Published on 2/25/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $237,000 10.5% callable yield notes linked to Russell 2000, mining ETF
By Angela McDaniels
Tacoma, Wash., Feb. 25 - Credit Suisse AG, Nassau Branch priced $237,000 of 10.5% callable yield notes due Feb. 28, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining 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 either 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.
Beginning Aug. 28, 2011, 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: | Russell 2000 index and SPDR S&P Metals & Mining exchange-traded fund
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Amount: | $237,000
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Maturity: | Feb. 28, 2012
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Coupon: | 10.5%, payable quarterly
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Price: | Par
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Payout at maturity: | If either 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
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Call option: | At par on any interest payment date from Aug. 28, 2011 onward
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Initial levels: | 799.64 for index and $70.14 for ETF
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Knock-in levels: | 559.748 for index and $49.098 for ETF; 70% of initial levels
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Pricing date: | Feb. 23
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Settlement date: | Feb. 28
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546EU51
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