Published on 3/7/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.09 million contingent coupon autocallables tied to two indexes
By Susanna Moon
Chicago, March 7 – Credit Suisse AG, London Branch priced $2.09 million of contingent coupon autocallable yield notes due June 4, 2018 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 monthly coupon at an annualized rate of 7.5% if each index closes above its 70% coupon barrier on the observation date for that month.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any determination date.
The payout at maturity will be par unless either index ever closes below its 70% knock-in level during the life of the notes, 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 autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $2,089,000
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| Maturity: | June 4, 2018
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| Coupon: | 7.5% per year, payable monthly if each index closes at or above its 70% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either index ever dips below 70% knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call: | At par if each index close at or above its initial level on any determination date
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| Initial levels: | 1,386.684 for Russell, 2,363.64 for S&P
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| Thresholds: | 970.6788 for Russell, 1,654.548 for S&P; 70% of initial levels
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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%
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| Cusip: | 22548QTM7
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