Published on 10/28/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $12 million range accrual notes linked to S&P, Russell
By Angela McDaniels
Tacoma, Wash., Oct. 28 – Credit Suisse AG, London Branch priced $12 million of callable fixed-to-daily range accrual notes due Oct. 31, 2031 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
The interest rate is fixed at 10% for the first year. Beginning Oct. 31, 2017, the interest rate will be 10% per year multiplied by the proportion of days on which each index closes at or above its accrual barrier, 70% of its initial level. Interest is payable monthly.
Beginning Oct. 31, 2017, the notes will be callable quarterly at par.
The payout at maturity will be par unless either index falls by more than 50%, in which case investors will be exposed to the worse-performing index’s decline from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable fixed-to-daily range accrual notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $12 million
|
| Maturity: | Oct. 31, 2031
|
| Coupon: | 10% for first year; beginning Oct. 31, 2017, 10% per year multiplied by proportion of days on which each index closes at or above accrual barrier; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index falls by more than 50%, in which case exposure to worse-performing index’s decline from initial level
|
| Call option: | Beginning Oct. 31, 2017, notes are callable quarterly at par
|
| Initial index levels: | 2,139.43 for S&P 500 and 1,204.749 for Russell 2000
|
| Accrual barrier: | 1,497.601 for S&P 500 and 843.3243 for Russell 2000; 70% of initial levels
|
| Knock-in level: | 1,069.715 for S&P 500 and 602.3745 for Russell 2000; 50% of initial levels
|
| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 5.3125%
|
| Cusip: | 22548QKK0
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