Published on 9/6/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $400,000 contingent coupon notes tied to biotech ETF, S&P 500
By Marisa Wong
Morgantown, W.Va., Sept. 6 – Credit Suisse AG, London Branch priced $400,000 of contingent coupon callable yield notes due Aug. 30, 2019 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at a rate of 10.25% a year unless either underlying component closes below its barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either underlying component finishes below its 60% knock-in level, in which case investors will be fully exposed to the decline of the lesser-performing underlying component.
Beginning Feb. 28, 2017, the notes will be callable at par on any interest payment date.
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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Underlyings: | S&P 500 index, SPDR S&P Biotech ETF
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Amount: | $400,000
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Maturity: | Aug. 30, 2019
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Coupon: | 10.25%, payable quarterly if each underlying closes at or above barrier level on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless either underlying finishes below knock-in level, in which case full exposure to decline of lesser-performing underlying
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Call option: | In whole at par on any contingent coupon payment date, beginning Feb. 28, 2017
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Initial levels: | 2,169.04 for index, $61.11 for ETF
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Barrier/knock-in levels: | 1,301.424 for index, $36.666 for ETF; 60% of initial levels
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Pricing date: | Aug. 26
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Settlement date: | Aug. 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.45%
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Cusip: | 22548QDJ1
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