Published on 10/22/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $720,000 high/low coupon callable notes linked to S&P 500, Russell
By Toni Weeks
San Diego, Oct. 22 - Credit Suisse AG, Nassau Branch priced $720,000 of high/low coupon callable yield notes due April 23, 2014 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 63% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon will be 5%. If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable monthly.
The notes are callable at par on any interest payment date beginning July 23, 2013.
The payout at maturity will be par unless either index 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 index, 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 indexes: | S&P 500 and Russell 2000
|
| Amount: | $720,000
|
| Maturity: | April 23, 2014
|
| Coupon: | 5% if neither index falls to or below knock-in level during monthly observation period; otherwise, 1% for that period and afterward; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worst-performing index, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning July 23, 2013
|
| Initial levels: | 1,457.34 for S&P 500, 837.12 for Russell
|
| Knock-in levels: | 918.1242 for S&P 500, 527.3856 for Russell, 63% of initial levels
|
| Pricing date: | Oct. 18
|
| Settlement date: | Oct. 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TZY0
|
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