Published on 5/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $770,000 contingent coupon callable notes tied to two indexes
By Marisa Wong
Morgantown, W.Va., May 5 – Credit Suisse AG, London Branch priced $770,000 of contingent coupon callable yield notes due April 29, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 8% per year unless either index closes below its barrier level, 70% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be fully exposed to the decline of the lesser-performing index.
The notes are callable at par on any contingent coupon payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $770,000
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| Maturity: | April 29, 2019
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 8% per year unless either index closes below barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below knock-in level, in which case full exposure to decline of lesser-performing index
|
| Call option: | At par on any contingent coupon payment date
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| Initial index levels: | 2,091.70 for S&P 500 and 1,150.728 for Russell 2000
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| Barrier/knock-in levels: | 1,464.19 for S&P 500 and 805.5096 for Russell 2000; 70% of initial levels
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| Pricing date: | April 26
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| Settlement date: | April 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.75%
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| Cusip: | 22548Q2T1
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