Published on 2/23/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million contingent coupon callable yield notes on indexes
By Marisa Wong
Madison, Wis., Feb. 23 – Credit Suisse AG, London Branch priced $2 million of contingent coupon callable yield notes due Feb. 27, 2017 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 an annual rate of 12.5% if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.
The notes will be callable on any contingent coupon payment date beginning on May 26.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London 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: | Feb. 27, 2017
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| Coupon: | 12.5% 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 beginning May 26
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| Initial levels: | 2,097.45 for S&P 500, 1,227.91 for Russell, 3,490.53 for Euro Stoxx
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| Barrier/knock-in levels: | 1,573.09 for S&P 500, 920.93 for Russell, 2,617.90 for Euro Stoxx; 75% of initial levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 26
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22546V5M4
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