Published on 12/17/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $956,000 contingent coupon autocallables linked to Russell, S&P 500
By Susanna Moon
Chicago, Dec. 17 – Credit Suisse AG, London branch priced $956,000 of contingent coupon autocallable yield notes due Dec. 16, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.05% if each index closes at or above its coupon barrier level, 65% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date after one year.
The payout at maturity will be par plus the final contingent coupon unless either index finishes below its 65% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $956,000
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| Maturity: | Dec. 16, 2020
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| Coupon: | 7.05% annualized, payable quarterly if each index closes at or above barrier level on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case full exposure to losses of worse performing index
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| Call option: | At par if each index closes at or above its initial level on any review date beginning Dec. 16, 2016
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| Initial levels: | 2,012.37 for S&P, 1,123.608 for Russell
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| Barrier levels: | 65% of initial levels
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| Pricing date: | Dec. 11
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| Settlement date: | Dec. 16
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.175%
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| Cusip: | 22546VS56
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