Published on 3/1/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.63 million 9% callable yield notes linked to Russell 2000, two ETFs
By Angela McDaniels
Tacoma, Wash., March 1 - Credit Suisse AG, Nassau Branch priced $1.63 million of 9% callable yield notes due March 2, 2012 linked to the Russell 2000 index, the United States 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 quarterly.
The payout at maturity will be par unless any of the underlying components 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.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | Russell 2000 index, United States Natural Gas Fund, LP and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1,627,000
|
| Maturity: | March 2, 2012
|
| Coupon: | 9%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If any underlying component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, up to a maximum payout of par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 821.95 for Russell 2000, $5.36 for gas fund and $58.95 for gold ETF
|
| Knock-in levels: | 493.17 for Russell 2000, $3.216 for gas fund and $35.37 for gold ETF; 60% of initial levels
|
| Pricing date: | Feb. 25
|
| Settlement date: | March 2
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546EV92
|
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