Published on 12/24/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.06 million contingent coupon callable notes tied to indexes
By Susanna Moon
Chicago, Dec. 24 – Credit Suisse AG, London Branch priced $1.06 million of contingent coupon callable yield notes due Dec. 23, 2020 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at an annual rate of 7% if each index closes at or above its barrier level, 65% of its initial level, on the observation date for that month.
The payout at maturity will be par unless either index finishes below its 65% barrier level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are callable at par on any interest payment date after one year.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon callable yield notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1,059,000
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Maturity: | Dec. 23, 2020
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Coupon: | 7% annualized, payable monthly if each index closes at or above barrier level on observation date for that month
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Price: | Par
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Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to any losses of worse performing index
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Call option: | At par on any interest payment date beginning Dec. 28, 2016
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Initial levels: | 2,005.55 for S&P 500 and 1,121.0201 for Russell
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Barrier levels: | 1,303.6075 for S&P 500 and 728.663 for Russell; 65% of initial levels
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Pricing date: | Dec. 18
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Settlement date: | Dec. 28
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.175%
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Cusip: | 22546VSR8
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