Published on 12/2/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.45 million contingent coupon autocallables on Russell, Stoxx
By Devika Patel
Knoxville, Tenn., Dec. 2 – Credit Suisse AG, London Branch, priced $1.45 million of contingent coupon autocallable yield notes due Nov. 29, 2021 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
After one year, the notes will be called at par if both indexes close at or above their respective initial levels on any quarterly trigger observation date.
The payout at maturity will be par unless either index finishes below its 60% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000, Euro Stoxx 50
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| Amount: | $1,447,000
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| Maturity: | Nov. 29, 2021
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| Coupon: | 8% per year per quarter if both indexes close at or above coupon barrier levels during that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its 60% knock-in level, in which case 1% loss for each 1% decline of the worst performing index
|
| Call option: | At par if both indexes close at or above their initial levels on any quarterly trigger observation date after one year
|
| Initial index levels: | 1,342.094 for Russell, 3,032.14 for Euro Stoxx
|
| Coupon barrier levels: | 939.4658 for Russell, 2,122.498 for Euro Stoxx, 70% of initial levels
|
| Knock-in levels: | 805.2564 for Russell, 1,819.284 for Euro Stoxx, 60% of initial levels
|
| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3.94%
|
| Cusip: | 22548QMS1
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