Published on 2/18/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.38 million high/low coupon autocallables on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Feb. 18 – Credit Suisse AG, London Branch priced $1.38 million of high/low coupon autocallable yield notes due Aug. 18 linked to 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 monthly coupon of at an annualized rate of 6% unless either index closes below its knock-in level, 70% of its initial level, on the observation date for that month, in which case the notes will pay a coupon at a rate of 1% per annum.
The notes will be automatically called at par on any payment date if both indexes closes above their initial levels on the observation date for that month.
The payout at maturity will be par unless either index closes below its 70% knock-in level on any day during the life of the notes, in which case the payout will be par plus the return of the worse performing index, up to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,375,000
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| Maturity: | Aug. 18, 2016
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| Coupon: | 6% unless either index closes below knock-in level on observation date; otherwise, 1% for that month; payable monthly
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| Price: | Par
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| Payout at maturity: | par unless either index closes below knock-in level on any day during life of notes, in which case par plus return of worse performing index, up to a maximum payout of par
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| Call: | At par on any payment date if both indexes closes above initial levels on observation date
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| Initial levels: | 1,864.78 for S&P, 971.99 for Russell
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| Knock-in levels: | 1,305.3460 for S&P, 680.3930 for Russell; 70% of initial levels
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| Pricing date: | Feb. 12
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| Settlement date: | Feb. 18
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.5%
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| Cusip: | 22546VUW4
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