Published on 3/7/2013 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.85 million high/low coupon callable yield notes on Russell, ETFs
By Toni Weeks
San Luis Obispo, Calif., March 7 - Credit Suisse AG, Nassau Branch priced $1.85 million of high/low coupon callable yield notes due June 9, 2014 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund, 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, 65% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 9.25% 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 lowest-performing underlying component, subject to a maximum payout of par.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the underwriter.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | High/low coupon callable yield notes
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Underlying components: | Russell 2000 index, United States Oil Fund, LP and Market Vectors Gold Miners exchange-traded fund
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Amount: | $1,851,000
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Maturity: | June 9, 2014
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Coupon: | 9.25% per year unless any underlying component closes at or below its knock-in level during the life of the 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 underlying component closes at or below its knock-in level during life of notes, par plus return of lowest-performing underlying component, up to maximum payout of par; otherwise, par
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Call option: | At par on any interest payment date beginning June 10
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Initial levels: | 927.4 for Russell, $32.69 for oil fund and $35.93 for gold fund
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Knock-in levels: | 602.81 for Russell, $21.2485 for oil fund and $23.3545 for gold fund; 65% of initial levels
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Pricing date: | March 5
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Settlement date: | March 8
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 2.25%
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Cusip: | 22546T2H3
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