Published on 12/29/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $469,000 contingent coupon autocallable yield notes on indexes, ETF
By Tali Rackner
Minneapolis, Dec. 29 – Credit Suisse AG, London Branch priced $469,000 of contingent coupon autocallable yield notes due June 27, 2019 linked to the lesser performing of the Russell 2000 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 10% if each asset closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless either asset finishes below its 70% knock-in level on any day during the observation period, in which case investors will be fully exposed to any losses of the lesser-performing asset.
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 and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $469,000
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| Maturity: | June 27, 2019
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| Coupon: | 10% per year, payable quarterly if each asset closes at or above its coupon barrier level on observation date
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any either asset finishes below its knock-in level on any day during the observation period, in which case full exposure to any losses of the lesser-performing asset
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| Call: | Automatically at par if each asset closes at or above its initial level on any quarterly observation date
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| Initial levels: | 1,547.107 for Russell, $36.66 for ETF
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| Coupon/knock-in levels: | 1,082.9749 for Russell, $25.662 for ETF; 70% of initial levels
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 27
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.325%
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| Cusip: | 22550BQW6
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