Published on 8/29/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.12 million high/low coupon callable notes on indexes, fund
By Marisa Wong
Madison, Wis., Aug. 29 - Credit Suisse AG, Nassau Branch priced $1.12 million of high/low coupon callable yield notes due Aug. 31, 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 70% of its initial level during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 23%.
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 are callable on any interest payment date beginning Feb. 29, 2012.
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
|
| Issue: | High/low callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index, U.S. Oil Fund, LP
|
| Amount: | $1,122,000
|
| Maturity: | Aug. 31, 2012
|
| Coupon: | 23% 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 beginning Feb. 29, 2012
|
| Initial levels: | 1,176.80 for S&P 500, 691.79 for Russell, $33.15 for oil fund
|
| Knock-in levels: | 823.760 for S&P 500, 484.253 for Russell, $23.205 for oil fund, 70% of initial levels
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22546TDZ1
|
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