Published on 11/8/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.33 million step-up contingent coupon callable yield notes
By Tali Rackner
Norfolk, Va., Nov. 8 – Credit Suisse AG, London Branch, priced $4.33 million of step-up contingent coupon callable yield notes due Oct. 30, 2026 linked to 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 unless either index closes below its barrier level, 65% of its initial level, on the observation date for that quarter. The contingent coupon is 8% per annum initially, stepping up to 9% on Oct. 29, 2021 and to 10% on Oct. 31, 2024.
The payout at maturity will be par unless either index finishes below its 65% knock-in level, in which case investors will lose 1% for each 1% decline of the lesser-performing index.
The notes are callable in whole but not in part at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Step-up contingent coupon callable yield notes
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| Underlying indexes: | S&P 500 index and the Russell 2000 index
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| Amount: | $4,329,000
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| Maturity: | Oct. 30, 2026
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| Coupon: | Each quarter, notes pay contingent coupon unless either index closes below barrier level on observation date for that quarter. Coupon is 8% per annum initially, stepping up to 9% on Oct. 29, 2021 and to 10% on Oct. 31, 2024
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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 1% loss for each 1% decline of lesser-performing index
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| Call option: | In whole, at par on any interest payment date
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| Initial index levels: | 2,139.43 for S&P, 1,218.096 for Russell
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| Barrier levels: | 1,390.6295 for S&P, 783.08685 for Russell, 65% of initial levels
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| Knock-in levels: | 1,069.715 for S&P, 602.3745 for Russell, 50% of initial levels
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 5.1%
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| Cusip: | 22548QKH7
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