Published on 8/12/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.4 million 11.35% callable yield notes on Russell, two funds
By Marisa Wong
Madison, Wis., Aug. 12 - Credit Suisse AG, Nassau Branch priced $1.4 million of 11.35% callable yield notes due Aug. 16, 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 an FWP filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes are callable at par on any interest payment date beginning Nov. 16.
The payout at maturity will be par unless any component falls to or below its knock-in level - 57.5% 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
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Issue: | Callable yield notes
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Underlying components: | Russell 2000 index, United States Natural Gas Fund LP and Market Vectors Gold Miners ETF
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Amount: | $1,403,000
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Maturity: | Aug. 16, 2012
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Coupon: | 11.35%, payable monthly
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Price: | Par
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Payout at maturity: | Par, unless any component falls to or below 57.5% of its initial level during life of notes, in which case par plus return of worst performing component, maximum of par
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Initial levels: | 695.89 for Russell, $10.40 for gas fund, $59.85 for gold fund
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Knock-in levels: | 400.1368 for Russell, $5.98 for gas fund, $34.4138 for gold fund; 57.5% of initial levels
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Call option: | At par on any interest payment date beginning Nov. 16
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Pricing date: | Aug. 11
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Settlement date: | Aug. 16
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2% to 2.25%
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Cusip: | 22546TDX6
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