Published on 7/3/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.5 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 3 – Credit Suisse AG, London Branch priced $1.5 million of contingent coupon autocallable yield notes due June 28, 2019 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annual rate of 8% if each index closes above its 72.5% barrier 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.
If the notes are not called, the payout at maturity will be par unless any index finishes below its barrier, in which case investors will be fully exposed to the decline of the least-performing index.
J.P. Morgan Securities 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: | Euro Stoxx 50, S&P 500, Russell 2000
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| Amount: | $1.5 million
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| Maturity: | June 28, 2019
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| Coupon: | 8% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon unless any index finishes below its 72.5% barrier level, in which case 1% loss for each 1% decline of the worst-performing index
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| Call option: | At par if each index closes at or above its initial level on any quarterly observation date
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| Initial index levels: | 3,543.68 for Euro Stoxx, 2,569.17 for S&P, 1,414.778 for Russell
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| Barrier levels: | 2,569.17 for Euro Stoxx, 1,767.77 for S&P, 1,025.714 for Russell, 72.5% of initial levels
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| Pricing date: | June 23
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| Settlement date: | June 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 22550BBW2
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