Published on 5/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $702,000 contingent coupon autocallables on indexes
By Marisa Wong
Morgantown, W.Va., May 5 – Credit Suisse AG, London Branch priced $702,000 of contingent coupon autocallable yield notes due April 29, 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 contingent coupon at the rate of 7% per year unless either index closes below its barrier level, 70% of its initial level, on the observation date for that quarter.
Beginning April 25, 2017, the notes will be automatically called at par if each index closes at or above its initial index level on any quarterly observation date.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $702,000
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| Maturity: | April 29, 2021
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 7% per year unless either index closes below 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 lesser-performing index
|
| Call: | Beginning April 25, 2017, automatically at par if each index closes at or above initial index level on any quarterly observation date
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| Initial index levels: | 2,091.70 for S&P 500 and 1,150.728 for Russell 2000
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| Barrier/knock-in levels: | 1,464.19 for S&P 500 and 805.5096 for Russell 2000; 70% of initial levels
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| Pricing date: | April 26
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| Settlement date: | April 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.075%
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| Cusip: | 22546VZY5
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