Published on 8/31/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.35 million high/low coupon callable notes on Russell, two funds
By Toni Weeks
San Diego, Aug. 31 - Credit Suisse AG, Nassau Branch priced $2.35 million of high/low coupon callable yield notes due Aug. 30, 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 55% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 11%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable on any interest payment date.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive 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: | $2,353,000
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Maturity: | Aug. 30, 2013
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Coupon: | 11% 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 Nov. 30
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Initial levels: | 814.28 for Russell, $35.79 for oil fund, $46.85 for gold fund
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Knock-in levels: | 447.854 for Russell, $19.6845 for oil fund, $25.7675 for gold fund; 55% of initial levels
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Pricing date: | Aug. 28
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Settlement date: | Aug. 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TXD8
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