Published on 6/2/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.43 million 8.75% callable yield notes tied to fund, two indexes
By Susanna Moon
Chicago, June 2 - Credit Suisse AG, Nassau Branch priced $1.43 million of 8.75% annualized callable yield notes due Dec. 5, 2011 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable Aug. 3, Oct. 3 and at maturity.
The payout at maturity will be par unless any component falls to or below its knock-in level - 75% 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
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Issue: | Callable yield notes
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Underlying components: | S&P 500 index, Russell 2000 index, Market Vectors Gold Miners ETF
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Amount: | $1,428,000
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Maturity: | Dec. 5, 2011
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Coupon: | 8.75%, payable Aug. 3, Oct. 3 and at maturity
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Price: | Par
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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
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Call option: | At par on any interest payment date
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Initial levels: | 1,345.200 for S&P, 848.300 for Russell, $58.15 for gold fund
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Knock-in levels: | 1,008.900 for S&P, 636.225 for Russell, $43.6125 for gold fund; 75% of initial levels
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Pricing date: | May 31
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Settlement date: | June 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546E6L3
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