Published on 7/1/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $750,000 step-up contingent coupon callable notes on indexes
By Marisa Wong
Madison, Wis., July 1 – Credit Suisse AG, London Branch priced $750,000 of step-up contingent coupon callable yield notes due June 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 Sept. 30, 2019 and to 13% on Sept. 29, 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: | $750,000
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Maturity: | June 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 Sept. 30, 2019 and to 13% on Sept. 29, 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: | 3,610.91 for Euro Stoxx, 1,283.281 for Russell
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Coupon barrier: | 2,527.637 for Euro Stoxx, 898.2967 for Russell, 70% of initial level
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Knock-in level: | 1,805.455 for Euro Stoxx, 641.6405 for Russell; 50% of initial level
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Pricing date: | June 25
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Settlement date: | June 30
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.25%
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Cusip: | 22546VEV4
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