Published on 12/15/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $74,000 10.75% contingent coupon autocalls tied to index, fund
By Susanna Moon
Chicago, Dec. 15 – Credit Suisse AG, London Branch priced $74,000 of contingent coupon autocallable yield notes due June 5, 2019 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.75% if each underlying component closes at or above its 75% coupon barrier on an observation date for that quarter.
The notes will be called at par if each component closes above its initial level on any quarterly call date.
The payout at maturity will be par unless either component ever closes below its 75% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index or fund.
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 assets: | Russell 2000 index, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $74,000
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| Maturity: | June 5, 2019
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| Coupon: | 10.75% annualized, payable quarterly if each component closes at or above its 75% barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either component ever closes below knock-in level, in which case 1% loss for each 1% decline of worse performing index or fund
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| Call: | At par if each component closes above initial level on any quarterly call date
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| Initial index levels: | 1,544.14 for Russell and $35.72 for fund
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| Knock-in levels: | 1,003.69 for Russell and $23.218 for fund; 65% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 5
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| Fees: | 0.825%
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| Cusip: | 22550BNK5
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