Published on 9/27/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million contingent coupon callable yield notes on indexes
By Toni Weeks
San Luis Obispo, Calif., Sept. 27 - Credit Suisse AG, London Branch priced $2 million of floating-rate contingent coupon callable yield notes due Sept. 29, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of Libor plus 700 basis points if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that quarter.
The notes will be callable at par plus the contingent coupon, if any, on any interest payment date beginning Sept. 30, 2014.
The payout at maturity will be par unless either index finishes at or below its 50% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Floating-rate contingent coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $2 million
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Maturity: | Sept. 9, 2023
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Coupon: | Libor plus 700 bps, payable quarterly if each index closes at or above its barrier level on quarterly observation date
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Price: | Par
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Payout at maturity: | If either underlying component falls to or below knock-in level, par plus return of worst-performing underlying index; otherwise, par
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Call option: | At par plus coupon, if any, on any interest payment date beginning Sept. 30, 2014
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Initial levels: | 1,692.77 for S&P, 1,073.51 for Russell
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Barrier levels: | 1,269.5775 for S&P, 805.1325 for Russell; 75% of initial levels
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Knock-in levels: | 846.385 for S&P 500, 536.755 for Russell; 50% of initial levels
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Pricing date: | Sept. 25
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Settlement date: | Sept. 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3%
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Cusip: | 22547QB88
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