By Angela McDaniels
Tacoma, Wash., Feb. 6 – Credit Suisse AG, London Branch priced $1.03 million of autocallable contingent coupon buffered securities due Feb. 9, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, if no coupon barrier event occurs, the notes will pay a contingent coupon at the rate of 8% per year for that quarter and all prior quarters for which no contingent coupon was paid. If a coupon barrier event does occur, no coupon will be paid that quarter.
A coupon barrier event will occur if the closing level of either index is less than its coupon barrier level, 77.5% its initial level, on the observation date for that quarter.
Beginning Feb. 6, 2018, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and the final level of the lowest-performing index is at least 90% of its initial level, the payout will be par. Otherwise, investors will lose 1.1111% for every 1% that the lowest-performing index declines beyond 10%.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent coupon buffered securities
|
| Underlying indexes: | Russell 2000 and Euro Stoxx 50
|
| Amount: | $1,025,000
|
| Maturity: | Feb. 9, 2023
|
| Coupon: | If no coupon barrier event occurs, contingent coupon will be paid at rate of 8% per year for that quarter and all prior quarters for which no contingent coupon was paid; if coupon barrier event does occur, no coupon will be paid that quarter
|
| Coupon barrier event: | Closing level of either index is less than its coupon barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final level of lowest-performing index is at least 90% of initial level, par; otherwise, 1.1111% loss for every 1% that lowest-performing index declines beyond 10%
|
| Call: | Beginning Feb. 6, 2018, notes will be automatically called at par if each index closes at or above initial level on any quarterly observation date
|
| Initial levels: | 1,191.442 for Russell 2000 and 3,415.530 for Euro Stoxx 50
|
| Coupon barriers: | 923.368 for Russell 2000 and 2,647.036 for Euro Stoxx 50; 77.5% of initial levels
|
| Pricing date: | Feb. 4
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| Settlement date: | Feb. 9
|
| Underwriter: | Credit Suisse Securities (USA) LLC
|
| Fees: | 3%
|
| Cusip: | 22546V4A1
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