Published on 8/24/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.45 million contingent coupon autocallables on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Aug. 24 – Credit Suisse AG, London Branch priced $1.45 million of contingent coupon autocallable yield notes due Nov. 24, 2017 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.75% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if both indexes close at or above their respective initial levels on any interest payment date.
The payout at maturity will be par unless either index closes below its 70% knock-in level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline of the worse 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: | S&P 500, Russell 2000
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| Amount: | $1.45 million
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| Maturity: | Nov. 24, 2017
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| Coupon: | 6.75% per year, payable on a quarter if both indexes close at or above coupon barrier levels during that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index ever closes below knock-in level, in which case 1% loss for each 1% decline of the worse performing index
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| Call: | At par if both indexes close at or above their initial levels on any interest payment date
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| Initial level: | 2,183.87 for the S&P 500, 1,236.769 for the Russell 2000
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| Barrier/knock-in level: | 1,528.71 for the S&P 500, 865.74 for the Russell 2000, 70% of initial levels
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.075%
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| Cusip: | 22548QEH4
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