Published on 6/4/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million high/low coupon notes linked to S&P, Russell
By Susanna Moon
Chicago, June 4 – Credit Suisse AG, London Branch priced $1 million of high/low coupon callable yield notes due Dec. 5, 2016 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, 72.5% of its initial level, during the life of the notes.
Interest is payable quarterly. The coupon will be 9% 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%.
The notes are callable at par on any interest payment date.
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 agent.
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 and Russell 2000
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Amount: | $1,002,000
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Maturity: | Dec. 5, 2016
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Coupon: | 9% 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 interest payment date
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Initial index levels: | 2,107.39 for S&P and 1,246.532 for Russell
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Knock-in levels: | 1,527.85775 for S&P and 903.7357 for Russell; 72.5% of initial levels
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Pricing date: | May 29
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Settlement date: | June 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.9%
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Cusip: | 22546VCM6
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