Published on 5/13/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.69 million contingent coupon autocallables on Stoxx, Russell
By Susanna Moon
Chicago, May 13 – Credit Suisse AG, London Branch priced $4.69 million of contingent coupon autocallable yield notes due May 13, 2025 linked to the Russell 2000 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 8.75% 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 either index finishes below its knock-in level, 50% of its initial level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes will be called at par if each index closes at or above its initial level on any interest payment date after one year.
Credit Suisse Securities (USA) 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, Russell 2000
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Amount: | $4,687,000
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Maturity: | May 13, 2025
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Coupon: | 8.75% 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 either 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: | At par if each index closes at or above its initial level on any contingent coupon payment date beginning May 10, 2016
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Initial levels: | 1,234.928 for Russell, 3,649.48 for Euro Stoxx
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Coupon barriers: | 864.4496 for Russell, 2,554.636 for Euro Stoxx; 70% of initial levels
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Knock-in levels: | 617.464 for Russell, 1,824.74 for Euro Stoxx; 50% of initial levels
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Pricing date: | May 8
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Settlement date: | May 13
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 3.35%
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Cusip: | 22546VDD5
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