Published on 1/3/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.43 million 6.5% contingent coupon autocalls on indexes
By Susanna Moon
Chicago, Jan. 3 – Credit Suisse AG, London Branch priced $2.43 million of contingent coupon autocallable yield notes due June 28, 2019 linked to the least performing of the S&P 500 index 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 6.5% if each index closes at or above its 70% coupon barrier on an observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly call date after six months.
The payout at maturity will be par unless either index ever closes below its 70% 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.
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 indexes: | Russell 2000, S&P 500
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| Amount: | $2,434,000
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| Maturity: | June 28, 2019
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| Coupon: | 6.5% annualized, payable quarterly if each index 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 index ever closes below knock-in level, in which case 1% loss for each 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 quarterly call date
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| Initial index levels: | 1,543.937 for Russell and 2,682.62 for S&P
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| Barrier levels: | 1,080.7559 for Russell and 1,877.834 for S&P; 70% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Dec. 27
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| Settlement date: | Dec. 29
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| Fees: | 1.875%
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| Cusip: | 22550BSW4
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