Published on 3/20/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4 million contingent coupon callable notes linked to indexes
By Angela McDaniels
Tacoma, Wash., March 20 – Credit Suisse AG, London Branch priced $4 million of contingent coupon callable yield notes due March 24, 2025 linked to 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.
Each quarter, the notes will pay a coupon at a rate of 10% per year if each index closes at or above its coupon barrier level, 58% of its initial level, on the observation date for that quarter.
The notes are callable at par on any interest payment date.
If the notes are not called and the final index level of each index is greater than or equal to its knock-in level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the lowest-performing index level is less than its initial level.
Incapital LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
|
| Amount: | $4 million
|
| Maturity: | March 24, 2025
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| Coupon: | Each quarter, notes pay coupon at rate of 10% per year if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final index level of each index is greater than or equal to knock-in level, par; otherwise, 1% loss for each 1% that lowest-performing index level is less than initial level
|
| Call option: | At par on any interest payment date
|
| Initial index levels: | 3,672.16 for Euro Stoxx 50, 1,242.226 for Russell 2000 and 2,074.28 for S&P 500
|
| Knock-in levels: | 1,836.08 for Euro Stoxx 50, 621.113 for Russell 2000 and 1,037.14 for S&P 500; 50% of initial levels
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| Coupon barriers: | 2,129.8528 for Euro Stoxx 50, 720.49108 for Russell 2000 and 1,203.0824 for S&P 500; 58% of initial levels
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| Pricing date: | March 18
|
| Settlement date: | March 23
|
| Agent: | Incapital LLC
|
| Fees: | 1.5%
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| Cusip: | 22546VA22
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