Published on 12/5/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $736,000 contingent coupon callable yield notes on S&P, ETF
By Tali Rackner
Norfolk, Va., Dec. 5 – Credit Suisse AG, London Branch priced $736,000 of contingent coupon callable yield notes due Nov. 29, 2019 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 10.5% per year unless either asset closes below its knock-in level, 60% of its initial level, on the observation date for that quarter.
Beginning May 30, 2017, the notes will be callable at par on any interest payment date.
The payout at maturity will be par unless either asset finishes below its knock-in level, in which case investors will be fully exposed to the decline of the lesser performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | S&P 500 index and SPDR S&P Biotech ETF
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| Amount: | $736,000
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| Maturity: | Nov. 29, 2019
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| Coupon: | 10.5% per year, payable quarterly, unless either asset closes below knock-in level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset finishes below knock-in level, in which case full exposure to decline of lesser performing asset
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| Call option: | At par on any interest payment date beginning May 30, 2017
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| Initial levels: | 2,204.72 for S&P 500, $65.74 for Biotech ETF
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| Knock-in levels: | 1,322.832 for S&P 500, $39.444 for Biotech ETF; 60% of initial levels
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| Pricing date: | Nov. 23
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| Settlement date: | Nov. 29
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.45%
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| Cusip: | 22548QLV5
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