Published on 11/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.25 million high/low coupon callable notes on fund, two indexes
By Toni Weeks
San Diego, Nov. 29 - Credit Suisse AG, Nassau Branch priced $1.25 million of high/low coupon callable yield notes due Nov. 30, 2012 linked to the S&P 500 index, the Russell 2000 index 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 component falls to or below 50% of its initial level during the life of the notes.
If a knock-in event does not occur during a monthly observation period, the coupon will be 12.5% for that period. If a knock-in event occurs during a monthly observation period, the coupon for that interest period and each subsequent monthly interest period will be 1%. Interest is payable monthly.
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: | S&P 500 index, Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
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Amount: | $1,248,000
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Maturity date: | May 25, 2012
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Coupon: | 12.5% if any component does not fall to or below 50% of its initial level during a monthly observation period; otherwise, 1% for that period and thereafter; payable monthly
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Price: | Par
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Payout at maturity: | Par, unless any component falls to or below its knock-in level during life of notes, in which case par plus return of worst-performing component, capped at par
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Initial levels: | 1,158.67 for S&P 500, 666.16 for Russell, $54.79 for Gold Miners
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Knock-in levels: | 579.335 for S&P 500, 333.08 for Russell, $27.395 for Gold Miners
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Call option: | At par on any interest payment date
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Pricing date: | Nov. 25
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Settlement date: | Nov. 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546THB0
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