Published on 7/31/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.95 million contingent coupon autocallables tied to indexes
By Marisa Wong
Madison, Wis., July 31 – Credit Suisse AG, London Branch priced $2.95 million of contingent coupon autocallable yield notes due July 31, 2019 linked to 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 coupon at a rate of 8.4% per year if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter.
The notes will be automatically redeemed at par plus the contingent coupon if the closing level of each index is greater than or equal to its initial level on any quarterly observation date.
If the notes are not called and the final index level of each index is greater than or equal to its knock-in level, 75% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the lowest-performing index level is less than its initial level.
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, Russell 2000, Euro Stoxx
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| Amount: | $2,947,000
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| Maturity: | July 31, 2019
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| Contingent payment: | 8.4% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than or equal to its knock-in level, par; otherwise, full exposure to losses
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| Call: | Automatically at par plus contingent payment if closing level of each index is greater than or equal to initial level on any quarterly observation date
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| Initial levels: | 1,969.95 for S&P 500, 1,141.64 for Russell, 3,190.54 for Euro Stoxx
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| Barrier/knock-in levels: | 1,477.463 for S&P 500, 856.230 for Russell, 2,392.905 for Euro Stoxx, 75% of initial levels
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| Pricing date: | July 29
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| Settlement date: | July 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22547QR24
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