Published on 10/7/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million high/low coupon notes tied to indexes
By Marisa Wong
Morgantown, W.Va., Oct. 7 – Credit Suisse AG, London Branch priced $1 million of callable high/low coupon notes due April 5, 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, 70% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 11.5% 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 coupon 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.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1 million
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| Maturity: | April 5, 2017
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| Coupon: | 11.5% if index never dips below knock-in level; otherwise, 1% for that interest period and each subsequent interest period; payable quarterly
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| Price: | Par
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| Payout at maturity: | If index ever dips below knock-in level, par plus return of worst performing index, capped at par; otherwise, par
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| Call option: | At par on any coupon payment date
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| Initial levels: | 1,920.03 for S&P, 1,110.688 for Russell
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| Knock-in levels: | 1,344.021 for S&P, 777.4816 for Russell; 70% of initial levels
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.952%
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| Cusip: | 22546VL95
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