Published on 8/12/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.06 million high/low coupon notes on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Aug. 12 – Credit Suisse AG, London Branch priced $2.06 million of high/low coupon callable yield notes due Aug. 13, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index closes below its knock-in level, 60% of its initial level.
Interest is payable quarterly. The coupon is 9% per year unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%.
The notes are callable at par on any interest payment date beginning Feb. 13, 2017.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the lesser-performing index, subject to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | High/low coupon callable yield notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $2,055,000
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| Maturity: | Aug. 13, 2018
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| Coupon: | Each quarter, notes pay coupon at rate of 9% per year if knock-in event does not occur during that quarter; otherwise, coupon will be 1% per year for that interest period and each subsequent interest period
|
| Price: | Par
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| Payout at maturity: | Par unless knock-in event has occurred, in which case par plus return of lesser-performing index, subject to maximum payout of par
|
| Call option: | At par on any interest payment date beginning Feb. 13, 2017
|
| Knock-in event: | Either index closes below knock-in level on any day during life of notes
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| Initial levels: | 2,181.74 for S&P 500 and 1,231.745 for Russell 2000
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| Knock-in levels: | 1,309.04 for S&P 500 and 739.047 for Russell 2000; 60% of initial levels
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22548QDU6
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