Published on 7/31/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million contingent coupon callable yield notes on two indexes
By Jennifer Chiou
New York, July 31 – Credit Suisse AG, London Branch priced $2 million of contingent coupon callable yield notes due July 31, 2024 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.65% if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that period.
The notes will be callable at par plus the contingent coupon, if any, on any quarterly interest payment date beginning on Oct. 31.
The payout at maturity will be par unless either index finishes at or below its 50% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2 million
|
| Maturity: | July 31, 2024
|
| Coupon: | 7.65% per year, payable quarterly, if each index closes at or above its barrier level on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | If either underlying component falls to or below knock-in level, par plus return of worst-performing underlying index; otherwise, par
|
| Call option: | At par plus coupon, if any, on any interest payment date beginning on Oct. 31
|
| Initial levels: | 1,978.91 for S&P, 1,139.50 for Russell
|
| Barrier levels: | 1,484.1825 for S&P, 854.625 for Russell, 75% of initial levels
|
| Knock-in levels: | 989.455 for S&P, 569.75 for Russell, 50% of initial levels
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.625%
|
| Cusip: | 22547QQM1
|
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