Published on 1/15/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.42 million contingent coupon buffered autocalls on indexes
By Sarah Lizee
Olympia, Wash., Jan. 15 – Credit Suisse AG, London Branch priced $3.42 million of contingent coupon buffered autocallable yield notes due Jan. 18, 2022 linked to the least performing of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annualized rate of 8.05% if each index closes at or above its 75% coupon barrier on the related monthly observation date.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after one year.
The payout at maturity will be par unless either index falls by more than 25%, in which case investors will lose 1.33333% for each 1% decline of the worse performing index beyond the 25% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon buffered autocallable yield notes
|
| Underlying indexes: | S&P 500, Euro Stoxx 50
|
| Amount: | $3,418,000
|
| Maturity: | Jan. 18, 2022
|
| Coupon: | 8.05% annualized, payable monthly if each index closes at or above its coupon barrier on related monthly observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either index falls by more than 25%, in which case 1.33333% loss for each 1% decline of worse performing index beyond 25%
|
| Call: | At par if each index closes at or above initial level on any quarterly observation date after one year
|
| Initial index levels: | 2,596.64 for S&P 500 and 3,075.73 for Stoxx
|
| Coupon barriers/buffer levels: | 1,947.48 for S&P 500 and 2,306.7975 for Stoxx; 75% of initial levels
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Pricing date: | Jan. 11
|
| Settlement date: | Jan. 16
|
| Fees: | 0.1%
|
| Cusip: | 22551LU24
|
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