Published on 10/29/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.1 million contingent coupon autocallable yield notes on indexes
By Susanna Moon
Chicago, Oct. 29 – Credit Suisse AG, London Branch priced $2.1 million of contingent coupon autocallable yield notes due Oct. 29, 2024 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 9.375% if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above the initial level on any interest payment date.
The payout at maturity will be par unless any index finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 and Euro Stoxx 50
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| Amount: | $2,099,000
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| Maturity: | Oct. 29, 2024
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| Coupon: | 9.375%, 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: | If any index falls below knock-in level, par plus return of worst performing index; otherwise, par
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| Call: | At par plus coupon if each index closes at or above initial level on any interest payment date
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| Initial levels: | 1,964.58 for S&P, 3,030.37 for Euro Stoxx, 1,118.824 for Russell
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| Coupon barriers: | 1,473.435 for S&P, 2,272.7775 for Euro Stoxx, 1118.824 for Russell; 75% of initial levels
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| Barrier levels: | 1,178.748 for S&P, 1,818.222 for Euro Stoxx, 671.2944 for Russell; 60% of initial levels
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| Pricing date: | Oct. 24
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| Settlement date: | Oct. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.9425%
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| Cusip: | 22547QVA1
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