Published on 8/12/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $696,000 high/low coupon autocallable notes on indexes, fund
By Toni Weeks
San Diego, Aug. 12 - Credit Suisse AG, Nassau Branch priced $696,000 of high/low coupon autocallable yield notes due Aug. 15, 2012 linked to the S&P 500 index, the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 65% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 18%.
If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent quarterly interest period will be 1%. Interest is payable quarterly.
The notes will be automatically called at par if the closing level of each underlying component is greater than its initial level on any quarterly observation date.
The payout at maturity will be par unless any component falls to or below its knock-in level - 65% of initial 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 autocallable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index, U.S. Oil Fund, LP
|
| Amount: | $696,000
|
| Maturity: | Aug. 15, 2012
|
| Coupon: | 18% if no 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 any component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call: | At par on any quarterly observation date if closing level of each underlying component is greater than its initial level
|
| Initial levels: | 1,120.76 for S&P 500, 660.21 for Russell, 31.78 for oil fund
|
| Knock-in levels: | 728.494 for S&P 500, 429.1365 for Russell, 20.657 for oil fund, 65% of initial levels
|
| Pricing date: | Aug. 10
|
| Settlement date: | Aug. 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TDE8
|
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