Published on 12/10/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.28 million 7.55% contingent coupon buffered notes on indexes
By Marisa Wong
Madison, Wis., Dec. 10 – Credit Suisse AG, London Branch priced $2.28 million of autocallable contingent coupon buffered securities due Dec. 12, 2022 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 7.55% if each index closes at or above its coupon barrier level, 75% 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 Dec. 6, 2017.
The payout at maturity will be par unless either index falls by more than 10%, in which case investors will lose 1.1111% for each 1% decline beyond the 10% buffer of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent coupon buffered securities
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| Underlying indexes: | Russell 2000 and Euro Stoxx 50
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| Amount: | $2,277,000
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| Maturity: | Dec. 12, 2022
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| Coupon: | 7.55%, 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 10% buffer, par minus 1.1111% for each 1% drop beyond 10% of worst performing index; otherwise, par
|
| Call option: | Automatically at par plus the contingent coupon on any interest payment date beginning Dec. 6, 2017 if either index closes at or above its initial level
|
| Initial levels: | 1,167.313 for Russell 2000 and 3,247.99 for Euro Stoxx 50
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| Barrier levels: | 875.48475 for Russell 2000 and 2,435.99 for Euro Stoxx 50; 75% of initial levels
|
| Pricing date: | Dec. 8
|
| Settlement date: | Dec. 11
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2%
|
| Cusip: | 22547QYZ3
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