Published on 10/27/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $537,000 contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 27 – Credit Suisse AG, London Branch priced $537,000 of contingent coupon autocallable yield notes due April 27, 2020 linked to the lowest performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 6.69% if each index closes at or above its barrier level, 75% of its initial level, on the related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly call date beginning April 24, 2018.
The payout at maturity will be par unless any index finishes below its initial level and any index closes below its 65% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the least-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: | S&P 500, Euro Stoxx 50 Russell 2000
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Amount: | $537,000
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Maturity: | April 27, 2020
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Coupon: | 6.69% per year, payable quarterly if each index closes at or above its barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its initial level and any index closes below knock-in level during life of notes, in which case full exposure to any losses of the least-performing index
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Call: | At par if each index closes above initial level on any quarterly call date beginning April 24, 2018
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Initial levels: | 2,569.13 for S&P, 1,500.42 for Russell, 3,610.69 for Stoxx
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Barrier levels: | 1,926.847 for S&P, 1,125.315 for Russell and 2,708.0175 for Stoxx; 75% of initial levels
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Knock-in levels: | 1,669.9345 for S&P, 975.273 for Russell and 2,346.94895 for Stoxx; 65% of initial levels
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Pricing date: | Oct. 24
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Settlement date: | Oct. 27
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.7%
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Cusip: | 22550BLX9
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