Published on 2/2/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $617,000 contingent coupon callable yield notes on two indexes
By Toni Weeks
San Luis Obispo, Calif., Feb. 2 – Credit Suisse AG, London Branch priced $617,000 of contingent coupon callable yield notes due Feb. 2, 2021 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 annualized rate of 6.75% if each index closes at or above its coupon barrier level, 65% 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 the decline of the worst-performing index.
The notes will be callable at par on any interest payment date after one year.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $617,000
|
| Maturity: | Feb. 2, 2021
|
| Coupon: | 6.75% per year, payable quarterly if each index closes at or above 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 least-performing index; otherwise, par
|
| Call option: | At par plus coupon on any interest payment date beginning Feb. 2, 2016
|
| Initial levels: | 2,002.16 for S&P, 1,175.115 for Russell
|
| Coupon barrier/knock-in levels: | 1,301.404 for S&P, 763.825 for Russell; 65% of initial levels
|
| Pricing date: | Jan. 28
|
| Settlement date: | Feb. 2
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.5%
|
| Cusip: | 22546V2J4
|
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