Published on 12/11/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.66 million contingent coupon autocallables on Russell, S&P
By Marisa Wong
Morgantown, W.Va., Dec. 11 – Credit Suisse AG, London Branch priced $1.66 million of contingent coupon autocallable yield notes due March 5, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at an annualized rate of 7.5% if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that month.
After six months, the notes will be called at par if each index closes at or above its initial level on any quarterly call date.
The payout at maturity will be par unless either index ever closes below its 75% knock-in level on any day during the life of the notes, in which case the payout will be par plus the return of the worse performing index, capped at par with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1,662,000
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| Maturity: | March 5, 2019
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| Coupon: | 7.5% annualized, payable each month that each index closes at or above its coupon barrier on observation date for that month
|
| Price: | Par
|
| Payout at maturity: | Par unless either index ever closes below its knock-in level, in which case par plus return of worse performing index, capped at par with full exposure to losses
|
| Call: | At par if each index closes above initial level on any quarterly call date beginning May 31, 2018
|
| Initial levels: | 1,544.141 for Russell and 2,647.58 for S&P
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| Coupon barrier: | 1,158.10575 for Russell and 1,985.685 for S&P; 75% of initial level
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| Knock-in level: | 1,158.10575 for Russell and 1,985.685 for S&P; 75% of initial level
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 5
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1%
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| Cusip: | 22550BN90
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