Published on 6/22/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million contingent coupon callable notes on three indexes
By Susanna Moon
Chicago, June 22 – Credit Suisse AG, Nassau Branch priced $2 million of contingent coupon callable yield notes due June 25, 2018 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 9% per year if each index closes at or above its coupon barrier level, 65% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any index finishes below its knock-in level, 65% of its initial level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are callable at par on any interest payment date.
Barclays is the agent.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Contingent coupon callable yield notes
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Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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Amount: | $2 million
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Maturity: | June 25, 2018
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Coupon: | 9% annualized, payable quarterly if each index closes at or above its barrier level on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its knock-in level, in which case par plus return of worst performing index, with full exposure to losses
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Call option: | On any contingent coupon payment date
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Initial levels: | 2,121.24 for S&P, 1,284.676 for Russell, 3,450.45 for Stoxx
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Barrier levels: | 1,378.806 for S&P, 835.0394 for Russell, 2,242.7925 for Stoxx; 65% of initial levels
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Pricing date: | June 18
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Settlement date: | June 23
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Agent: | Barclays
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Fees: | 1.75%
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Cusip: | 22546VFP6
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