Published on 2/14/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.37 million 9.25% contingent coupon autocalls on three indexes
By Susanna Moon
Chicago, Feb. 14 – Credit Suisse AG, London Branch priced $2.37 million of autocallable contingent coupon notes due Feb. 5, 2019 linked to the lesser performing of the Russell 2000 index, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.25% if each index closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any index finishes below its 70% knock-in level, in which case investors will be exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | Russell 2000, Euro Stoxx 50 and S&P 500
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Amount: | $2,374,000
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Maturity: | Feb. 5, 2019
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Coupon: | 9.25% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on observation date
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Price: | Par
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Payout at maturity: | Par unless any index ever dips below 70% knock-in level, in which case 1% loss per 1% decline of worst performing index
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Call option: | At par if each index closes at or above its initial level on any interest payment date beginning Feb. 5, 2019
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Initial levels: | 1,574.982 for Russell, 3,609.29 for Stoxx and 2,823.81 for S&P
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Trigger levels: | 1,102.4874 for Russell, 2,526.50 for Stoxx and 1,976.667 for S&P; 70% of initial levels
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Pricing date: | Jan. 31
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Settlement date: | Feb. 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.625%
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Cusip: | 22550W3W5
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