Published on 3/2/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.02 million high/low coupon notes tied to Russell, two funds
By Marisa Wong
Madison, Wis., March 2 - Credit Suisse AG, Nassau Branch priced $3.02 million of high/low coupon callable yield notes due June 5, 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 52.5% of its initial level during any observation period.
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 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: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners ETF
|
| Amount: | $3.02 million
|
| Maturity: | June 5, 2013
|
| 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
|
| 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: | 810.94 for Russell, $40.92 for oil fund, $55.35 for gold fund
|
| Knock-in levels: | 425.7435 for Russell, $21.483 for oil fund, $29.05875 for gold fund; 52.5% of initial levels
|
| Pricing date: | Feb. 29
|
| Settlement date: | March 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
|
| Cusip: | 22546TNS6
|
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