Published on 10/4/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.7 million high/low coupon notes linked to Russell, gas ETF, gold ETF
By Angela McDaniels
Tacoma, Wash., Oct. 4 - Credit Suisse AG, Nassau Branch priced $1.7 million of high/low coupon callable yield notes due Aug. 5, 2012 linked to the Russell 2000 index, the United States Oil Fund, LP 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 underlying component closes at or below 55% of its initial level.
The coupon will be 18% per year unless a knock-in event occurs, in which case the coupon for that and each subsequent interest period will be 3% per year. Interest is payable monthly.
The payout at maturity will be par unless a knock-in event has occurred, in which case investors will receive par plus the return of the worst-performing underlying component, up to a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1.7 million
|
| Maturity: | April 5, 2012
|
| Coupon: | 18% per year unless any underlying component closes at or below its knock-in level, in which case coupon will be 3% per year for that and each subsequent interest period; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any underlying component closes at or below its knock-in level during the life of the notes, par plus the return of the worst-performing underlying component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 644.16 for index, $30.50 for oil fund, $55.19 for gold fund
|
| Knock-in levels: | 354.288 for index, $16.775 for oil fund, $30.3545 for gold fund; 55% of initial levels
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546TFB2
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