Published on 1/29/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.52 million high/low coupon callable notes on Russell, oil fund
By Toni Weeks
San Luis Obispo, Calif., Jan. 29 - Credit Suisse AG, Nassau Branch priced $3.52 million of high/low coupon callable yield notes due July 31, 2014 linked to the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either underlying component falls to or below 65% 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 a knock-in event occurs, in which case investors will receive par 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: | Russell 2000 index and United States Oil Fund, LP
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Amount: | $3,523,000
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Maturity: | July 31, 2014
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Coupon: | 10% if neither component falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
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Price: | Par
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Payout at maturity: | If knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
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Call option: | On any interest payment date beginning April 30
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Initial levels: | 906.71 for Russell, $34.94 for oil fund
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Knock-in levels: | 589.3615 for Russell, $22.711 for oil fund, 65% of initial levels
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546TS28
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