Published on 1/4/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5.35 million market-linked autocallable notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 4 – Credit Suisse AG, London Branch priced $5.35 million of market-linked securities due Jan. 4, 2019 – autocallable with contingent coupon and contingent downside linked to the least 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.
The notes will pay a contingent quarterly coupon at an annual rate of 7% if each index closes at or above its threshold level, 65% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above the initial level on any quarterly observation date from June 2017 to September 2018, inclusive.
The payout at maturity will be par unless any index finishes below its 65% threshold level, in which case investors will have one-to-one exposure to the loss of the least performing index.
Wells Fargo Securities LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside linked
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $5,347,000
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| Maturity: | Jan. 4, 2019
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| Coupon: | 7%, payable quarterly if each index closes above threshold level on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index finishes below threshold level, in which case one-to-one exposure to loss of least performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly observation date from June 2017 to September 2018
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| Initial index levels: | 2,249.26 for S&P, 1,363.177 for Russell, 3,271.76 for Stoxx
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| Threshold levels: | 1,462.019 for S&P, 886.06505 for Russell, 2,126.644 for Stoxx, 65% of initial levels
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| Pricing date: | Dec. 29
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| Settlement date: | Jan. 4
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 1.9%
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| Cusip: | 22548QQU2
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