Published on 3/31/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $750,000 contingent coupon autocallable yield notes on indexes
By Jennifer Chiou
New York, March 31 – Credit Suisse AG, London Branch priced $750,000 of contingent coupon autocallable yield notes due March 31, 2025 linked to the Euro Stoxx 50 index and the Russell 2000 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 8% if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that period.
The payout at maturity will be par plus the fixed payment percentage of 50% unless either index finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the worst-performing index.
The notes will be automatically callable at par if each index closes at or above its initial level on any observation date beginning on March 27, 2018.
Incapital LLC is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Euro Stoxx 50 and Russell 2000
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| Amount: | $750,000
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| Maturity: | March 31, 2025
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| Coupon: | 8% annualized, payable quarterly if each index closes at or above its barrier level on observation date for that interest period
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| Price: | Par
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| Payout at maturity: | Par the fixed payment percentage of 50% unless either index finishes below its knock-in level, in which case par plus return of worst-performing index, with full exposure to losses
|
| Call option: | Automatically callable at par if each index closes at or above its initial level on any observation date beginning on March 27, 2018
|
| Initial levels: | 3,669.79 for Euro Stoxx 50, 1,231.99 for Russell
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| Barrier levels: | 2,752.343 for Euro Stoxx 50, 923.993 for Russell; 75% of initial levels
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| Knock-in levels: | 2,201.874 for Euro Stoxx 50, 739.194 for Russell; 60% of initial levels
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| Pricing date: | March 26
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| Settlement date: | March 31
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| Placement agent: Incapital LLC
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| Fees: | 4.25%
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| Cusip: | 22546V6F8
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