Published on 8/17/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.53 million contingent coupon callable notes tied to indexes, fund
By Susanna Moon
Chicago, Aug. 17 – Credit Suisse AG, London Branch priced $6.53 million of contingent coupon callable yield notes due Aug. 20, 2018 linked to the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.3% if each component closes at or above its barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any component finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worst performing component.
The notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Nassau branch
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| Issue: | Contingent coupon callable yield notes
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| Underlyings: | S&P 500 index, Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $6,525,000
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| Maturity: | Aug. 20, 2018
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| Coupon: | 8.3% annualized for each quarterly interest period that each index closes at or above barrier level on observation date for quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component finishes below knock-in level, in which case full exposure to any losses of worst performing component
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| Call option: | At par on any interest payment date
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| Initial levels: | 2,083.39 for S&P, and 3,516.15 for Stoxx, $35.48 for MSCI EM
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| Barrier levels: | 60% of initial levels
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| Pricing date: | Aug. 13
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| Settlement date: | Aug. 18
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22546VK21
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