Published on 10/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.02 million high/low coupon autocallables on S&P, Russell
By Devika Patel
Knoxville, Tenn., Oct. 5 – Credit Suisse AG, London Branch, priced $1.02 million of high/low coupon autocallable yield notes due April 4, 2018 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annual rate of 9% if each index closes at or above its coupon barrier level, 65% of its initial level, on each day of that quarter. If either index closes below the coupon barrier level on any day of that quarter, the notes will pay a coupon at an annual rate of 1%.
The payout at maturity will be par unless either index closes below its 65% knock-in level, during the life of the notes, in which case investors will lose or gain 1% for each 1% decline or gain of the worst performing index.
The notes will be called at par if both indexes close at or above their respective initial levels on any quarterly observation date after Dec. 29, 2016.
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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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $1,015,000
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Maturity: | April 4, 2018
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Coupon: | 9% per year per quarter if both indexes close at or above coupon barrier levels on each day of that quarter, otherwise 1% per year
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Price: | Par
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Payout at maturity: | Par unless either index closes below knock-in level during the life of the notes, in which case 1% loss or gain for each 1% decline or gain of the worst performing index
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Call option: | At par if both indexes close at or above their initial levels on any quarterly observation date after Dec. 29, 2016
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Initial level: | 2,151.13 for the S&P 500, 1,237.751 for the Russell 2000
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Coupon barrier: | 1,398.2345 for the S&P 500, 804.53815 for the Russell 2000, 65% of initial levels
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Knock-in level: | 1,398.2345 for the S&P 500, 804.53815 for the Russell 2000, 65% of initial levels
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Pricing date: | Sept. 29
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Settlement date: | Oct. 4
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.5%
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Cusip: | 22548QJ22
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