Published on 8/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.26 million contingent coupon autocallables on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Aug. 5 – Credit Suisse AG, London Branch priced $1.26 million of contingent coupon autocallable yield notes due Aug. 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.
Each quarter, the notes will pay a contingent coupon at the rate of 6.35% per year unless either index closes below its knock-in level, 65% of its initial level, on the observation date for that quarter.
The notes will be automatically called at par if each index closes at or above its initial index level on any quarterly observation date from July 31, 2018 to April 28, 2021.
The payout at maturity will be par unless either index finishes below its 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
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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: | $1.26 million
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| Maturity: | Aug. 3, 2021
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 6.35% per year unless either index closes below knock-in 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 its knock-in level, in which case full exposure to decline of lesser-performing index
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| Call: | Automatically at par if each index closes at or above initial index level on any quarterly observation date from July 31, 2018 to April 28, 2021
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| Initial index levels: | 2,173.60 for S&P 500 and 1,219.942 for Russell 2000
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| Knock-in levels: | 1,412.84 for S&P 500 and 792.9623 for Russell 2000; 65% of initial levels
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22548QCR4
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