Published on 6/22/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.41 million high/low coupon callable yield notes on fund, indexes
By Toni Weeks
San Diego, June 22 - Credit Suisse AG, Nassau Branch priced $1.41 million of high/low coupon callable yield notes due June 25, 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 55% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon will be 15%. 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.
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
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Issue: | High/low coupon callable yield notes
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Underlying components: | S&P 500 index, Russell 2000 index and Market Vectors Gold Miners ETF
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Amount: | $1,405,000
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Maturity: | June 25, 2013
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Coupon: | 15% if no component falls to or below knock-in level during monthly observation period; otherwise, 1% for that period and afterward; payable monthly
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Price: | Par
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Payout at maturity: | If knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
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Call option: | On any interest payment date beginning July 25
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Initial levels: | 1,355.69 for S&P 500, 784.05 for Russell, $47.27 for Gold Miners
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Knock-in levels: | 745.6295 for S&P 500, 431.2275 for Russell, $25.9985 for Gold Miners; 55% of initial levels
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Pricing date: | June 20
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Settlement date: | June 25
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.25%
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Cusip: | 22546TUU3
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