Published on 5/19/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.48 million 9% callable yield notes on Russell 2000, two funds
By Jennifer Chiou
New York, May 19 - Credit Suisse AG, Nassau Branch priced $1.48 million of 9% annualized callable yield notes due Nov. 21, 2011 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 - 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.
The notes are callable at par on July 21 or Sept. 21, 2011.
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: | $1,475,000
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Maturity: | Nov. 21, 2011
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Coupon: | 9%, 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, capped at par; otherwise, par
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Call option: | At par on July 21 or Sept. 21, 2011
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Initial levels: | 820.36 for Russell, $10.81 for gas fund, $54.98 for gold fund
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Knock-in levels: | 574.252 for Russell, $7.567 for gas fund, $38.486 for gold fund; 70% of initial levels
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Pricing date: | May 17
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Settlement date: | May 20
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22546E6S8
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