Published on 9/22/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.28 million contingent coupon callable yield notes on indexes
By Marisa Wong
Morgantown, W.Va., Sept. 22 – Credit Suisse AG, London Branch priced $1.28 million of contingent coupon callable yield notes due Sept. 20, 2018 linked to the lowest 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.
Each quarter, the notes pay a contingent coupon at the rate of 11.7% per year unless any index closes below its knock-in level, 70% of its initial level, on the observation date for that quarter.
The notes will be callable at par on any interest payment date.
The payout at maturity will be par unless any index finishes below its knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $1.28 million
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| Maturity: | Sept. 20, 2018
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 11.7% per year unless any index closes below knock-in level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to decline of least-performing index
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| Call option: | At par on any interest payment date
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| Initial index levels: | 2,973.77 for Euro Stoxx, 2,147.26 for S&P 500 and 1,227.023 for Russell 2000
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| Knock-in levels: | 2,081.64 for Euro Stoxx 50, 1,503.08 for S&P 500 and 858.916 for Russell 2000; 70% of initial levels
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 20
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| Agent: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22548QHT5
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