Published on 3/17/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.21 million high/low coupon callable yield notes on two indexes, ETF
By Marisa Wong
Madison, Wis., March 17 - Credit Suisse AG, Nassau Branch priced $2.21 million of high/low coupon callable yield notes due March 19, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if any underlying component closes at or below 70% of its initial level.
Interest is payable quarterly. The coupon will be 11.5% per year unless a knock-in event occurs, in which case the coupon will be 3% per year for that and each subsequent quarter.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lowest-performing component, subject to a maximum payout of par.
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
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Issue: | High/low coupon callable yield notes
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Underlying components: | S&P 500 index, Russell 2000 index and Market Vectors Gold Miners ETF
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Amount: | $2,207,000
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Maturity: | March 19, 2012
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Coupon: | 11.5% per year unless any underlying component closes at or below its knock-in level, in which case coupon will be 3% from then on; payable quarterly
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Price: | Par
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Payout at maturity: | If any index or fund closes at or below its knock-in level during life of notes, par plus return of lowest-performing component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 1,281.87 for S&P 500, 791.33 for Russell 2000, $56.48 for Market Vectors Gold Miners
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Knock-in levels: | 897.309 for S&P 500, 553.931 for Russell 2000, $39.536 for Market Vectors Gold Miners; 70% of initial levels
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Pricing date: | March 15
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Settlement date: | March 18
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546E2H6
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