Published on 3/3/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $621,000 high/low coupon autocallables on S&P, Russell
By Susanna Moon
Chicago, March 3 – Credit Suisse AG, London Branch priced $621,000 of high/low coupon autocallable yield notes due Sept. 5, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if either index ever closes below its knock-in level, 70% of its initial level, on any day during the life of the notes.
The notes will pay a coupon of 11% unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%. Interest is payable quarterly.
The notes are callable on any interest payment date.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst 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: | $621,000
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Maturity: | Sept. 5, 2017
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Coupon: | 11% unless either index closes below knock-in level on observation date; otherwise, 1% for that month; payable quarterly
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Price: | Par
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Payout at maturity: | If index ever dips below knock-in level, par plus return of worst performing index, capped at par; otherwise, par
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Call option: | At par on any coupon payment date
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Initial levels: | 1,932.23 for S&P, 1,033.901 for Russell
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Knock-in levels: | 1,352.561 for S&P, 723.7307 for Russell; 70% of initial levels
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Pricing date: | Feb. 29
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Settlement date: | March 3
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Underwriter: | Credit Suisse Securities (USA) LLC
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Fees: | 1.05%
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Cusip: | 22546VVN3
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