Published on 1/14/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3 million contingent coupon callable yield notes on indexes
By Tali Rackner
Norfolk, Va., Jan. 14 – Credit Suisse AG, London Branch priced $3 million of contingent coupon callable yield notes due July 13, 2018 linked to the Russell 2000 index, the S&P 500 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 contingent coupon at the rate of 9% per year unless any index closes below its barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.
The notes are callable in whole but not in part at par on any interest payment date beginning April 13, 2016.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index and Euro Stoxx 50 index
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| Amount: | $3 million
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| Maturity: | July 13, 2018
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 9% per year unless any index closes below barrier level on observation date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to decline of least-performing index
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| Call option: | In whole, at par on any interest payment date after April 13, 2016
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| Initial levels: | 1,046.202 for Russell, 1,922.03 for S&P, 3,033.47 for Euro Stoxx
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| Barrier/knock-in levels: | 627.7212 for Russell, 1,153.218 for S&P, 1,820.082 for Euro Stoxx; 60% of initial levels
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| Pricing date: | Jan. 8
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| Settlement date: | Jan. 13
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22546VUD6
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