Published on 9/19/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $735,000 high/low coupon callable yield notes linked to index, funds
By Angela McDaniels
Tacoma, Wash., Sept. 19 - Credit Suisse AG, Nassau Branch priced $735,000 of high/low coupon callable yield notes due March 20, 2015 linked to the Euro Stoxx 50 index, 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 will occur if any underlying component closes at or below its knock-in level, 60% of its initial level.
Interest is payable quarterly. The coupon will be 10% per year unless a knock-in event occurs, in which case the coupon will be 1% per year for that and each subsequent quarterly interest period.
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 agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying components: | Euro Stoxx 50 index, the iShares MSCI Emerging Markets exchange-traded fund and the United States Oil Fund, LP,
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Amount: | $735,000
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Maturity: | March 20, 2015
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Coupon: | 11% per year unless any underlying component closes at or below knock-in level during life of 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 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: | 2,890.95 for index, $41.53 for emerging markets ETF and $37.74 for oil fund
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Knock-in levels: | 1,734.57 for index, $24.918 for emerging markets ETF and $22.644 for oil fund; 60% of initial levels
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Pricing date: | Sept. 17
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Settlement date: | Sept. 20
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | Up to 0.55% for referral fees
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Cusip: | 22547QB47
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