Published on 12/20/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.14 million high/low coupon callable notes on two indexes, oil fund
By Susanna Moon
Chicago, Dec. 20 - Credit Suisse AG, Nassau Branch priced $1.14 million of high/low coupon callable yield notes due Dec. 21, 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 either underlying index or fund falls to or below 60% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 16.25%. Otherwise, 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.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be 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: | S&P 500 index, Russell 2000 index and the United States Oil Fund, LP
|
| Amount: | $1,139,000
|
| Maturity: | Dec. 21, 2012
|
| Coupon: | 16.25% if neither index or fund 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: | 1,219.66 for S&P, 722.05 for Russell, $36.28 for fund
|
| Knock-in levels: | 731.796 for S&P, 433.230 for Russell, $21.768 for fund; 60% of initial levels
|
| Pricing date: | Dec. 16
|
| Settlement date: | Dec. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546THT1
|
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