Published on 9/30/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $12 million step-up contingent coupon callable notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Sept. 30 – Credit Suisse AG, London Branch priced $12 million of step-up contingent coupon callable yield notes due Sept. 30, 2026 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 50% of its initial level, on the observation date for that month. The contingent coupon rate is 7% per year in years one through five, 10% per year in years six through eight and 12% per year in years nine and 10.
The payout at maturity will be par unless either index finishes below its knock-in level, 60% of its initial level, in which case investors will be fully exposed to the losses of the worse-performing index.
Beginning Sept. 29, 2017, the notes will be callable at par quarterly.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Step-up contingent coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $12 million
|
| Maturity: | Sept. 30, 2026
|
| Coupon: | Contingent coupon payable monthly if each index closes at or above coupon barrier level on observation date for that month; contingent coupon rate is 7% per year in years one through five, 10% per year in years six through eight and 12% per year in years nine and 10
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below knock-in level, in which case full exposure to losses of worse-performing index
|
| Call option: | Beginning Sept. 29, 2017, callable at par quarterly
|
| Initial index levels: | 2,159.93 for S&P 500 and 1,246.381 for Russell 2000
|
| Knock-in levels: | 1,295.958 for S&P 500 and 747.8286 for Russell 2000; 60% of initial levels
|
| Coupon barriers: | 1,079.965 for S&P 500 and 623.1905 for Russell 2000; 50% of initial levels
|
| Pricing date: | Sept. 27
|
| Settlement date: | Sept. 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 5%
|
| Cusip: | 22548QGN9
|
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