Published on 2/27/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.8 million high/low coupon callable yield notes on indexes
By Susanna Moon
Chicago, Feb. 27 - Credit Suisse AG, London Branch priced $2.8 million of high/low coupon callable yield noes due Aug. 28, 2015 linked to 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 either underlying component ever closes at or below 65% of its initial level on any day during the life of the notes.
The coupon will be 7.6% unless a knock-in event occurs during any quarterly observation period, in which case the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
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.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | High/low coupon callable yield
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Underlying indexes: | Russell 2000, Euro Stoxx 50
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Amount: | $2,801,000
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Maturity: | Aug. 28, 2015
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Coupon: | 7.6% unless knock-in event occurs during any quarterly observation period, in which case coupon for that interest period and each subsequent interest period will be 1%; payable quarterly
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Price: | Par
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Payout at maturity: | If either index ever dips below barrier level, par plus return of worst performing index, capped at par; otherwise, par
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Call option: | At par on any interest payment date
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Initial levels: | 1,173.95 for Russell, 3,157.48 for Euro Stoxx
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Barrier levels: | 763.0675 for Russell, 2,052.362 for Euro Stoxx; 65% of initial levels
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Pricing date: | Feb. 25
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Settlement date: | Feb. 28
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.55%
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Cusip: | 22547QJJ6
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