Published on 2/24/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.64 million contingent coupon callable yield notes on indexes
By Tali Rackner
Norfolk, Va., Feb. 24 – Credit Suisse AG, London Branch priced $3.64 million of contingent coupon callable yield notes due Feb. 26, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.5% if each index closes at or above its coupon barrier level, 70% of its initial level, on a semiannual observation date.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be fully exposed to any loss of the worse performing index.
Beginning on Aug. 26, 2016, the notes will be callable at par on any interest payment date.
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: | $3,644,000
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| Maturity: | Feb. 26, 2019
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| Coupon: | 9.5% per year unless either index closes below barrier level on a semiannual observation date
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless either 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 Aug. 26, 2016
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| Initial levels: | 1,917.78 for S&P, 1,010.011 for Russell
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| Barrier/knock-in levels: | 1,342.446 for S&P, 707.0077 for Russell; 70% of initial levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 26
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.3%
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| Cusip: | 22546VWE2
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