Published on 1/11/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.2 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 11 – Credit Suisse AG, London Branch priced $1.2 million of contingent coupon autocallable yield notes due April 12, 2018 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 quarterly coupon at an annualized rate of 9.15% if each index closes at or above its barrier level, 70% of its initial level, on a quarterly observation date.
The notes will be called automatically if each index closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless either index has closed below its 70% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the lesser-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: | $1,201,000
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| Maturity: | April, 2018
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| Coupon: | 9.15% per year, payable quarterly if each as index set closes at or above its barrier level on quarterly observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either index has closed below its knock-in level any day during life of notes, in which case investors full exposure to any losses of the lesser-performing index
|
| Call option: | Automatically if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 1,357.491 for Russell, 2,268.90 for S&P 500
|
| Barrier/knock-in levels: | 1,588.23 for S&P, 950.2437 for Russell; 70% of initial levels
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| Pricing date: | Jan. 9
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| Settlement date: | Jan. 12
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.25%
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| Cusip: | 22548QSL0
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