Published on 7/30/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.22 million high/low coupon callable notes on Russell, two funds
By Toni Weeks
San Diego, July 30 - Credit Suisse AG, Nassau Branch priced $3.22 million of high/low coupon callable yield notes due July 31, 2013 linked to the Russell 2000 index, the United States Oil Fund, LP 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 a quarterly observation period.
If a knock-in event never occurs, the coupon will be 12%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
The notes are callable on any interest payment date.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners ETF
|
| Amount: | $3,217,000
|
| Maturity: | July 31, 2013
|
| Coupon: | 12% 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
|
| 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 Oct. 31
|
| Initial levels: | 777.11 for Russell, $33.41 for oil fund, $42.83 for gold fund
|
| Knock-in levels: | 427.4105 for Russell, $18.3755 for oil fund, $23.5565 for gold fund; 55% of initial levels
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546TVU2
|
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