Published on 5/26/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.8 million contingent coupon autocallables on three indexes
By Toni Weeks
San Luis Obispo, Calif., May 26 – Credit Suisse AG, London Branch priced $5.8 million of contingent coupon autocallable yield notes due May 28, 2030 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.
The notes will initially pay a fixed quarterly coupon at an annual rate of 7.5%. Beginning Feb. 27, 2018, they will pay a contingent coupon of 7.5% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that quarter.
A trigger event will occur if each index closes at or above its initial level on any observation date beginning May 23, 2018.
If a trigger event occurs during the contingent rate period, the notes will be called at par plus the contingent coupon.
If the notes are not called, the payout at maturity will be par unless any index finishes below its knock-in level, 50% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500, Euro Stoxx 50, Russell 2000
|
| Amount: | $5.8 million
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| Maturity: | May 28, 2030
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| Coupon: | Fixed rate of 7.5% per year initially; Beginning Feb. 27, 2018, 7.5% per year, payable quarterly if each index closes at or above its barrier level on quarterly observation date
|
| Price: | Par
|
| 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
|
| Call: | At par if each index closes at or above its initial level on any contingent coupon payment date beginning May 23, 2018
|
| Initial levels: | 2,130.82 for S&P, 1,256.737 for Russell, 3,688.72 for Euro Stoxx
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| Coupon barriers: | 1,598.115 for S&P, 942.553 for Russell, 2,766.54 for Euro Stoxx; 75% of initial levels
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| Knock-in levels: | 1,065.41 for S&P, 628.369 for Russell, 1,844.36 for Euro Stoxx; 50% of initial levels
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| Pricing date: | May 21
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| Settlement date: | May 27
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| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3%
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| Cusip: | 22546VE28
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