Published on 4/14/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.65 million 10.5% callable yield notes on Russell 2000, two funds
By Jennifer Chiou
New York, April 14 - Credit Suisse AG, Nassau Branch priced $1.65 million of 10.5% annualized callable yield notes due Oct. 17, 2011 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 will be payable monthly.
The payout at maturity will be par unless any 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 component, up to a maximum payout of par.
The notes are callable in whole on June 17 or Aug. 17.
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, Market Vectors Gold Miners ETF
|
| Amount: | $1,652,000
|
| Maturity: | Oct. 17, 2011
|
| Coupon: | 10.5%, 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, up to a maximum payment of par; otherwise, par
|
| Call option: | At par on June 17 or Aug. 17
|
| Initial levels: | 822.27 for Russell, $10.73 for gas fund, $61.09 for gold fund
|
| Knock-in levels: | 575.589 for Russell, $7.511 for gas fund, $42.763 for gold fund; 70% of initial levels
|
| Pricing date: | April 12
|
| Settlement date: | April 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22546E4M3
|
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