Published on 4/4/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.52 million high/low coupon callable notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, April 4 – Credit Suisse AG, London Branch priced $1.52 million of high/low coupon callable yield notes due Oct. 5, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange.
A knock-in event occurs if either index closes below its knock-in level, 65% of its initial level, on any day during any observation period.
Each quarter, the notes will pay a coupon at a rate of 10% 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 may be called at par on any coupon 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, Russell 2000
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| Amount: | $1.52 million
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| Maturity: | Oct. 5, 2017
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| Coupon: | 10% 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
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| Initial index levels: | 1,114.028 for Russell 2000 and 2,059.74 for S&P 500
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| Knock-in levels: | 1,338.831 for S&P, 724.1182 for Russell; 65% of initial levels
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| Pricing date: | March 31
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| Settlement date: | April 5
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.05%
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| Cusip: | 22546VYD2
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