Published on 2/2/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $7.25 million market-tied contingent coupon autocallables on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 2 – Credit Suisse AG, London Branch priced $7.25 million of market-linked securities – autocallable with contingent coupon and contingent downside due Feb. 4, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 9.35% if each index closes at or above its threshold level, 75% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above the initial level on any quarterly observation date from July 2017 to October 2018.
The payout at maturity will be par unless any index finishes below its threshold level, in which case the payout will be par plus the return of the worst performing index with one-to-one exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 and Euro Stoxx 50
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| Amount: | $7,252,000
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| Maturity: | Feb. 4, 2019
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| Coupon: | 9.35% annualized, payable quarterly if each index closes at or above threshold level on observation date for that quarter
|
| Price: | Par
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any observation date July 2017 to October 2018
|
| Payout at maturity: | Par unless any index falls by more than 25%, in which case full exposure to any losses of the least performing index
|
| Initial levels: | 2,278.87 for S&P, 1,361.824 for Russell and 3,230.68 for Euro Stoxx
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| Threshold levels: | 1,709.1525 for S&P, 1,021.368 for Russell and 2,423.01 for Euro Stoxx; 75% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 3
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 1.845%
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| Cusip: | 22548QRW7
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