Published on 8/12/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $646,000 high/low coupon callable yield notes tied to index, ETFs
By Angela McDaniels
Tacoma, Wash., Aug. 12 - Credit Suisse AG, Nassau Branch priced $646,000 of high/low coupon callable yield notes due Aug. 15, 2012 linked to the Russell 2000 index, the United States Oil Fund, LP and the United States Natural Gas Fund, LP, 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 65% of its initial level.
Interest is payable quarterly. The coupon will be 26% per year unless a knock-in event occurs, in which case the coupon will be 1% 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 worst-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
|
| Issue: | High/low coupon callable yield notes
|
| Underlyings: | Russell 2000 index, United States Oil Fund, LP and United States Natural Gas Fund, LP
|
| Amount: | $646,000
|
| Maturity: | Aug. 15, 2012
|
| Coupon: | 26% per year unless any underlying component closes at or below its knock-in level, in which case coupon will be 1% from then on; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any underlying component closes at or below knock-in level during life of notes, par plus return of lowest-performing component, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 660.21 for index, $31.78 for oil fund, $10.10 for gas fund
|
| Knock-in levels: | 429.1365 for index, $20.675 for oil fund, $6.565 for gas fund; 65% of initial levels
|
| Pricing date: | Aug. 10
|
| Settlement date: | Aug. 15
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TDD0
|
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