Published on 3/30/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $722,000 contingent coupon autocallables on indexes
By Wendy Van Sickle
Columbus, Ohio, March 30 – Credit Suisse AG, London Branch priced $722,000 of contingent coupon autocallable yield notes due March 31, 2021 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at a rate of 8% per year if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter.
Beginning March 27, 2017, 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 level of each index is greater than or equal to its knock-in level, 70% 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
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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: | $722,000
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| Maturity: | March 31, 2021
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| Coupon: | 8% annualized, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below knock-in level, in which case full exposure to decline of least-performing index
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| Call: | At par if each index closes above its initial level on any interest payment date beginning March 27, 2017
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| Initial levels: | 2,037.05 for S&P, 1,080.231 for Russell
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| Barrier/knock-in levels: | 1,425.935for S&P, 756.1617 for Russell; 70% of initial levels
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| Pricing date: | March 28
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| Settlement date: | March 31
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.175%
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| Cusip: | 22546VY67
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