Published on 12/6/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.68 million contingent coupon autocallables on S&P, Russell
By Devika Patel
Knoxville, Tenn., Dec. 6 – Credit Suisse AG, London Branch, priced $1.68 million of contingent coupon autocallable yield notes due March 5, 2018 linked to the worst performing of 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 contingent monthly coupon at an annual rate of 6% if each index closes at or above its barrier level, 60% of its initial level, on the observation date for that month.
The notes will be called at par if both indexes close at or above their respective initial levels on May 31, 2017, Aug. 30, 2017 or Nov. 30, 2017.
The payout at maturity will be par unless either index closes below its 60% barrier level during the life of the notes, in which case the payout will be par plus the return of the lesser performing index, subject to a maximum payout of par and with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $1,683,000
|
| Maturity: | March 5, 2018
|
| Coupon: | 6% per year payable monthly if both indexes close at or above barrier levels during that month
|
| Price: | Par
|
| Payout at maturity: | Par unless either index closes below its barrier level during the life of the notes, in which case the payout will be par plus the return of the lesser performing index, subject to a maximum payout of par, with full exposure to losses
|
| Call option: | At par if both indexes close at or above their initial levels on May 31, 2017, Aug. 30, 2017 or Nov. 30, 2017
|
| Initial index levels: | 2,198.81 for S&P 500, 1,322.339 for Russell 2000
|
| Barrier levels: | 1,319.286 for S&P 500, 793.4034 for Russell 2000, 60% of initial levels
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1%
|
| Cusip: | 22548QLW3
|
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