Published on 1/22/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $900,000 high/low coupon callable notes linked to three indexes
By Toni Weeks
San Luis Obispo, Calif., Jan. 22 - Credit Suisse AG, London Branch priced $900,000 of high/low coupon callable yield notes due Jan. 25, 2016 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying index falls to or below 70% of its initial level 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 index, 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 indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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Amount: | $900,000
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Maturity: | Jan. 25, 2016
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Coupon: | 8% if none of the indexes fall 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 knock-in event occurs, par plus return of worst-performing index, capped at par; otherwise, par
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Call option: | On any interest payment date beginning April 16
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Initial levels: | 1,838.7 for S&P 500, 1,168.43 for Russell, 3,154.1 for Euro Stoxx
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Knock-in levels: | 1,287.09 for S&P 500, 817.901 for Russell, 2,207.87 for Euro Stoxx, 70% of initial levels
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Pricing date: | Jan. 17
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Settlement date: | Jan. 23
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.3%
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Cusip: | 22547QG59
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