Published on 12/28/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.03 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 28 – Credit Suisse AG, London Branch priced $1.03 million of contingent coupon autocallable yield notes due June 26, 2020 linked to the lowest performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 6.2% if each index closes at or above its barrier level, 70% of its initial level, on a quarterly observation date after six months.
The notes will be called at par if each index closes above its initial level on any quarterly call date.
The payout at maturity will be par unless any index finishes below its initial level and any index closes below its 60% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the lesser-performing index.
J.P. Morgan is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500, Euro Stoxx 50 Russell 2000
|
| Amount: | $1,031,000
|
| Maturity: | June 26, 2020
|
| Coupon: | 6.2% per year, payable quarterly if each index closes at or above its barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its initial level and any index ever closes below knock-in level, in which case full exposure to any losses of the lesser-performing index
|
| Call: | At par if each index closes above initial level on any quarterly call date after six months
|
| Initial levels: | 3,552.65 for Stoxx, 1,540.076 for Russell, 2,679.25 for S&P
|
| Barrier levels: | 3,486.855 for Stoxx, 1,078.0532 for Russell, 1,875.475 for S&P; 70% of initial levels
|
| Knock-in levels: | 2,131.59 for Stoxx, 924.0456 for Russell, 1,607.55 for S&P; 60% of initial levels
|
| Pricing date: | Dec. 20
|
| Settlement date: | Dec. 26
|
| Agent: | J.P. Morgan
|
| Fees: | 2.7%
|
| Cusip: | 22550BW2H9
|
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