Published on 2/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $589,000 contingent coupon callable yield notes on indexes
By Tali Rackner
Norfolk, Va., Feb. 5 – Credit Suisse AG, London Branch priced $589,000 of contingent coupon callable yield notes due Feb. 3, 2021 linked to the S&P 500 index and the Russell 2000 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% if each index closes at or above its coupon barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the loss of the worse performing index.
Beginning Feb. 3, 2017, the notes may be called at par plus the contingent coupon on any interest payment.
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: | S&P 500 index and Russell 2000 index
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| Amount: | $589,000
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| Maturity: | Feb. 3, 2021
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 7% 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: | At par on any interest payment date beginning Feb. 3, 2017
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| Initial levels: | 1,940.24 for S&P, 1,035.381 for Russell
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| Barrier/knock-in levels: | 1,164.144 for S&P, 621.2286 for Russell; 60% of initial levels
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| Pricing date: | Jan. 29
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| Settlement date: | Feb. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22546VV37
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