Published on 8/2/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.91 million high/low coupon callable notes on S&P 500, Russell
By Toni Weeks
San Diego, Aug. 2 - Credit Suisse AG, Nassau Branch priced $1.91 million of high/low coupon callable yield notes due Nov. 4, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 60% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon will be 10%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period is expected to be 1%. Interest is payable quarterly.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless either index 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 index, 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 indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,908,000
|
| Maturity: | Nov. 4, 2013
|
| Coupon: | 10% if neither index 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 return of worst-performing index, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning Nov. 5
|
| Initial levels: | 1,379.32 for S&P 500, 786.94 for Russell
|
| Knock-in levels: | 827.592 for S&P 500, 472.164 for Russell, 60% of initial levels
|
| Pricing date: | July 31
|
| Settlement date: | Aug. 3
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546TVW8
|
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