Published on 10/4/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.09 million 12% callable yield notes on Russell 2000, gold ETF
By Jennifer Chiou
New York, Oct. 4 - Credit Suisse AG, Nassau Branch priced $4.09 million of 12% annualized callable yield notes due April 5, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable on Dec. 5, 2010, Feb. 5, 2011 and at maturity.
The payout at maturity will be par unless either underlying component 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 underlying component, subject to a maximum return of par.
The notes are callable at par on any interest payment date beginning on Dec. 5, 2010.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Callable yield notes
|
| Underlying components: | Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $4,094,000
|
| Maturity: | April 5, 2011
|
| Coupon: | 12%, payable on Dec. 5, 2010, Feb. 5, 2011 and at maturity
|
| Price: | Par
|
| Payout at maturity: | If either underlying 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 payout of par; otherwise, par
|
| Call option: | At par on any interest payment date beginning on Dec. 5, 2010
|
| Initial levels: | 676.14 for index and $55.93 for ETF
|
| Knock-in levels: | 439.491 for index and $36.3545 for ETF, 65% of initial levels
|
| Pricing date: | Sept. 30
|
| Settlement date: | Oct. 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546EZG2
|
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