Published on 1/21/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.4 million high/low coupon callable notes on S&P, Stoxx
By Susanna Moon
Chicago, Jan. 21 – Credit Suisse AG, London branch priced $1.4 million of high/low coupon callable yield notes due Jan. 22, 2018 linked to the S&P 500 index and the Euro Stoxx 50 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, 55% of its initial level, on any day during the life of the notes.
The notes will pay a coupon of 9.25% 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%. Interest is payable quarterly.
The notes are callable on any interest payment date beginning July 21, 2016.
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 underwriter.
| 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, Euro Stoxx 50
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| Amount: | $1,404,000
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| Maturity: | Jan. 22, 2018
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| Coupon: | 9.25% 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 coupon payment date beginning July 21, 2016
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| Initial levels: | 1,880.33 for S&P, 2,952.48 for Russell
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| Knock-in levels: | 1,034.1815 for S&P, 1,623.864 for Russell; 55% of initial levels
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| Pricing date: | Jan. 15
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| Settlement date: | Jan. 21
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22546VUM6
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