Published on 6/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $591,000 of 8.4% callable yield notes linked to Russell 2000, funds
By Toni Weeks
San Diego, June 29 - Credit Suisse AG, Nassau Branch priced $591,000 of 8.4% callable yield notes due June 29, 2012 linked to the Russell 2000 index, the SPDR S&P Homebuilders exchange-traded fund and the United States Natural Gas Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The payout at maturity will be par unless any component falls to or below its knock-in level - 60% 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.
The notes are callable at par on any interest payment date beginning on Sept. 30.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | Russell 2000 index, SPDR S&P Homebuilders exchange-traded fund and U.S. Natural Gas Fund, LP
|
| Amount: | $591,000
|
| Maturity: | June 29, 2012
|
| Coupon: | 8.4%, 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 Sept. 30, 2011
|
| Initial levels: | 805.14 for Russell, $17.92 for Homebuilders, $10.77 for gas fund
|
| Knock-in levels: | 483.084 for Russell, $10.752 for Homebuilders, $6.462 for gas, 60% of initial levels
|
| Pricing date: | June 27
|
| Settlement date: | June 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546TAU5
|
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