Published on 4/24/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.7 million contingent coupon callable notes on three indexes
By Marisa Wong
Madison, Wis., April 24 – Credit Suisse AG, London Branch priced $3.7 million of contingent coupon callable yield notes due April 24, 2017 linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.03% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any index finishes below its knock-in level, 70% of its initial level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are callable at par on any interest 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: | Euro Stoxx 50, Russell 2000 and S&P 500
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Amount: | $3.7 million
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Maturity: | April 24, 2017
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Coupon: | 9.03% annualized, payable quarterly if each index closes at or above its barrier level on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its knock-in level, in which case par plus return of worst performing index with full exposure to losses
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Call option: | On any contingent coupon payment date beginning July 24, 2015
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Initial levels: | 1,264.151 for Russell, 2,097.29 for S&P, 3,719.38 for Euro Stoxx
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Barrier/knock-in levels: | 884.906 for Russell, 1,468.103 for S&P, 2,603.566 for Euro Stoxx; 70% of initial levels
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Pricing date: | April 21
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Settlement date: | April 24
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.5%
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Cusip: | 22546VC53
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