Published on 12/13/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $648,000 contingent coupon autocallables on S&P, Russell
By Tali Rackner
Norfolk, Va., Dec. 13 – Credit Suisse AG, London Branch, priced $648,000 of contingent coupon autocallable yield notes due Nov. 29, 2019 linked to the lowest 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 quarterly coupon at an annual rate of 7% if each index closes at or above its barrier level, 75% of its initial level, on a quarterly observation date.
The notes will be called at par if both indexes close at or above their respective initial levels on any quarterly trigger observation date beginning May 24, 2017.
The payout at maturity will be par unless either index finishes below its 75% barrier level, 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
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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: | $648,000
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| Maturity: | Nov. 29, 2019
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| Coupon: | 7% per year, payable quarterly if both indexes close at or above barrier levels on quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its 75% barrier level, in which case par plus return of worst performing index, with full exposure to any losses and payout capped at par
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| Call option: | At par if both indexes close at or above their initial levels on any quarterly trigger observation date beginning May 24, 2017
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| Initial index levels: | 2,204.72 for S&P, 1,342.094 for Russell
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| Barrier levels: | 1,653.54 for S&P, 1,006.5705 for Russell, 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: | 22548QMN2
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