Published on 5/27/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.24 million 15.25% callable yield notes on S&P, Market Vectors
By Jennifer Chiou
New York, May 27 - Credit Suisse, Nassau Branch priced $2.24 million of 15.25% annualized callable yield notes due Dec. 2, 2010 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable on Aug. 2, Oct. 2 and at maturity.
The notes are callable in whole at par on any interest payment date beginning Aug. 2, 2010.
The payout at maturity will be par unless either of the underlying components falls to or below its knock-in level - 75% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worse-performing component, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse, Nassau Branch
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Issue: | Callable yield notes
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Underlying components: | S&P 500 index and Market Vectors Gold Miners exchange-traded fund
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Amount: | $2.24 million
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Maturity: | Dec. 2, 2010
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Coupon: | 15.25%, payable on Aug. 2, Oct. 2 and at maturity
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Price: | Par
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Payout at maturity: | If either component falls to or below its knock-in level during the life of the notes, par plus the return of the worse-performing component, capped at par; otherwise, par
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Call option: | At par on interest payment dates beginning Aug. 2, 2010
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Initial levels: | 1,074.03 for S&P; $48.95 for Market Vectors Gold
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Knock-in levels: | 805.5225 for S&P; $36.7125 for Market Vectors Gold; 75% of initial levels
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Pricing date: | May 25
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Settlement date: | May 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22546ETD6
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