Published on 2/8/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $515,000 contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 8 – Credit Suisse AG, London Branch priced $515,000 of contingent coupon autocallable yield notes due May 7, 2019 linked to the Dow Jones industrial average, the Russell 2000 index and the SPDR S&P Metals & Mining ETF, 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 asset closes above its 70% barrier 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.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its initial level and any asset closes below the knock-in level, 60% of its initial level, any day during the life of the notes, in which case investors will be fully exposed to the decline of the least-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: | Dow Jones industrial average, Russell 2000, SPDR S&P Metals & Mining ETF
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| Amount: | $515,000
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| Maturity: | May 7, 2019
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| Coupon: | 8% per year, payable quarterly if each asset 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 unless any asset finishes below its initial level and any asset finishes below knock-in level during life of notes, in which case 1% loss for each 1% decline of the worst-performing asset
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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 levels: | 25,520.96 for Dow, 1,547.273 for Russell, $35.36 for ETF
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| Barrier levels: | 17,864.672 for Dow, 1,083.0911 for Russell, $24.752 for ETF, 70% of initial levels
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| Knock-in levels: | 15,312.576 for Dow, 928.3638 for Russell, $21.216 for ETF, 60% of initial levels
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.325%
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| Cusip: | 22550WD46
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