Published on 2/26/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.1 million contingent coupon autocallable yield notes on indexes
By Jennifer Chiou
New York, Feb. 26 – Credit Suisse AG, London Branch priced $1.1 million of contingent coupon autocallable yield notes due Feb. 27, 2025 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.3% if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that period.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to the decline of the worst-performing index.
The notes will be automatically callable at par if each index closes at or above its initial level on any observation date beginning on Feb. 24, 2016.
Incapital LLC is the placement 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 and Russell 2000
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| Amount: | $1.1 million
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| Maturity: | Feb. 27, 2025
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| Coupon: | 7.3% annualized, payable quarterly if each index closes at or above its barrier level on observation date for that interest period
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its trigger level, in which case par plus return of worst-performing index, with full exposure to losses
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| Call option: | Automatically callable at par if each index closes at or above its initial level on any observation date beginning on Feb. 24, 2016
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| Initial levels: | 2,115.48 for S&P 500, 1,233.975 for Russell
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| Barrier levels: | 1,586.61 for S&P 500, 925.48125 for Russell; 70% of initial levels
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| Trigger levels: | 1,269.288 for S&P 500, 740.385 for Russell; 60% of initial levels
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 27
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| Placement agent: | Incapital LLC
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| Fees: | 3.6%
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| Cusip: | 22546V4K9
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