Published on 8/4/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $612,000 high/low coupon callable yield notes on index, two funds
By Toni Weeks
San Diego, Aug. 4 - Credit Suisse AG, Nassau Branch priced $612,000 of high/low coupon callable yield notes due Aug. 8, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Natural Gas Fund, LP, according to an FWP filing with the Securities and Exchange Commission.
A knock-in event occurs if any component falls to or below 66% of its initial level.
If a knock-in event does not occur during a monthly observation period, the coupon will be 18% 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%. Interest is payable monthly.
The payout at maturity will be par unless either 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 Nov. 8.
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, Market Vectors Gold Miners ETF and U.S. Natural Gas Fund, LP
|
| Amount: | $612,000
|
| Maturity: | Aug. 8, 2012
|
| Coupon: | 18% 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 Nov. 8
|
| Initial levels: | 772.78 for Russell, $59.20 for gold fund, $10.34 for gas fund
|
| Knock-in levels: | 510.0348 for Russell, $39.072 for gold fund, $6.8244 for gas fund, 66% of initial levels
|
| Pricing date: | Aug. 3
|
| Settlement date: | Aug. 8
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22546TCZ2
|
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