Published on 1/23/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.24 million high/low coupon autocallables on Stoxx, Russell
By Wendy Van Sickle
Columbus, Ohio, Jan. 23 – Credit Suisse AG, London Branch, priced $1.24 million of high/low coupon autocallable yield notes due July 23, 2018 linked to the worst performing of the Euro Stoxx 50 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 annual rate of 7.7% if each index closes at or above its coupon barrier level, 70% of its initial level, on each day of that quarter. If either index closes below the coupon barrier level on any day of that quarter, the notes will pay a coupon at an annual rate of 1%.
The payout at maturity will be par unless either index finishes below its 65% knock-in level, in which case investors will lose or gain 1% for each 1% decline or gain of the worst performing index.
The notes will be called at par if both indexes close at or above their respective initial levels on any quarterly observation date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | High/low coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,237,000
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| Maturity: | July 23, 2018
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| Coupon: | 7.7% per year per quarter if both indexes close at or above coupon barrier levels on each day of that quarter, otherwise 1% per year
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below knock-in level, in which case 1% loss or gain for each 1% decline or gain of the worst performing index
|
| Call option: | At par if both indexes close at or above their initial levels on any quarterly observation date
|
| Initial level: | 3,294.00 for the Euro Stoxx 50, 1,358.556 for the Russell 2000
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| Coupon barrier: | 2,305.80 for Stoxx, 950.9892 for Russell, 70% of initial levels
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| Knock-in level: | 2,141.10 for Stoxx, 883.0614 for Russell, 65% of initial levels
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| Pricing date: | Jan. 18
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| Settlement date: | Jan. 23
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.55%
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| Cusip: | 22548QST3
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