Published on 3/30/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.44 million 9.35% callable yield notes on Russell 2000, two funds
By Jennifer Chiou
New York, March 30 - Credit Suisse AG, Nassau Branch priced $1.44 million of 9.35% callable yield notes due March 30, 2012 linked to the Russell 2000 index, the United States Natural Gas Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be payable monthly.
The payout at maturity will be par unless any component 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.
The notes are callable 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, United States Natural Gas Fund, LP, Market Vectors Gold Miners ETF
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Amount: | $1,435,000
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Maturity: | March 30, 2012
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Coupon: | 9.35%, payable monthly
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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, up to a maximum payment of par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 821.77 for Russell, $11.58 for gas fund, $58.51 for gold fund
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Knock-in levels: | 493.062 for Russell, $6.948 for gas fund, $35.106 for gold fund; 60% of initial levels
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Pricing date: | March 28
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Settlement date: | March 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546E2V5
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