Published on 11/10/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.19 million high/low coupon callable notes on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Nov. 10 – Credit Suisse AG, London Branch priced $2.19 million of callable high/low coupon notes due May 3, 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, 60% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 7.6% 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: | $2,193,000
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Maturity: | May 3, 2017
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Coupon: | 7.6% 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: | 2,090.35 for S&P, 1,178.716 for Russell
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Knock-in levels: | 60% of initial levels
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Pricing date: | Oct. 28
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Settlement date: | Nov. 2
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 0.6%
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Cusip: | 22546VPC4
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