Published on 9/27/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.71 million high/low coupon notes linked to Russell, two funds
By Susanna Moon
Chicago, Sept. 27 - Credit Suisse AG, Nassau Branch priced $2.71 million of high/low coupon callable yield notes due Sept. 30, 2013 linked to the Russell 2000 index, 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 on any day during the life of the notes.
The coupon will be 13% unless a knock-in event occurs during any observation period, in which case 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
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners ETF
|
| Amount: | $2,708,000
|
| Maturity: | Sept. 30, 2013
|
| Coupon: | 13% 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 knock-in event occurs, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date
|
| Initial levels: | 839.12 for Russell, $33.75 for oil fund, $52.17 for gold fund
|
| Knock-in levels: | 503.472 for Russell, $20.25 for oil fund, $31.302 for gold fund; 60% of initial levels
|
| Pricing date: | Sept. 25
|
| Settlement date: | Sept. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TYG0
|
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