Published on 3/3/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $556,000 contingent coupon autocallables on indexes
By Susanna Moon
Chicago, March 3 – Credit Suisse AG, London branch priced $2.24 million of 0% contingent coupon autocallable yield notes due March 3, 2021 linked to 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 7.5% if each index closes at or above its coupon barrier level, 55% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either index finishes below its 55% knock-in level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any interest payment date after one year.
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: | $556,000
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| Maturity: | March 3, 2021
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| Coupon: | 7.5% annualized, payable quarterly if each index closes at or above 55% coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any 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 Feb. 28, 2017
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| Initial levels: | 1,978.35 for S&P, 1,054.494 for Russell
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| Knock-in levels: | 1,088.0925 for S&P, 579.9717 for Russell; 55% of initial levels
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| Pricing date: | March 1
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| Settlement date: | March 3
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22546VXJ0
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