New Issue: Credit Suisse prices $315,000 performance yield notes tied to two indexes, one ETF

By Marisa Wong

Madison, Wis., Aug. 3 - Credit Suisse AG, Nassau Branch priced $315,000 of performance yield notes due Feb. 6, 2012 linked to the worst performing of the S&P 500 index, the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will equal the sum of 17% plus 17% times the return of the worst-performing underlying on the applicable observation date. Interest is payable quarterly and cannot be less than zero.

The observation dates are Nov. 3, Feb. 2, May 3, 2011, Aug. 3, 2011, Nov. 2, 2011 and Feb. 1, 2012.

The notes are callable at par if the closing level of each underlying is greater than its knock-out level - 105% of the initial level - on any observation date.

A knock-in event occurs if any underlying closes at or below 70% of its initial level on Feb. 1, 2012.

If the notes are not called and a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing index or fund.

If the notes are not called and a knock-in event does not occur, the payout will be par.

Credit Suisse Securities (USA) LLC is the underwriter.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Performance yield notes
Underlyings:	S&P 500 index, Market Vectors Gold Miners exchange-traded fund and Russell 2000 index
Amount:	$315,000
Maturity:	Feb. 6, 2012
Coupon:	17% plus 17% times return of worst-performing underlying, subject to floor of zero; payable quarterly
Price:	Par
Payout at maturity:	If any underlying finishes at or below its knock-in level, par plus the return of the worst-performing underlying; otherwise, par
Call:	At par if each underlying closes above its initial knock-out level on Nov. 3, Feb. 2, May 3, 2011, Aug. 3, 2011, Nov. 2, 2011 or Feb. 1, 2012
Initial index levels:	1,101.60 for S&P 500, $48.22 for Gold Miners and 650.89 for Russell 2000
Knock-in levels:	771.12 for S&P 500, $33.754 for Gold Miners and 455.623 for Russell 2000; 70% of initial levels
Knock-out levels:	1,156.68 for S&P 500, $50.631 for Gold Miners and 683.4345 for Russell 2000; 105% of initial levels
Pricing date:	July 30
Settlement date:	Aug. 4
Underwriter:	Credit Suisse Securities (USA) LLC
Fees:	None
Cusip:	22546EWT7

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.