Published on 12/29/2010 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $887,000 9.25% callable yield notes linked to Russell 2000, gold ETF
By Angela McDaniels
Tacoma, Wash., Dec. 27 - Credit Suisse AG, Nassau Branch priced $887,000 of callable yield notes due June 28, 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.
The six-month notes carry an annualized coupon of 9.25%. Interest is payable on Feb. 28, April 28 and at maturity.
The payout at maturity will be par unless either underlying 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 underlying component, capped at a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Callable yield notes
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Underlying components: | Russell 2000 index and Market Vectors Gold Miners ETF
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Amount: | $887,000
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Maturity: | June 28, 2011
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Coupon: | 9.25%, payable on Feb. 28, April 28 and at maturity
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Price: | Par
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Payout at maturity: | If either underlying component falls to or below knock-in level during life of notes, par plus return of worst-performing underlying component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 790.59 for index and $59.89 for ETF
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Knock-in levels: | 553.413 for index and $41.923 for ETF; 70% of initial prices
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Pricing date: | Dec. 22
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Settlement date: | Dec. 28
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546EJ54
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