Published on 2/21/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.89 million high/low coupon notes linked to S&P, biotech ETF
By Angela McDaniels
Tacoma, Wash., Feb. 21 – Credit Suisse AG, London Branch priced $1.89 million of high/low coupon autocallable yield notes due Aug. 21, 2018 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly. The interest rate will be 7% per year if each underlier closes at or above its coupon barrier level, 68% of its initial level, on the observation date for that quarter. Otherwise, the interest rate for that quarter will be 1% per year.
The notes will be automatically called at par plus accrued interest if each underlier closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless either underlier finishes below its knock-in level, 58% of its initial level, in which case investors will lose 1% for every 1% that the lesser-performing underlier declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | High/low coupon autocallable yield notes
|
| Underliers: | S&P 500 index and SPDR S&P Biotech ETF
|
| Amount: | $1,888,000
|
| Maturity: | Aug. 21, 2018
|
| Coupon: | 7% per year if each underlier closes at or above coupon barrier level on observation date for that quarter; otherwise, interest rate for that quarter will be 1% per year
|
| Price: | Par
|
| Payout at maturity: | Par unless either underlier finishes below knock-in level, in which case 1% loss for every 1% that lesser-performing underlier declines from initial level
|
| Call: | Automatically at par plus accrued interest if each underlier closes at or its initial level on any quarterly observation date
|
| Initial levels: | 2,349.25 for index and $69.11 for ETF
|
| Coupon barriers: | 1,597.49 for index and $46.9948 for ETF, or 68% of initial levels
|
| Knock-in levels: | 1,362.565 for index and $40.0838 for ETF, or 58% of initial levels
|
| Pricing date: | Feb. 15
|
| Settlement date: | Feb. 21
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.55%
|
| Cusip: | 22548QVH5
|
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