Published on 8/24/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3 million contingent coupon autocallables linked to indexes
By Angela McDaniels
Tacoma, Wash., Aug. 24 – Credit Suisse AG, London Branch priced $3 million of contingent coupon autocallable yield notes due Aug. 25, 2025 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at the rate of 9.35% per year if each index closes at or above its coupon barrier level, 90% of its initial level, on the observation date for that quarter.
Beginning Aug. 21, 2019, the notes will be automatically 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.
If the notes are not called and the final index level of each index is greater than or equal to its knock-in level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the lowest-performing index’s final level is less than its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $3 million
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| Maturity: | Aug. 25, 2025
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| Coupon: | Each quarter, notes pay coupon at rate of 9.35% per year if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final level of each index is greater than or equal to knock-in level, par; otherwise, 1% loss for each 1% that lowest-performing index’s final level is less than initial level
|
| Call: | Beginning Aug. 21, 2019, notes will be automatically redeemed at par plus contingent coupon if closing level of each index is greater than or equal to initial level on any quarterly observation date
|
| Initial levels: | 2,035.73 for S&P 500, 1,172.523 for Russell 2000 and 3,353.48 for Euro Stoxx 50
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| Coupon barrier levels: | 1,832.1570 for S&P 500, 1,055.2707 for Russell 2000 and 3,018.1320 for Euro Stoxx 50; 90% of initial levels
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| Knock-in levels: | 1,017.8650 for S&P 500, 586.2615 for Russell 2000 and 1,676.7400 for Euro Stoxx 50; 50% of initial levels
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| Pricing date: | Aug. 20
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| Settlement date: | Aug. 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4%
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| Cusip: | 22546VKF2
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