Published on 1/26/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million contingent coupon yield autocallables tied to indexes
By Susanna Moon
Chicago, Jan. 26 – Credit Suisse AG, London Branch priced $7.91 million of contingent coupon autocallable yield notes due April 25, 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 contingent quarterly coupon at an annualized rate of 9.15% if each index closes at or above its coupon barrier, 70% of its initial level, on an observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any contingent coupon payment date after six months.
The payout at maturity will be par unless either index ever closes below its 70% knock-in level during the life of the notes, in which case investors will be exposed to any losses of the worse performing index.
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: | $1 million
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| Maturity: | April 25, 2018
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| Coupon: | 9.15% per year, payable quarterly if each index closes at or above its 70% coupon barrier on quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless either index ever dips below its knock-in level, in which case investors will be exposed to any losses of worse performing index
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| Call: | At par if each index closes at or above its initial level on any contingent coupon payment date on July 20, 2017, Oct. 20, 2017 or Jan. 22, 2018
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| Initial levels: | 2,271.31 for S&P, 1,351.848 for Russell
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| Knock-in levels: | 1,589.917 for S&P, 946.2936 for Russell; 70% of initial levels
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| Pricing date: | Jan. 20
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| Settlement date: | Jan. 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22548QT70
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