Published on 2/4/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.05 million high/low coupon callable notes on S&P, Russell
By Tali Rackner
Norfolk, Va., Feb. 4 – Credit Suisse AG, London branch priced $1.05 million of high/low coupon callable yield notes due Aug. 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, 70% of its initial level, on any day during the life of the notes.
The notes will pay a coupon of 10% 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%. Interest is payable quarterly.
The notes are callable on any interest payment date beginning May 3, 2016.
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 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: | $1,054,000
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| Maturity: | Aug. 3, 2017
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| Coupon: | 10% 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 beginning May 3, 2016
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| Initial levels: | 1,940.24 for S&P, 1,035.381 for Russell
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| Knock-in levels: | 1,358.168 for S&P, 724.7667 for Russell; 70% of initial levels
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| Pricing date: | Jan. 29
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| Settlement date: | Feb. 5
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.9%
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| Cusip: | 22546VRY4
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