Published on 9/22/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.73 million contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 22 – Credit Suisse AG, London Branch priced $1.73 million of contingent coupon autocallable yield notes due March 23, 2018 linked to the lesser 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 quarterly contingent coupon at an annual rate of 5.3% if each index closes at or above its barrier level, 65% of the initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level, on any quarterly observation date beginning Dec. 20.
The payout at maturity will be par unless either index finishes below its 65% knock-in level, in which case investors will be fully exposed to any losses 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 and Russell 2000
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| Amount: | $1.73 million
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| Maturity: | March 23, 2018
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| Contingent payment: | 5.3% per year, 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 exposure to decline of worse performing index
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| Call: | Automatically at par plus contingent payment if each index closes above initial level on any quarterly observation date beginning Dec. 20
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| Initial index levels: | 2,139.12 for S&P, 1,232.526 for Russell
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| Coupon barrier/knock-in levels: | 1,390.428 for S&P, 801.1419 for Russell, 65% of initial levels
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| Pricing date: | Sept. 20
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| Settlement date: | Sept. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.425%
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| Cusip: | 22548QHF5
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