Credit Suisse prices high/low coupon notes linked to basket; Barclays readies oil-linked notes

By Sheri Kasprzak

New York, Sept. 24 - In structured products action Monday, Credit Suisse AG, Nassau Branch announced a small but interesting offering.

The bank priced $1.46 million of high/low coupon callable yield notes due June 25, 2013 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund.

Each of the underlying components is well known and trusted, which will bring some comfort to investors.

"It's interesting, but given the nature of each underlying, it seems like a comparatively low-risk structure," one sellside source said of the notes.

"For any of these to fall to or below 65% of the initial level over the course of a year isn't unheard of but seems unlikely."

Possibility of 10.75% coupon

The notes pay a 10.75% coupon unless a knock-in event occurs during any observation period. A knock-in event occurs if any underlying component falls to or below 65% of its initial level on any day during the life of the notes.

If a knock-in event occurs, the investor will receive a 1% coupon for that interest period and each subsequent interest period.

The payout at maturity is par unless any underlying component falls to or below its knock-in level during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.

The notes are callable at par on any interest payment date.

Barclays arranges oil notes

Elsewhere, Barclays Bank plc announced plans to bring 0% leveraged contingent barrier enhanced notes linked to Brent crude oil. This marks one of a few recent offerings linked to Brent crude oil.

These notes are due Oct. 9, 2013 and pay par plus three times the increase if the final price of Brent crude oil is greater than the initial price, subject to a maximum return of at least 30% that will be set at pricing.

If the price declines by 20% or less, investors receive par at maturity.

If the price declines by more than 20%, investors will be exposed to the decline from the initial price.

The offering is scheduled to price Friday.

Barclays is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as the dealers.

Deutsche Bank AG, London Branch said last week that it will come to market with one-year phoenix autocallable securities linked to Brent crude oil futures contract.

In that offering, if the futures contract closes at or above the threshold price - 80% of the initial price - on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 15% per year. Otherwise, no coupon will be paid that quarter.

If the futures contract closes at or above the initial price on a quarterly observation date, the notes will be called at par plus the contingent coupon.

If the notes are not called and the futures contract finishes at or above the threshold price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the decline from the initial price.

The notes were expected to price Sept. 21 and settle Wednesday.

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