Published on 2/20/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.39 million contingent coupon autocallables tied to indexes, fund
By Toni Weeks
San Luis Obispo, Calif., Feb. 20 – Credit Suisse AG, London Branch priced $3.39 million of contingent coupon autocallable yield notes due Feb. 24, 2020 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.75% if each component closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter.
The notes will be called at par if each component closes at or above its initial level on any quarterly interest payment date.
If the notes are not called, the payout at maturity will be par unless any component finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the worst-performing component.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index, iShares MSCI EAFE ETF
|
| Amount: | $3,394,000
|
| Maturity: | Feb. 24, 2020
|
| Coupon: | 9.75%, payable quarterly if each component closes at or above its barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If any component falls below knock-in level, par plus return of worst-performing component; otherwise, par
|
| Call: | At par plus coupon if each component closes at or above initial level on any interest payment date beginning May 23
|
| Initial levels: | 2,099.68 for S&P, 1,227.955 for Russell, $64.35 for EAFE
|
| Coupon barriers/knock-in levels: | 1,574.76 for S&P, 920.96625 for Russell, $48.2625 for EAFE; 75% of initial levels
|
| Pricing date: | Feb. 18
|
| Settlement date: | Feb. 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.35%
|
| Cusip: | 22546V4W3
|
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