Published on 12/14/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.85 million 10.75% callable yield notes tied to Russell, gold ETF
By Angela McDaniels
Tacoma, Wash., Dec. 14 - Credit Suisse AG, Nassau Branch priced $2.85 million of callable yield notes due June 15, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes pay 5.375% for an annualized coupon of 10.75%. Interest is payable Feb. 15, April 15 and at maturity.
The payout at maturity will be par unless either underlying component 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 worst-performing underlying component, subject to a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $2,852,000
|
| Maturity: | June 15, 2011
|
| Coupon: | 10.75%, payable Feb. 15, April 15 and at maturity
|
| Price: | Par
|
| Payout at maturity: | If either underlying component falls to or below knock-in level during life of notes, par plus return of worst-performing underlying component, up to maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 776.83 for index and $61.66 for ETF
|
| Knock-in levels: | 543.781 for index and $43.162 for ETF, 70% of initial levels
|
| Pricing date: | Dec. 10
|
| Settlement date: | Dec. 15
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546EA46
|
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