Published on 6/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.19 million 10.5% callable yield notes tied to Russell, two funds
By Toni Weeks
San Diego, June 29 - Credit Suisse AG, Nassau Branch priced $1.19 million of 10.5% annualized callable yield notes due Dec. 30, 2011 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 Aug. 31.
The payout at maturity will be par unless any component falls to or below its knock-in level - 71% 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: | $1,191,000
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Maturity: | Dec. 30, 2011
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Coupon: | 10.5%, payable monthly
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Price: | Par
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Payout at maturity: | Par unless any component falls to or below 71% 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: | 571.6494 for Russell, $7.6467 for gas fund, $37.2892 for gold fund; 71% of initial levels
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Call option: | At par on any interest payment date beginning on Aug. 31
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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: | 1.5%
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Cusip: | 22546TAT8
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