Published on 3/8/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.7 million high/low coupon notes tied to fund, two indexes
By Susanna Moon
Chicago, March 8 - Credit Suisse AG, Nassau Branch priced $1.7 million of high/low coupon callable yield notes due March 12, 2013 linked to the S&P 500 index, Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP 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 any observation period.
If a knock-in event never occurs, the coupon will be 12.25%. 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
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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 exchange-traded fund
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Amount: | $1,701,000
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Maturity: | March 12, 2013
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Coupon: | 12.25% 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 the return of the worst-performing component, capped at par; otherwise, par
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Call option: | On any interest payment date
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Initial levels: | 1,352.63 for S&P, 795.95 for Russell, $52.67 for gold fund
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Knock-in levels: | 743.9465 for S&P, 437.7725 for Russell, $28.9685 for gold fund; 55% of initial levels
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Pricing date: | March 7
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Settlement date: | March 12
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None to 0.25%
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Cusip: | 22546TPB1
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