Published on 12/10/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $218,518 more high/low coupon notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Dec. 10 – Credit Suisse AG, London Branch priced $218,518 of additional high/low coupon callable yield notes due May 3, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The $219,000 principal amount of additional notes priced at 99.78.
The original $2.19 million of notes priced Oct. 28. The total issue size is now $2.41 million.
A knock-in event occurs if either index closes below its knock-in level, 60% of its initial level.
Interest is payable quarterly. The coupon is 7.6% per year 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 lesser-performing index, subject 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 autocallable yield notes
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $2,412,000, increased from $2,193,000
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Maturity: | May 3, 2017
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Coupon: | Each quarter, notes pay coupon at rate of 7.6% per year if knock-in event does not occur during that quarter; otherwise, coupon will be 1% per year for that interest period and each subsequent interest period
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Price: | Par for original issue; 99.78 for add-on
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Payout at maturity: | Par unless knock-in event has occurred, in which case par plus return of lesser-performing index, subject to maximum payout of par
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Call option: | At par on any interest payment date
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Knock-in event: | Either index closes below knock-in level on any day during life of notes
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Initial levels: | 2,090.35 for S&P 500 and 1,178.716 for Russell 2000
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Knock-in levels: | 1,254.21 for S&P 500 and 707.2296 for Russell 2000; 60% of initial levels
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Pricing date: | Oct. 28 for original $2,193,000; Dec. 4 for additional $219,000
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Settlement date: | Nov. 2 for original issue; Dec. 9 for add-on
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.6% for original issue; none for add-on
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Cusip: | 22546VPC4
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