Published on 12/23/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.08 million contingent income autocallables on Euro Stoxx, S&P
By Wendy Van Sickle
Columbus, Ohio, Dec. 23 – Credit Suisse AG priced $4.08 million of autocallable contingent income securities due Dec. 27, 2017 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 9.35% per year if each index closes at or above its knock-in level, 80% of its initial index level, on every trading day during the quarter.
The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.
If each index finishes at or above its knock-in level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 and Euro Stoxx 50
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| Amount: | $4,075,000
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| Maturity: | Dec. 27, 2017
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| Contingent payment: | 9.35% per year, payable quarterly if each index closes at or above knock-in level every day 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 lesser-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
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| Initial index levels: | 2,270.76 for S&P, 3,279.41 for Stoxx
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| Knock-in levels: | 1,816.61 for S&P, 2,623.53 for Stoxx, 80% of initial levels
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Wealth Management.
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| Fees: | 1.75%
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| Cusip: | 22548QQX6
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