Published on 5/5/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.25 million market-tied autocallables on indexes
By Susanna Moon
Chicago, May 5 – Credit Suisse AG priced $5.25 million of 0% market linked securities – autocallable with contingent coupon and contingent downside due May 2, 2019 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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% if each index closes at or above the 75% threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date from October 2017 to January 2019.
The payout at maturity will be par unless any index falls below the 75% threshold, in which case investors will be exposed to any losses of the worst performing index.
| Issuer: | Credit Suisse AG
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $5,245,000
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| Maturity: | May 2, 2019
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| Coupon: | 9% annualized, payable quarterly if each index closes at or above 75% threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 25%, in which case fully exposure to any losses of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly observation date from October 2017 to January 2019
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| Initial index levels: | 2,388.77 for S&P, 1,417.127 for Russell, 3,563.29 for Stoxx
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| Threshold levels: | 1,791.5775 for S&P, 1,062.84525 for Russell, 2,672.4675 for Stoxx, 75% of initial levels
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| Pricing date: | April 27
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| Settlement date: | May 2
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| Agent: | Wells Fargo Securities LLC
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| Fees: | 1.325%
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| Cusip: | 22548QZT5
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