Published on 11/16/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.73 million 11.25% callable yield notes on Russell 2000, gold ETF
By Jennifer Chiou
New York, Nov. 16 - Credit Suisse AG, Nassau Branch priced $2.73 million of 11.25% annualized callable yield notes due May 17, 2011 linked to the Russell 2000 index and Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable on Jan. 18, 2011, March 18, 2011 and at maturity.
The notes are callable at par on any interest payment date beginning Jan. 18, 2011.
The payout at maturity will be par unless the index or the fund falls to or below its knock-in level - 70% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worse-performing underlying 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, Market Vectors Gold Miners exchange-traded fund
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Amount: | $2,725,000
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Maturity: | May 17, 2011
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Coupon: | 11.25%, payable Jan. 18, 2011, March 18, 2011 and at maturity
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Price: | Par
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Payout at maturity: | If index or fund falls to or below its knock-in level during the life of the notes, par plus the return of the worse-performing underlying component, capped at par; otherwise, par
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Call option: | At par on any interest payment date beginning Jan. 18, 2011
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Initial levels: | 719.27 for Russell; $60.07 for Gold Miners
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Knock-in levels: | 503.489 for Russell and $42.049 for Gold Miners; 70% of initial levels
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Pricing date: | Nov. 12
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Settlement date: | Nov. 17
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546EE91
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