Published on 3/8/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.6 million high/low coupon notes tied to fund, two indexes
By Susanna Moon
Chicago, March 8 - Credit Suisse AG, Nassau Branch priced $3.6 million of high/low coupon callable yield notes due Dec. 12, 2012 linked to the S&P 500 index, Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 55% of its initial level during any observation period.
If a knock-in event never occurs, the coupon will be 8%. If a knock-in event occurs during any monthly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable monthly.
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 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 Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $3,598,000
|
| Maturity: | Dec. 12, 2012
|
| Coupon: | 8% 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 the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date
|
| Initial levels: | 1,352.63 for S&P, 795.95 for Russell, $52.67 for gold fund
|
| Knock-in levels: | 743.9465 for S&P, 437.7725 for Russell, $28.9685 for gold fund; 55% of initial levels
|
| Pricing date: | March 7
|
| Settlement date: | March 12
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None to 0.25%
|
| Cusip: | 22546TPA3
|
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