Published on 12/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.41 million contingent coupon callable yield notes on S&P, ETF
New York, Dec. 5 – Credit Suisse AG, London Branch, priced $1.41 million of contingent coupon callable yield notes due Dec. 5, 2019 linked to the lowest performing of 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 the rate of 12.5% per year unless either asset closes below its coupon barrier level, 60% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless either asset finishes below its knock-in level, 60% of its initial level, in which case investors will lose 1% for each 1% decline of the least-performing asset.
The notes are callable in whole but not in part at par on any interest payment date on or after June 5, 2017.
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 assets: | S&P 500 index and SPDR S&P Biotech ETF
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| Amount: | $1,406,000
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| Maturity: | Dec. 5, 2019
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 12.5% per year unless either asset closes below coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset finishes below knock-in level, in which case 1% loss for each 1% decline of least-performing asset
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| Call option: | In whole, at par on any interest payment date after June 5, 2017
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| Initial levels: | 2,198.81 for S&P 500, $62.67 for ETF
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| Knock-in/coupon barrier levels: | 1,319.286 for S&P 500, $37.602 for ETF, 60% of initial levels
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22548QMA0
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