Published on 7/28/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.35 million 14.5% callable yield notes tied to silver, gas funds
By Susanna Moon
Chicago, July 28 - Credit Suisse AG, Nassau Branch priced $1.35 million of 14.5% callable yield notes due July 30, 2012 linked to the iShares Silver Trust and the United States Natural Gas Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The payout at maturity will be par unless either fund's shares fall 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 fund, up to a maximum payout of par.
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 funds: | iShares Silver Trust and the United States Natural Gas Fund, LP
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Amount: | $1,345,000
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Maturity: | July 30, 2012
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Coupon: | 14.5%, payable monthly
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Price: | Par
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Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing fund, capped at par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | $39.90 for silver fund, $10.97 for gas fund
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Knock-in levels: | $27.93 for silver fund, $7.679 for gas fund; 70% of initial levels
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Pricing date: | July 26
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Settlement date: | July 29
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22546TCX7
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