Published on 11/26/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse lifts high/low coupon callable notes on fund, indexes to $499,000
By Marisa Wong
Madison, Wis., Nov. 26 - Credit Suisse AG, Nassau Branch priced an additional $25,000 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.
This brings the total deal size to $499,000. The initial $474,000 of notes and the add-on both priced on Nov. 16.
A knock-in event occurs if any underlying component falls to or below 65% of its initial level on any day during the life of the notes.
If a knock-in event never occurs, the coupon will be 9%, with the exact rate to be set at pricing. 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 March 21, 2013.
The payout at maturity will be par unless a knock-in event occurs, 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, Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $499,000 (in two tranches of $474,000 and $25,000)
|
| Maturity: | Nov. 21, 2013
|
| Coupon: | 9% unless knock-in event occurs during any monthly observation period, in which case coupon for that interest period and each subsequent interest period is 1%; payable monthly
|
| Price: | Par
|
| Call option: | At par on any interest payment date beginning March 21, 2013
|
| Payout at maturity: | Par unless knock-in event occurs, in which case par plus return of worst-performing component, up to a maximum payout of par
|
| Knock-in event: | Any underlying component falls to or below knock-in level on any day during life of notes
|
| Initial levels: | 1,359.88 for S&P, 776.28 for Russell, $46.47 for Gold Miners
|
| Knock-in levels: | 883.922 for S&P, 504.582 for Russell, $30.2055 for Gold Miners; 65% of initial prices
|
| Pricing date: | Nov. 16
|
| Settlement date: | Nov. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TK67
|
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