Published on 3/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.68 million 7.7% contingent coupon autocalls tied to indexes
By Susanna Moon
Chicago, March 9 – Credit Suisse AG, London Branch priced $1.68 million of contingent coupon autocallable yield notes due Aug. 28, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.7% if each index closes at or above its 65% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date.
The payout at maturity will be par unless any index finishes below its initial level and ever closes below its 65% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the underwriter.
| 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, Russell 2000 and Euro Stoxx 50
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| Amount: | $1,679,000
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| Maturity: | Aug. 28, 2019
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| Coupon: | 7.7% annualized, payable quarterly if each index closes at or above its 65% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index ends below initial level and ever closes below 65% knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any review date
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| Initial levels: | 2,747.30 for S&P, 1,549.186 for Russell and 3,441.46 for Stoxx
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| Barrier levels: | 1,785.745 for S&P, 1,006.9709 for Russell and 2,236.949 for Stoxx; 65% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22550WBB2
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