Published on 4/26/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.02 million callable contingent income notes tied to indexes
By Marisa Wong
Morgantown, W.Va., April 26 – Credit Suisse AG priced $4.02 million of callable contingent income securities due April 26, 2018 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 pay a contingent quarterly coupon at an annual rate of 14.3% if each index closes at or above the coupon barrier level, 75% of the initial index level, on the observation date for that quarter.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley & Co. LLC handling distribution.
| Issuer: | Credit Suisse AG
|
| Issue: | Callable contingent income securities
|
| Underlying indexes: | S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index
|
| Amount: | $4,016,000
|
| Maturity: | April 26, 2018
|
| Coupon: | 14.3% per year, payable each quarter if each index closes at or above barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon if each index finishes at or above knock-in level; otherwise, full exposure to decline of worst-performing index
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 2,091.58 for S&P 500, 1,146.690 for Russell 2000 and 3,141.12 for Euro Stoxx 50
|
| Barrier/knock-in levels: | 1,568.69 for S&P 500, 860.018 for Russell 2000 and 2,355.84 for Euro Stoxx 50; 75% of initial levels
|
| Pricing date: | April 22
|
| Settlement date: | April 27
|
| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley & Co. LLC handling distribution
|
| Fees: | 2%
|
| Cusip: | 22548Q4K8
|
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