Published on 6/17/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $496,000 12.75% callable yield notes linked to metals, gold funds
By Susanna Moon
Chicago, June 17 - Credit Suisse AG, Nassau Branch priced $496,000 of 12.75% annualized callable yield notes due Dec. 20, 2011 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable on Aug. 22, Oct. 20 and the maturity date.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless either component falls to or below its knock-in level - 77.5% 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
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Issue: | Callable yield notes
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Underlying funds: | SPDR S&P Metals & Mining exchange-traded fund, Market Vectors Gold Miners exchange-traded fund
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Amount: | $496,000
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Maturity: | Dec. 20, 2011
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Coupon: | 12.75%, payable Aug. 22, Oct. 20 and at maturity
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Price: | Par
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Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing fund, capped at par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | $64.18 for metals and mining fund, $53.06 for gold miners fund
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Knock-in levels: | $49.7395 for metals and mining fund, $41.1215 for gold miners fund; 77.5% of initial levels
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Pricing date: | June 15
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Settlement date: | June 20
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546E7H1
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