Published on 6/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.59 million 11.5% callable yield notes tied to Russell, two funds
By Toni Weeks
San Diego, June 29 - Credit Suisse AG, Nassau Branch priced $1.59 million of 11.5% callable yield notes due June 29, 2012 linked to the Russell 2000 index, the U.S. Natural Gas Fund, LP, and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes are callable at par on any interest payment date beginning on Sept. 30.
The payout at maturity will be par unless any component falls to or below its knock-in level - 62.5% of its initial 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.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Callable yield notes
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Underlying components: | Russell 2000 index, U.S. Natural Gas Fund, LP, Market Vectors Gold Miners exchange-traded fund
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Amount: | $1,586,000
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Maturity: | June 29, 2012
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Coupon: | 11.5%, payable monthly
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Price: | Par
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Payout at maturity: | Par, unless any component falls to or below 62.5% of its initial level during life of notes, in which case par plus return of worst-performing component, maximum of par
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Initial levels: | 805.14 for Russell, $10.77 for gas fund, $52.52 for gold fund
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Knock-in levels: | 503.2125 for Russell, $6.7313 for gas fund, $32.825 for gold fund; 62.5% of initial levels
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Call option: | At par on any interest payment date beginning on Sept. 30
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Pricing date: | June 27
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Settlement date: | June 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TAS0
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