Published on 3/6/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.76 million high/low coupon autocallables on index, fund
By Susanna Moon
Chicago, March 6 – Credit Suisse AG, London Branch priced $1.76 million of high/low coupon autocallable yield notes due Dec. 3, 2018 linked to the worst performing of 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 pay a quarterly coupon at an annual rate of 7.25% if each component closes at or above its coupon barrier level, 70% of its initial level, on each day of that quarter. Otherwise, the notes will pay a coupon at an annual rate of 1%.
The payout at maturity will be par unless either component finishes below its 60% knock-in level, in which case investors will lose or gain 1% for each 1% decline or gain of the worst performing component.
The notes will be called at par if each component closes at or above its initial level on any quarterly observation date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon autocallable yield notes
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| Underlyings: | S&P 500 index, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1,761,000
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| Maturity: | Dec. 3, 2018
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| Coupon: | 7.25% annualized if each underling component closes at or above 70% coupon barrier level on observation date for that quarter; otherwise, 1% for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either component finishes below knock-in level, in which case 1% loss per 1% decline of worse performing component
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| Call: | At par if each component closes at or above its initial level on any quarterly observation date
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| Initial levels: | 2,363.64 for S&P, $37.86 for fund
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| Coupon barriers: | 1,654.548 for S&P, $26.502 for fund; 70% of initial levels
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| Knock-in levels: | 1,418.184 for S&P, $22.716 for fund; 60% 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: | 0.55%
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| Cusip: | 22548QWH4
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