Published on 3/6/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $380,000 contingent coupon callable yield notes on indexes
By Susanna Moon
Chicago, March 6 – Credit Suisse AG, London Branch priced $380,000 of contingent coupon callable yield notes due March 3, 2020 linked to the least 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 semiannual coupon at an annualized rate of 7.5% if each index closes above its coupon barrier level, 70% of its initial level, on the observation date for that period.
The notes are callable in whole but not in part at par on any coupon payment date beginning Sept. 5, 2017.
The payout at maturity will be par unless either index closes below its knock-in level, 70% of its initial level, in which case investors will be fully exposed to any losses of worse performing index
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $380,000
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| Maturity: | March 3, 2020
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| Coupon: | 7.5% per year, payable semiannually if each as index closes at or above its 70% coupon barrier on review date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call option: | At par on any quarterly coupon date beginning Sept. 5, 2017
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| Initial levels: | 2,369.75 for S&P, 1407.97 for Russell
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| Knock-in levels: | 1,658.825 for S&P, 985.579 for Russell; 70% of initial levels
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| Strike date: | Feb. 27
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| Pricing date: | Feb. 28
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| Settlement date: | March 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22548QWQ4
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