Published on 9/20/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.83 million high/low coupon callable notes on indexes, ETF
By Susanna Moon
Chicago, Sept. 20 - Credit Suisse AG, Nassau Branch priced $2.83 million of high/low coupon callable yield notes due March 21, 2012 linked to the S&P 500 index, 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 70% of its initial level.
If a knock-in event does not occur during a monthly observation period, the coupon will equal 15.5% per year for that period. If a knock-in event does occur during an observation period, the coupon for that interest period and each subsequent quarterly interest period will be 4% per year. Interest is payable monthly.
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.
The notes are callable at par on any interest payment date beginning on Nov. 21.
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 and Market Vectors Gold Miners ETF
|
| Amount: | $2,834,000
|
| Maturity: | March 21, 2012
|
| Coupon: | 15.5% if no component falls to or below knock-in level during monthly observation period; otherwise, 4% for that period and afterward; payable monthly
|
| 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 beginning on Nov. 21
|
| Initial levels: | 1,216.01 for S&P, 714.31 for Russell, $64.11 for gold fund
|
| Knock-in levels: | 851.207 for S&P, 500.017 for Russell, $44.877 for gold fund; 70% of initial levels
|
| Pricing date: | Sept. 16
|
| Settlement date: | Sept. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546TED9
|
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