Published on 2/27/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.46 million 8.3% contingent coupon autocalls tied to indexes
By Susanna Moon
Chicago, Feb. 27 – Credit Suisse AG, London Branch priced $2.46 million of contingent coupon autocallable yield notes due May 13, 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 annual rate of 8.3% if each index closes at or above its 75% 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 quarterly observation date after six months.
The payout at maturity will be par unless either index ever closes below its 75% 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 assets: | S&P 500 index and Russell 2000 index
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| Amount: | $2,455,000
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| Maturity: | May 13, 2019
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| Coupon: | 8.3% annualized, payable quarterly if each index closes at or above its 75% 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 ever closes below knock-in level, in which full exposure to the losses of the worse performing index
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| Call: | At par if each index closes at or above initial level on any quarterly trigger observation date beginning Aug. 8, 2018
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| Initial levels: | 2,681.66 for S&P, 1,507.969 for Russell
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| Trigger levels: | 2,011.245 for S&P, 1,130.97675 for Russell, 75% of initial levels
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| Pricing date: | Feb. 7
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| Settlement date: | Feb. 15
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22550WAL1
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