Published on 6/19/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.49 million high/low coupon callable yield notes on index, oil fund
By Jennifer Chiou
New York, June 19 - Credit Suisse AG, Nassau Branch priced $2,487,000 of high/low coupon callable yield notes due June 20, 2013 linked to 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 either underlying component falls to or below 55% of its initial level during the life of the notes.
If a knock-in event does not occur, the interest rate will be 8.5% annualized. If a knock-in event occurs during any observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date beginning on Sept. 20, 2012.
The payout at maturity will be par unless either 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
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| Issue: | High/low coupon callable yield notes
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| Underlying components: Russell 2000 index and United States Oil Fund, LP
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| Amount: | $2,487,000
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| Maturity: | June 20, 2013
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| Coupon: | 8.5% 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
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| 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 on Sept. 20, 2012
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| Initial levels: | 771.32 for Russell, $31.63 for United States Oil Fund
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| Knock-in levels: | 424.226 for Russell, $17.3965 for United States Oil Fund, all 55% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 20
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22546TUQ2
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