Published on 11/26/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million 9.25% contingent coupon buffered securities on Russell, Stoxx
New York, Nov. 26 – Credit Suisse AG, London Branch priced $1 million of 9.25% autocallable contingent coupon buffered securities due Nov. 28, 2017 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon of 9.25% if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that quarter.
The notes will be automatically called at par plus the contingent coupon if either index closes at or above its initial level on any quarterly observation date on or after May 22, 2015.
The payout at maturity will be par unless either index loses more than 20% in which case investors will lose 1% for each 1% the worst performing index declines beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent coupon buffered securities
|
| Underlying indexes: | Russell 2000 and Euro Stoxx 50
|
| Amount: | $1 million
|
| Maturity: | Nov. 28, 2017
|
| Coupon: | 9.25%, payable quarterly if each index closes at or above its barrier level on observation date for quarter
|
| Price: | Par
|
| Payout at maturity: | If either index falls by more than its 20% buffer, par minus 1% for each 1% that the worst performing index declines by more than 20%; otherwise, par
|
| Call option: | Automatically at par plus the contingent coupon on any interest payment date beginning May 22, 2015 if either index closes at or above its initial level
|
| Initial levels: | 1,172.416 for Russell 2000 and 3,194.22 for Euro Stoxx 50
|
| Barrier/knock-in levels: | 937.9328 for Russell 2000 and 2,555.376 for Euro Stoxx 50; 80% of initial levels
|
| Pricing date: | Nov. 24
|
| Settlement date: | Nov. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.1%
|
| Cusip: | 22547QY59
|
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