Published on 8/31/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.63 million contingent coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 31 – Credit Suisse AG, London Branch priced $1.63 million contingent coupon callable yield notes due Aug. 30, 2018 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at a rate of 9.2% a year unless any index closes below its barrier level, 65% of its initial level, on the observation date for that quarter.
The notes will be callable at par on any interest payment date.
The payout at maturity will be par unless any index finishes below its 65% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Euro Stoxx 50, Russell 2000
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| Amount: | $1,629,000
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| Maturity: | Aug. 30, 2018
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 9.2% per year unless any index closes below barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to decline of least-performing index
|
| Call option: | At par on any interest payment date
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| Initial levels: | 1,238.031 for Russell, 2,169.04 for S&P and 3,010.36 for Stoxx
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| Barrier/knock-in levels: | 804.720 for Russell, 1,409.88 for S&P and 1,956.73 for Stoxx; 65% of initial levels
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22548QFA8
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