Published on 10/27/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.87 million autocallable securities on S&P 500, oil & gas ETF
By Marisa Wong
Morgantown, W.Va., Oct. 27 – Credit Suisse AG, London Branch priced $6.87 million of 0% autocallable securities due Oct. 28, 2020 linked to 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 be automatically called at par plus an annualized redemption premium of 13.5% if each underlying closes at or above its initial level on any annual review date.
If the notes are not called and each underlying finishes at or above its initial level, the payout at maturity will be par plus 54%.
If either underlying finishes below its initial level but both finish above the 50% knock-in level, the payout will be par plus 10%.
Otherwise, investors will be fully exposed to the decline of the lesser performing underlying.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlyings: | S&P 500 index, SPDR S&P Oil & Gas Exploration & Production ETF
|
| Amount: | $6,866,000
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| Maturity: | Oct. 28, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each underlying finishes at or above its initial level, par plus 54%; if either underlying finishes below its initial level but both finish above the knock-in level, par plus 10%; otherwise, investors will be fully exposed to the decline of the lesser performing underlying
|
| Call: | Automatically at par plus an annualized redemption premium of 13.5% if each underlying closes at or above its initial level on any annual review date
|
| Initial levels: | 2,141.16 for index, $37.92 for ETF
|
| Knock-in levels: | 1,070.58 for index, $18.96 for ETF; 50% of initial levels
|
| Pricing date: | Oct. 21
|
| Settlement date: | Oct. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.6%
|
| Cusip: | 22548QKD6
|
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