Published on 5/24/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.13 million high/low coupon callable yield notes on indexes, fund
By Toni Weeks
San Diego, May 24 - Credit Suisse AG, Nassau Branch priced $1.13 million of high/low coupon callable yield notes due May 25, 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 occurs if any component falls to or below 65% of its initial level during the life of the notes.
If a knock-in event does not occur during a quarterly observation period, the coupon will be 8% for that period. If a knock-in event occurs during a quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 3%. Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning Nov. 25, 2011.
The payout at maturity will be par unless any component falls to or below its knock-in 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: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index, Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1,127,000
|
| Maturity date: | May 25, 2012
|
| Coupon: | 8% if any component does not fall to or below 65% of its initial level during a quarterly observation period; otherwise, 3% for that period and thereafter; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless any component falls to or below its knock-in level during life of notes, in which case par plus return of worst-performing component, capped at par
|
| Initial levels: | 1,333.27 for S&P 500, 829.06 for Russell, $55.69 for Market Vectors Gold Miners
|
| Knock-in levels: | 866.6255 for S&P 500, 538.889 for Russell, $36.1985 for Market Vectors Gold Miners, 65% of initial levels
|
| Call option: | At par on any interest payment date beginning on Nov. 25, 2011
|
| Pricing date: | May 20
|
| Settlement date: | May 25
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546E7F5
|
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