Published on 8/18/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.52 million 11.5% callable yield notes linked to fund, two indexes
By Susanna Moon
Chicago, Aug. 18 - Credit Suisse AG, Nassau Branch priced $2.52 million of 11.5% annualized callable yield notes due Feb. 22, 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.
Interest is payable every two months.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless the fund or either index falls to or below its knock-in level - 75% 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: | Callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $2.52 million
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| Maturity: | Feb. 22, 2012
|
| Coupon: | 11.5%, payable every two months
|
| Price: | Par
|
| Payout at maturity: | If any component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date Oct. 24, Dec. 22 and at maturity
|
| Initial levels: | 1,193.89 for S&P, 704.03 for Russell, $60.74 for gold fund
|
| Knock-in levels: | 895.4175 for S&P, 528.0225 for Russell, $45.555 for gold fund; 75% of initial levels
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| Pricing date: | Aug. 17
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| Settlement date: | Aug. 22
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TDB4
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