Published on 5/1/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million step-up contingent coupon callable notes on indexes
By Marisa Wong
Madison, Wis., May 1 – Credit Suisse AG, London Branch priced $2 million of step-up contingent coupon callable yield notes due April 30, 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 annualized rate if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter. The coupon will be 9% initially, stepping up to 11% on July 30, 2019 and to 13% on July 31, 2023.
The payout at maturity will be par unless either index finishes below its 50% knock-in level, in which case investors will be fully exposed to losses of the worse-performing index.
The notes will be 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: | Step-up contingent coupon callable yield notes
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| Underlying indexes: | Euro Stoxx 50 index and the Russell 2000 index
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| Amount: | $2 million
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| Maturity: | April 30, 2025
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| Coupon: | If each index closes at or above barrier level on observation date for that quarter, 9% annualized initially, stepping up to 11% on July 30, 2019 and to 13% on July 31, 2023
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| Price: | Par
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| Payout at maturity: | If either index falls below knock-in level, par plus return, with full exposure to losses of worse performing index; otherwise, par
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| Call option: | At par plus coupon on any interest payment date
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| Initial level: | 3,771.45 for Euro Stoxx, 1,252.70 for Russell
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| Coupon barrier: | 2,640.015 for Euro Stoxx, 876.89 for Russell, 70% of initial level
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| Knock-in level: | 1,885.725 for Euro Stoxx, 626.35 for Russell, 50% of initial level
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| Pricing date: | April 27
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| Settlement date: | April 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.84%
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| Cusip: | 22546VBH8
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