Published on 10/31/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.14 million high/low coupon callable notes linked to Russell, funds
By Susanna Moon
Chicago, Oct. 31 - Credit Suisse AG, Nassau Branch priced $1.14 million of high/low coupon callable yield notes due Oct. 31, 2013 linked to the Russell 2000 index, United States Oil Fund, LP and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component ever falls to or below the 60% trigger level during the life of the notes.
The coupon will be 12% if a knock-in event never occurs during any quarterly observation period. Otherwise, the coupon for that period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless any component falls to or below its knock-in 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: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000, United States Oil Fund, LP and the Market Vectors Gold Miners ETF
|
| Amount: | $1,136,000
|
| Maturity: | Oct. 31, 2013
|
| Coupon: | 12% if neither component falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date
|
| Initial levels: | 813.25 for Russell, $31.79 for oil fund, $51.24 for gold fund
|
| Knock-in levels: | 487.95 for Russell, $19.074 for oil fund, $30.744 for gold fund; 60% of initial levels
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TF48
|
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