Published on 12/14/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $79,000 autocallable securities on S&P 500, oil & gas ETF
By Tali Rackner
Norfolk, Va., Dec. 14 – Credit Suisse AG, London Branch priced $79,000 of autocallable securities due Nov. 30, 2020 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 13% if each underlying asset closes at or above its initial level on any annual review date.
If each underlying asset finishes at or above its initial level, the payout at maturity will be par plus the contingent maximum return of 52%.
If either underlying asset finishes below its initial level, the payout will be par plus 10% unless either underlying asset finishes at or below its 50% knock-in level, in which case investors will be fully exposed to the decline of the lesser performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying assets: | S&P 500 index, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $79,000
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| Maturity: | Nov. 30, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 52% if each asset finishes at or above initial level; par plus 10% if either asset closes below initial level but above 50% knock-in level; otherwise, full exposure to the decline of the lesser performing asset
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| Call: | Automatically at par plus an annualized redemption premium of 13% if each underlying closes at or above its initial level on any annual review date
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| Initial levels: | 2,204.72 for S&P, $40.19 for oil & gas ETF
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| Knock-in levels: | 1,102.36 for S&P, $20.095 for oil & gas ETF; 50% of initial levels
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| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.45%
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| Cusip: | 22548QMP7
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