Published on 10/6/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.11 million contingent coupon autocallables tied to indexes
By Susanna Moon
Chicago, Oct. 6 – Credit Suisse AG, London Branch priced $4.11 million of contingent coupon autocallable yield notes due Oct. 6, 2022 linked to 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 a rate of 8% per year if each index closes at or above its barrier level, 73% of its initial level, on the observation date for that quarter.
The notes will be redeemed at par plus the contingent coupon if the closing level of each index is greater than or equal to its initial level on any quarterly observation date.
The payout at maturity will be par unless either index falls by up to 10%, in which case investors will lose 1.1111% for each 1% decline of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000, Euro Stoxx 50
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| Amount: | $4,112,000
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| Maturity: | Oct. 6, 2022
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| Contingent payment: | 8% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index falls by up to 10%, par; otherwise, 1.1111% loss for each 1% decline of worst performing index
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| Call: | At par plus contingent payment if closing level of each index is greater than or equal to initial level on any quarterly observation date
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| Initial levels: | 1,085.409 for Russell, 3,195.08 for Euro Stoxx
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| Buffer levels: | 90% of initial levels
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| Barrier levels: | 73% of initial levels
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| Pricing date: | Oct. 1
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| Settlement date: | Oct. 6
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2%
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| Cusip: | 22547QUC8
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