Published on 2/12/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $500,000 high/low coupon callable notes tied to Russell, oil fund
By Toni Weeks
San Luis Obispo, Calif., Feb. 4 - Credit Suisse AG, Nassau Branch priced $500,000 of high/low coupon callable yield notes due Aug. 13, 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 55% of its initial level during the life of the notes.
If a knock-in event never occurs, the coupon will be 9.25%. 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
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index and United States Oil Fund, LP
|
| Amount: | $500,000
|
| Maturity: | Aug. 13, 2014
|
| Coupon: | 9.25% if neither component falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call option: | On any interest payment date beginning May 13
|
| Initial levels: | 913.67 for Russell, $34.70 for oil fund
|
| Knock-in levels: | 502.5185 for Russell, $19.085 for oil fund, 55% of initial levels
|
| Pricing date: | Feb. 8
|
| Settlement date: | Feb. 13
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.5%
|
| Cusip: | 22546TY88
|
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