Published on 12/24/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $762,000 contingent coupon autocallables linked to indexes
By Toni Weeks
San Luis Obispo, Calif., Dec. 24 – Credit Suisse AG, London Branch priced $762,000 of contingent coupon autocallable yield notes due Dec. 30, 2024 linked to the S&P 500 index and the Russell 2000 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 7% if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either index finishes below its 65% knock-in level, in which case investors will be fully exposed to any losses of the worst-performing index.
The notes will be called at par if each index closes at or above its initial level on any interest payment date beginning Dec. 23, 2016.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500 index, Russell 2000
|
| Amount: | $762,000
|
| Maturity: | Dec. 30, 2024
|
| Coupon: | 7%, payable quarterly if each index closes at or above its barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If either index falls below knock-in level, par plus return of worst-performing index; otherwise, par
|
| Call: | At par plus coupon if each index closes at or above initial level on any interest payment date beginning Dec. 23, 2016
|
| Initial levels: | 2,082.17 for S&P, 1,202.428 for Russell
|
| Coupon barriers: | 1,561.6275 for S&P, 901.821 for Russell; 75% of initial levels
|
| Knock-in levels: | 1,353.4105 for S&P, 781.5782 for Russell; 65% of initial levels
|
| Pricing date: | Dec. 23
|
| Settlement date: | Dec. 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4%
|
| Cusip: | 22547QYL4
|
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