Published on 6/14/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.84 million callable contingent income notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, June 14 – Credit Suisse AG, London Branch priced $4.84 million of callable contingent income securities due June 13, 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 coupon at the rate of 5.5% per year if each index closes at or above the barrier level, 69% of the initial index level, on the observation date for that quarter.
If each index finishes at or above the knock-in level, 55% of its initial level, the payout at maturity will be par plus the final coupon, if applicable. If the index finishes below the knock-in level, investors will be fully exposed to the decline of the worse performing from its initial level.
The notes will be callable at par plus any coupon owed on any quarterly redemption date.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Wealth Management is acting as distributor.
| Issuer: | Credit Suisse AG
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $4,835,000
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| Maturity: | June 13, 2019
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| Coupon: | 5.5% per year, payable each quarter that each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above knock-in level; otherwise, full exposure to decline of worse performing index
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| Call option: | At par plus any contingent coupon owned on any quarterly redemption date
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| Initial levels: | 2,096.07 for S&P, 1,163.931 for Russell
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| Barrier levels: | 1,446.29 for S&P, 803.112 for Russell, 69% of initial levels
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| Knock-in levels: | 1,152.84 for S&P, 640.162 for Russell, 55% of initial levels
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| Pricing date: | June 10
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| Settlement date: | June 15
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley & Co. LLC handling distribution
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| Fees: | 2.5%
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| Cusip: | 22548QAN5
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