Published on 8/12/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.03 million high/low coupon notes on three funds
By Marisa Wong
Morgantown, W.Va., Aug. 12 – Credit Suisse AG, London Branch priced $1.03 million of high/low coupon callable yield notes due Aug. 13, 2018 linked to the Energy Select Sector SPDR fund, the Utilities Select Sector SPDR fund and the Industrial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any fund closes below its knock-in level, 55% of its initial level.
Interest is payable quarterly. The coupon is 12.1% per year unless a knock-in event occurs during the quarter, in which case the interest rate for that quarter and each subsequent quarter will be 1%.
The notes are callable at par on any interest payment date beginning Feb. 13, 2017.
The payout at maturity will be par unless a knock-in event occurs, in which case the payout will be par plus the return of the worst-performing fund, subject to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon callable yield notes
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| Underlying funds: | Energy Select Sector SPDR fund, Utilities Select Sector SPDR fund and Industrial Select Sector SPDR fund
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| Amount: | $1,026,000
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| Maturity: | Aug. 13, 2018
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| Coupon: | Each quarter, notes pay coupon at rate of 12.1% per year if knock-in event does not occur during that quarter; otherwise, coupon will be 1% per year for that interest period and each subsequent interest period
|
| Price: | Par
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| Payout at maturity: | Par unless knock-in event has occurred, in which case par plus return of worst-performing fund, subject to maximum payout of par
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| Call option: | At par on any interest payment date beginning Feb. 13, 2017
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| Knock-in event: | Any fund closes below knock-in level on any day during life of notes
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| Initial levels: | $68.06 for energy fund, $50.69 for utilities fund, $58.35 for industrial fund
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| Knock-in levels: | $37.433 for energy fund, $27.8795 for utilities fund, $32.0925 for industrial fund; 55% of initial levels
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.7%
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| Cusip: | 22548QDT9
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