Published on 5/18/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.96 million high/low coupon notes on index, funds
By Marisa Wong
Madison, Wis., May 18 - Credit Suisse AG, Nassau Branch priced $2,956,000 of high/low coupon callable yield notes due May 21, 2013 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 60% of its initial level during the life of the notes.
If a knock-in event does not occur, the interest rate will be 12.5% annualized. If a knock-in event occurs during any observation period, the coupon for that interest 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
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Issue: | High/low coupon callable yield notes
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Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners ETF
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Amount: | $2,956,000
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Maturity: | May 21, 2013
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Coupon: | 12.5% if no component falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
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Price: | Par
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Payout at maturity: | If knock-in event occurs, par plus the return of the worst-performing component, capped at par; otherwise, par
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Call option: | On any interest payment date beginning Aug. 21
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Initial levels: | 772.11 for Russell, $35.05 for United States Oil Fund, $39.56 for Market Vectors Gold Miners
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Knock-in levels: | 463.266 for Russell, $21.030 for United States Oil Fund, $23.736 for Market Vectors Gold Miners; 60% of initial levels
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Pricing date: | May 16
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Settlement date: | May 21
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TSP7
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