Published on 5/25/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $514,000 11.3% callable yield notes linked to index, two funds
By Toni Weeks
San Diego, May 25 - Credit Suisse AG, Nassau Branch priced $514,000 of 11.3% callable yield notes due May 29, 2012 linked to the Russell 2000 index, the SPDR S&P Homebuilders exchange-traded fund and the United States Natural Gas Fund, LP, 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 Aug. 29.
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.
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 United States Natural Gas Fund, LP
|
| Amount: | $514,000
|
| Maturity: | May 29, 2012
|
| Coupon: | 11.3%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless any component falls to or below knock-in level during life of notes, in which case par plus return of worst-performing component, up to maximum of par
|
| Call option: | At par on any interest payment date beginning Aug. 29
|
| Initial levels: | 814.04 for Russell, $18.20 for Homebuilders, $11.13 for gas fund
|
| Knock-in levels: | 569.828 for Russell, $12.74 for Homebuilders, $7.791 for gas fund; 70% of initial levels
|
| Pricing date: | May 23
|
| Settlement date: | May 26
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22546E7B4
|
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