Published on 12/19/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.02 million contingent coupon autocallables on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Dec. 19 – Credit Suisse AG, London Branch priced $1.02 million of contingent coupon autocallable yield notes due March 14, 2018 linked to the lowest 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 quarterly coupon at an annual rate of 9.1% if each index closes at or above its barrier level, 70% of its initial level, on a quarterly observation date.
The notes will be called at par if both indexes close at or above their respective initial levels on any quarterly trigger observation date beginning June 9, 2017.
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 worst performing index with full exposure to any losses and a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,022,000
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| Maturity: | March 14, 2018
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| Coupon: | 9.1% per year, payable quarterly if both indexes close at or above barrier levels on quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless either index ever closes below its knock-in level, in which case par plus return of worst performing index, with full exposure to any losses and payout capped at par
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| Call: | At par if both indexes close at or above their initial levels on any quarterly trigger observation date beginning June 9, 2017
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| Initial index levels: | 2,259.53 for S&P, 1,388.073 for Russell
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| Barrier levels: | 1,581.671 for S&P, 971.6511 for Russell, 70% of initial levels
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| Knock-in levels: | 1,581.671 for S&P, 971.6511 for Russell, 70% of initial levels
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| Pricing date: | Dec. 9
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| Settlement date: | Dec. 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 22548QQK4
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