Published on 12/2/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.37 million contingent coupon autocallables on S&P, Russell
By Devika Patel
Knoxville, Tenn., Dec. 2 – Credit Suisse AG, London Branch, priced $1.37 million of contingent coupon autocallable yield notes due Feb. 28, 2018 linked to the worst 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 7.25% if each index closes at or above its barrier level, 75% of its initial level, on a monthly observation date.
The notes will be called at par if both indexes close at or above their respective initial levels on May 24, 2017, Aug. 24, 2017 or Nov. 24, 2017.
The payout at maturity will be par unless either index closes below its 75% barrier level during the life of the notes, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses and a maximum payout of par.
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: | $1,365,000
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| Maturity: | Feb. 28, 2018
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| Coupon: | 7.25% per year, payable monthly if both indexes close at or above barrier levels on monthly observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either index closes below its 75% barrier level during the life of the notes, in which case par plus return of worst performing index, with full exposure to any losses and payout capped at par
|
| Call option: | At par if both indexes close at or above their initial levels on May 24, 2017, Aug. 24, 2017 or Nov. 24, 2017
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| Initial index levels: | 2,204.72 for S&P 500, 1,342.094 for Russell 2000
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| Barrier levels: | 1,653.54 for S&P 500, 1,006.5705 for Russell 2000, 75% of initial levels
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| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22548QLN3
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