Published on 12/2/2015 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.96 million high/low coupon autocallables on S&P, Russell
By Tali Rackner
Norfolk, Va., Dec. 2 – Credit Suisse AG, London Branch priced $1.96 million of high/low coupon autocallable yield notes due May 25, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index ever closes below its knock-in level, 65% of its initial level, on any day during the life of the notes.
The notes will pay a coupon of 8.35% unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%. Interest is payable quarterly.
The notes will be called at par if each index closes at or above its initial level on any interest payment date beginning Feb. 22, 2016.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,961,000
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| Maturity: | May 25, 2017
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| Coupon: | 8.35% if index never dips below knock-in level; otherwise, 1% for that interest period and each subsequent interest period; payable quarterly
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| Price: | Par
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| Payout at maturity: | If index ever dips below knock-in level, par plus return of worst performing index, capped at par; otherwise, par
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| Call option: | At par on any coupon payment date beginning Feb. 22, 2016
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| Initial levels: | 2,089.17 for S&P, 1,175.151 for Russell
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| Knock-in levels: | 1,357.9605 for S&P, 763.8482 for Russell; 65% of initial levels
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| Pricing date: | Nov. 20
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| Settlement date: | Nov. 25
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22546VQK5
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