Published on 2/15/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.25 million 10.75% callable yield notes on index, two funds
By Toni Weeks
San Diego, Feb. 15 - Credit Suisse AG, Nassau Branch priced $3.25 million of 10.75% callable yield notes due Feb. 16, 2012 linked to the performance of the Russell 2000 index, SPDR S&P Homebuilders exchange-traded fund and Market Vectors Gold Miners ETF, 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 beginning May 16.
The payout at maturity will be par unless any of the underlying components falls to or below its knock-in level - 65% 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, SPDR S&P Homebuilders exchange-traded fund and Market Vectors Gold Miners ETF
|
| Amount: | $3.25 million
|
| Maturity: | Feb. 16, 2012
|
| Coupon: | 10.75%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any of the components 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 of par; otherwise, par
|
| Call option: | At par on any interest payment date beginning May 16
|
| Initial levels: | 822.11 for Russell, $18.47 for Homebuilders, $55.73 for Gold Miners
|
| Knock-in levels: | 534.3715 for Russell, $12.0055 for Homebuilders, $36.2245 for Gold Miners; 65% of initial levels
|
| Pricing date: | Feb. 11
|
| Settlement date: | Feb. 16
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546ER63
|
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