Published on 12/23/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $534,000 high/low coupon callable yield notes on S&P, metals ETF
By Jennifer Chiou
New York, Dec. 23 - Credit Suisse AG, Nassau Branch priced $534,000 of high/low coupon callable yield notes due June 27, 2011 linked to the S&P 500 index and the SPDR S&P Metals & Mining exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event will occur if either underlying component closes at or below 75% of its initial level.
Interest is payable on Feb. 28, 2011, April 27, 2011 and at maturity. The coupon will be 14% per year unless a knock-in event occurs, in which case the coupon will be 5% 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 lower-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 underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index and SPDR S&P Metals & Mining exchange-traded fund
|
| Amount: | $534,000
|
| Maturity: | June 27, 2011
|
| Coupon: | 14% per year unless either underlying component closes at or below its knock-in level, in which case coupon will be 5% from then on; payable on Feb. 28, 2011, April 27, 2011 and at maturity
|
| Price: | Par
|
| Payout at maturity: | If either underlying component closes at or below its knock-in level during life of the notes, par plus return of lower-performing underlying, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 1,254.60 for index and $68.24 for ETF
|
| Knock-in levels: | 940.95 for index and $51.18 for ETF; 75% of initial levels
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 27
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.25%
|
| Cusip: | 22546EL69
|
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