Published on 7/7/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.07 million high/low coupon notes on S&P, Russell
By Marisa Wong
Madison, Wis., July 7 – Credit Suisse AG, London Branch priced $1.07 million of high/low coupon callable yield notes due Jan. 6, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index ever closes below its knock-in level, 73% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 9% unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | High/low coupon callable yield notes
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| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,067,000
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| Maturity: | Jan. 6, 2017
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| Coupon: | 9% if index never dips below knock-in level; otherwise, 1% for that interest period and each subsequent interest period; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If index ever dips below knock-in level, par plus return of worst performing index, capped at par; otherwise, par
|
| Call option: | At par on any interest payment date
|
| Initial index levels: | 2,063.11 for S&P and 1,253.947 for Russell
|
| Knock-in levels: | 1,506.0703 for S&P and 915.3813 for Russell; 73% of initial levels
|
| Pricing date: | June 30
|
| Settlement date: | July 6
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.9%
|
| Cusip: | 22546VEB8
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