Published on 10/10/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.05 million contingent income autocallables on S&P, Russell
By Tali Rackner
Norfolk, Va., Oct. 10 – Credit Suisse AG priced $2.05 million of autocallable contingent income securities due Oct. 10, 2019 linked to the lesser 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 the rate of 10% per year if each index closes at or above its knock-in level, 80% of its initial index level, on every trading day during the quarter.
The notes will be automatically called at par of $1,000 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.
If each index finishes at or above its knock-in level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.
Credit Suisse Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2.05 million
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| Maturity: | Oct. 10, 2019
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| Contingent payment: | 10% per year, payable quarterly if each index closes at or above knock-in level every day that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below knock-in level, in which case exposure to decline of lesser-performing index
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| Call: | Automatically at par plus contingent payment if each index closes above initial level on any quarterly observation date
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| Initial index levels: | 2,159.73 for S&P, 1,248.371 for Russell
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| Knock-in/barrier levels: | 1,727.78 for S&P, 998.697 for Russell, 80% of initial levels
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| Pricing date: | Oct. 5
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| Settlement date: | Oct. 11
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Wealth Management.
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| Fees: | 2.5%
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| Cusip: | 22548QKW4
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