Published on 9/2/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.75 million 11.5% callable yield notes tied to Russell, two funds
By Susanna Moon
Chicago, Sept. 2 - Credit Suisse AG, Nassau Branch priced $1.75 million of 11.5% callable yield notes due Sept. 6, 2012 linked to the Russell 2000 index, the United States Natural Gas Fund, LP and the SPDR S&P Metals & Mining exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes are callable at par on any interest payment date after three months.
The payout at maturity will be par unless the index or either fund 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.
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 SPDR S&P Metals & Mining exchange-traded fund
|
| Amount: | $1,753,000
|
| Maturity: | Sept. 6, 2012
|
| Coupon: | 11.5%, 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, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date beginning Dec. 6
|
| Initial levels: | 726.81 for Russell, $10.22 for gas fund, $58.57 for metals fund
|
| Knock-in levels: | 436.086 for Russell, $6.132 for gas fund, $35.142 for metals fund; 60% of initial levels
|
| Pricing date: | Aug. 31
|
| Settlement date: | Sept. 6
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TDM0
|
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