJP7
|
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