Published on 9/6/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $510,000 contingent coupon autocallables on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Sept. 6 – Credit Suisse AG, London Branch priced $510,000 of contingent coupon autocallable yield notes due Aug. 31, 2021 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.
Each quarter, the notes will pay a contingent coupon at an annual rate of 7% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if both indexes close at or above their respective initial levels on any quarterly observation date from August 2017 through May 2021.
The payout at maturity will be par unless either index finishes below its 60% 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
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $510,000
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| Maturity: | Aug. 31, 2021
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| Coupon: | 7%, payable each quarter that each index closes at or above its coupon barrier level on the observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below 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 any quarterly observation date from August 2017 through May 2021
|
| Initial levels: | 2,169.04 for S&P 500, 1,238.031 for Russell 2000
|
| Barrier levels: | 1,518.328 for S&P 500, 866.6217 for Russell 2000; 70% of initial levels
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| Knock-in levels: | 1,301.424 for S&P 500, 742.8186 for Russell 2000; 60% 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
|
| Fees: | 1.25%
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| Cusip: | 22548QF91
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