Published on 2/14/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $500,000 contingent coupon autocallables on index, funds
By Susanna Moon
Chicago, Feb. 14 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due Feb. 10, 2020 linked to the least performing of the Russell 2000 index, the SPDR S&P Regional Banking exchange-traded fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8% if each underlying component closes at or above its coupon barrier, 68.5% of its initial level, on a quarterly observation date.
The notes will be called at par if each component closes at or above its initial level on any quarterly contingent coupon date beginning Aug. 8, 2017.
The payout at maturity will be par unless any component finishes below its 68.5% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Russell 2000, SPDR S&P Regional Banking ETF and Technology Select Sector SPDR fund
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| Amount: | $500,000
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| Maturity: | Feb. 10, 2020
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| Coupon: | 8% per year, payable quarterly if each component closes at or above its 68.5% coupon barrier on quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless any component finishes below its knock-in level, in which case full exposure to losses of worse performing index or fund
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| Call: | At par if each component closes at or above its initial level on any quarterly contingent coupon date beginning Aug. 8, 2017
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| Initial levels: | 1,366.66 for Russell, $55.67 for banking fund and $50.72 for tech fund
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| Knock-in levels: | 936.1621 for Russell, $38.13395 for banking fund and $34.7432 for tech fund; 68.5% of initial levels
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| Pricing date: | Feb. 6
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| Settlement date: | Feb. 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.95%
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| Cusip: | 22548QUZ6
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