Published on 5/23/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4 million 9% contingent coupon callable notes on indexes
By Marisa Wong
Madison, Wis., May 23 - Credit Suisse AG, London Branch priced $4 million of contingent coupon callable yield notes due May 28, 2024 linked to the performance of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon of 9% per year if each index closes at or above its coupon barrier level, 62% of the initial level, on the observation date for that quarter. Otherwise, no coupon will be paid that quarter.
A knock-in event occurs if the final level of any index is less than its knock-in level, 60% of the initial level.
If a knock-in event does not occur, the payout at maturity will be par. Otherwise, the payout will be par plus the return of the lowest performing index, with full exposure to losses.
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 callable yield notes
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Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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Amount: | $4 million
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Maturity: | May 28, 2024
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Coupon: | 9% per year, payable quarterly if each index closes at or above its coupon barrier level on quarterly observation date
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Price: | Par
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Payout at maturity: | If final level of any index is less than its knock-in level, par plus return of lowest performing index, with full exposure to losses; otherwise, par
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Call option: | At par on any contingent coupon payment date
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Initial levels: | 1,888.03 for S&P, 1,103.63 for Russell, 3,187.08 for Euro Stoxx
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Coupon barrier levels: | 1170.5786 for S&P, 684.2506 for Russell, 1,975.9896 for Euro Stoxx; 62% of initial levels
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Knock-in levels: | 1132.818 for S&P, 662.178 for Russell, 1,912.248 for Euro Stoxx; 60% of initial levels
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Pricing date: | May 21
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Settlement date: | May 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22547QNB8
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