Published on 2/6/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.24 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 6 – Credit Suisse AG, London Branch priced $1.24 million of contingent coupon autocallable yield notes due July 31, 2019 linked to the lowest performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 7% if each index closes at or above its barrier level, 65% of its initial level, on a quarterly observation date.
The notes will be called at par if each index closes above its initial level on any quarterly call date.
The payout at maturity will be par unless any index finishes below its 65% knock-in level, in which case investors will be fully exposed to any losses of the least-performing index.
J.P. Morgan 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: | S&P 500, Euro Stoxx 50 Russell 2000
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| Amount: | $1.24 million
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| Maturity: | July 31, 2019
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| Coupon: | 7% per year, payable quarterly if each index closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any either index finishes below its knock-in level, in which case full exposure to any losses of the least-performing index
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| Call: | At par if each index closes above initial level on any quarterly call date
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| Initial levels: | 3,647.41 for Stoxx, 1,608.058 for Russell, 2,872.87 for S&P
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| Barrier/knock-in levels: | 2,370.8165 for Stoxx, 1,045.2377 for Russell, 1,867.3655 for S&P; 65% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | J.P. Morgan
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| Fees: | 2.125%
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| Cusip: | 22550W4D6
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