Published on 1/30/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $750,000 high/low coupon callable notes on EM, oil funds
By Susanna Moon
Chicago, Jan. 30 - Credit Suisse AG, London Branch priced $750,000 of high/low coupon callable yield notes due July 31, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund 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 fund closes at or below 70% of its initial level on any day during the life of the notes.
If a knock-in event never occurs, the coupon will be 8%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will 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 fund, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | High/low coupon callable yield notes
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Underlying funds: | iShares MSCI Emerging Markets ETF, United States Oil Fund, LP
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Amount: | $750,000
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Maturity: | July 31, 2015
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Coupon: | 8% if neither fund 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 either underlying fund ever closes at or below knock-in level, par plus return of worst performing fund, capped at par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | $38.33 for EM fund, $34.69 for oil fund
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Knock-in levels: | $26.831 for EM fund, $24.283 for oil fund; 70% 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: | 2.8%
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Cusip: | 22547QFH4
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