Published on 11/20/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $474,000 high/low callable notes linked to fund, two indexes
By Susanna Moon
Chicago, Nov. 20 - Credit Suisse AG, Nassau Branch priced $474,000 of high/low coupon callable yield notes due Nov. 21, 2013 linked to the S&P 500 index, the Russell 2000 index 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 65% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon will be 9%. If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period is 1%. Interest is payable monthly.
The notes are callable at par on any interest payment date beginning 21, 2013.
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: | S&P 500 index, Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $474,000
|
| Maturity: | Nov. 21, 2013
|
| Coupon: | 9% if no component 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 component, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning March 21, 2013
|
| Initial levels: | 1,359.88 for S&P 500, 776.28 for Russell, $46.47 for gold fund
|
| Knock-in levels: | 883.922 for S&P 500, 504.582 for Russell, $30.2055 for gold fund; 65% of initial levels
|
| Pricing date: | Nov. 16
|
| Settlement date: | Nov. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TK67
|
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