Published on 2/16/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.4 million contingent income autocallables on three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 16 – Credit Suisse AG priced $2.4 million autocallable contingent income securities due Feb. 15, 2019 linked to the worse performing of the Nikkei 225 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at a rate of 9.3% per year if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day of that quarter.
Beginning May 10, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final one.
If each index finishes at or above its downside threshold level, 75% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.
Credit Suisse International is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | Nikkei 225, Nasdaq-100 and S&P 500
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| Amount: | $2.4 million
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| Maturity: | Feb. 15, 2019
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| Contingent payment: | 9.3% per year, payable quarterly if each index closes at or above coupon barrier every day that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its downside threshold level, in which case exposure to decline of least-performing index
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| Call: | Automatically at par plus contingent payment if each index closes above initial level on any quarterly observation date
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| Initial index levels: | 19,378.93 for Nikkei, 5,226.686 for Nasdaq, 2316.10 for S&P
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| Barriers/ thresholds: | 14,534.20 for Nikkei, 3,920.015 for Nasdaq, 1,737.08 for S&P, 75% of initial levels
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| Pricing date: | Feb. 10
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| Settlement date: | Feb. 15
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Wealth Management.
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| Fees: | 2%
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| Cusip: | 22548QVD4
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