Published on 3/21/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $604,000 high/low coupon callable notes tied to Russell, funds
By Susanna Moon
Chicago, March 21 - Credit Suisse AG, Nassau Branch priced $604,000 of high/low coupon callable yield notes due March 24, 2014 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 will occur if any underlying component closes at or below its knock-in level, 70% of its initial level, during the life of the notes.
The coupon will be 9.75% unless a knock-in event occurs, in which case it will be 1% annualized for that and each subsequent interest period. Interest is payable quarterly.
The payout at maturity will be par unless a knock-in event has occurred, in which case the payout will be par plus the return of the lowest-performing underlying 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 underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying funds: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners exchange-traded fund
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Amount: | $604,000
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Maturity: | March 24, 2014
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Coupon: | 9.75% per year unless any underlying component closes at or below its knock-in level during the life of the notes, in which case coupon will be 1% from then on; payable quarterly
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Price: | Par
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Payout at maturity: | If any underlying component closes at or below its knock-in level during life of notes, par plus return of lowest-performing underlying component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 942.85 for Russell, $33.07 for oil fund and $37.58 for gold fund
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Knock-in levels: | 659.995 for Russell, $23.149 for oil fund and $26.306 for gold fund; 70% of initial levels
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Pricing date: | March 19
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Settlement date: | March 22
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546T3Z2
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