Published on 9/1/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.41 million contingent coupon autocallables on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Sept. 1 – Credit Suisse AG, London Branch priced $1.41 million of contingent coupon autocallable yield notes due Aug. 31, 2017 linked to the worse performing of 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 monthly coupon at an annual rate of 7% if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that month.
The notes will be called at par if both indexes close at or above their respective initial levels on Feb. 23 or May 25, 2017.
The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its 75% knock-in level, in which case investors will lose 1% for each 1% decline of the worse 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, Russell 2000
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| Amount: | $1,409,000
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| Maturity: | Aug. 31, 2017
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| Coupon: | 7%, payable each month that each index closes at or above its coupon barrier level on the observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its initial level and either index ever closes below its 75% knock-in level, in which case investors will lose 1% for each 1% decline of the worse performing index
|
| Call: | At par if both indexes close at or above their initial levels on Feb. 23 or May 25, 2017
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| Initial levels: | 2,169.04 for the S&P 500, 1,238.031 for the Russell 2000
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| Barrier/knock-in levels: | 1,626.78 for the S&P 500, 928.523 for the Russell 2000; 75% 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: | 2.35%
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| Cusip: | 22548QCZ6
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