Published on 2/2/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $380,000 contingent coupon autocallables on indexes
By Susanna Moon
Chicago, Feb. 2 – Credit Suisse AG, London Branch priced $380,000 of 0% contingent coupon autocallable yield notes due Jan. 31, 2020 linked to the Russell 2000 index and the S&P 500 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 6% 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 one year.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be exposed to any losses of the worse performing index.
Incapital LLC is the placement 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: | $380,000
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| Maturity: | Jan. 31, 2020
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| Coupon: | 6% 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 ends 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 any call date after one year
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| Initial levels: | 1,375.60 for Russell, 2,296.68 for S&P
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| Barrier levels: | 962.9165 for Russell, 1,607.676 for S&P; 70% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | Incapital LLC
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| Fees: | 3%
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| Cusip: | 22548QS89
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