Published on 3/23/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.13 million contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 23 – Credit Suisse AG, London Branch priced $1.13 million of contingent coupon autocallable yield notes due March 22, 2021 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the SPDR S&P Regional Banking exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 8.15% if each asset closes at or above its barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each fund closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worst performing asset.
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 assets: | S&P 500, Russell 2000, SPDR S&P Regional Banking exchange-traded fund
|
| Amount: | $1.13 million
|
| Maturity: | March 22, 2021
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| Coupon: | 8.15% per year, payable quarterly if each asset closes at or above its barrier level on quarterly observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any asset has closed below its knock-in level any day during life of notes and any asset finishes below its initial level, in which case investors full exposure to any losses of the least-performing asset
|
| Call: | Automatically if each asset closes at or above its initial level on any quarterly observation date
|
| Initial levels: | 1,391.524 for Russell, 2,378.25 for S&P 500, $56.54 for ETF
|
| Barrier/knock-in levels: | 974.0668 for Russell, 1,664.775 for S&P, $39.578 for ETF; 70% of initial levels
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| Pricing date: | March 17
|
| Settlement date: | March 22
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.95%
|
| Cusip: | 22548QWP6
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