Published on 6/2/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $553,000 contingent coupon callable notes tied to two indexes
By Marisa Wong
Madison, Wis., June 2 – Credit Suisse AG, London Branch priced $553,000 of contingent coupon callable yield notes due May 29, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at a rate of 5.75% per year if each index closes at or above its coupon barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either index finishes below its knock-in level, 60% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index from its initial level.
The notes are callable at par on any interest payment date beginning May 31, 2016.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $553,000
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| Maturity: | May 29, 2019
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| Coupon: | 5.75% annualized, payable quarterly if each index closes at or above its barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its knock-in level, in which case par plus return of worst-performing index, with full exposure to losses
|
| Call option: | On any contingent coupon payment date beginning May 31, 2016
|
| Initial levels: | 2,104.20 for S&P, 1,238.756 for Russell
|
| Barrier/knock-in levels: | 1,262.52 for S&P, 743.2536 for Russell; 60% of initial levels
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| Pricing date: | May 26
|
| Settlement date: | May 29
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.16%
|
| Cusip: | 22546VD45
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