Published on 8/4/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.67 million high/low coupon callable yield notes on index, funds
By Jennifer Chiou
New York, Aug. 4 - Credit Suisse AG, Nassau Branch priced $1.67 million of high/low coupon callable yield notes due Aug. 6, 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 70% of its initial level.
If a knock-in event does not occur during a monthly observation period, the coupon will be 15.4% 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 on Nov. 7.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying components: | Russell 2000 index, Market Vectors Gold Miners ETF and U.S. Natural Gas Fund, LP
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Amount: | $1,667,000
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Maturity: | Aug. 6, 2012
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Coupon: | 15.4% if no component falls to or below knock-in level during monthly observation period; otherwise, 4% for that period and afterward; payable monthly
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Price: | Par
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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
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Call option: | At par on any interest payment date beginning on Nov. 7
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Initial levels: | 767.07 for Russell, $58.45 for gold fund, $10.49 for gas fund
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Knock-in levels: | 536.907 for Russell, $40.915 for gold fund, $7.343 for gas fund, 70% of initial levels
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Pricing date: | Aug. 2
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Settlement date: | Aug. 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TCG4
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