Published on 10/30/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $742,000 high/low coupon callable yield notes on index, funds
By Susanna Moon
Chicago, Oct. 30 – Credit Suisse AG, London Branch priced $742,000 of high/low coupon callable yield notes due May 3, 2016 linked to the Russell 2000 index, the Market Vectors Gold Miners 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, during the life of the notes.
Interest is payable quarterly. The coupon will be 10.5% 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 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 notes
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| Underlying components: | Russell 2000 index, Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP
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| Amount: | $742,000
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| Maturity: | May 3, 2016
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| Coupon: | 10.5% 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 component closes at or below knock-in level during life of notes, par plus return of worst performing component, capped at par; otherwise, par
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| Call option: | At par on any interest payment date
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| Initial levels: | 1,146.37 for Russell, $31.23 for oil fund and $19.64 for gold fund
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| Knock-in levels: | 687.8214 for Russell, $18.738 for oil fund and $11.784 for gold fund; 60% of initial levels
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| Pricing date: | Oct. 29
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| Settlement date: | Nov. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.8%
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| Cusip: | 22547QVV5
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