Published on 5/28/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.41 million contingent coupon callable notes tied to two indexes
By Toni Weeks
San Luis Obispo, Calif., May 28 – Credit Suisse AG, London Branch priced $4.41 million of contingent coupon callable yield notes due May 29, 2018 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 semiannual coupon at an annual rate of 7% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that interest period.
The payout at maturity will be par unless either index finishes below its knock-in level, 70% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index from its initial level.
The notes are callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $4,405,000
|
| Maturity: | May 29, 2018
|
| Coupon: | 7% annualized, payable semiannually if each index closes at or above its barrier level on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its knock-in level, in which case par plus return of worst-performing index, with full exposure to losses
|
| Call option: | On any contingent coupon payment date beginning Nov. 30, 2015
|
| Initial levels: | 2,126.06 for S&P, 1,252.224 for Russell
|
| Barrier levels: | 1,488.242 for S&P, 876.5568 for Russell; 70% of initial level
|
| Pricing date: | May 22
|
| Settlement date: | May 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.3%
|
| Cusip: | 22546VAP1
|
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