Published on 12/14/2011 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.41 million high/low coupon callable notes on indexes, ETF
By Marisa Wong
Madison, Wis., Dec. 14 - Credit Suisse AG, Nassau Branch priced $2.41 million of high/low coupon callable yield notes due Dec. 17, 2012 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 either index or the fund falls to or below 50% of its initial level on any day during the life of the notes.
If a knock-in event does not occur during a monthly observation period, the coupon will be an annualized 12% for that period. If a knock-in event occurs during a monthly observation period, the coupon for that interest period and each subsequent monthly interest period will be 1%. Interest is payable monthly.
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.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index, Market Vectors Gold Miners ETF
|
| Amount: | $2,412,000
|
| Maturity: | Dec. 17, 2012
|
| Coupon: | 12% if any component ever 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 any component falls to or below its knock-in level during the life of the notes, par plus the return of the worst-performing component, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 1,236.47 for S&P 500, 733.15 for Russell 2000, $55.80 for Gold Miners
|
| Knock-in levels: | 618.235 for S&P 500, 366.575 for Russell 2000, $27.90 for Gold Miners; 50% of initial levels
|
| Pricing date: | Dec. 12
|
| Settlement date: | Dec. 15
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.25%
|
| Cusip: | 22546THV6
|
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