Published on 3/16/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $657,000 9.5% contingent coupon autocalls tied to three indexes
By Susanna Moon
Chicago, March 15 – Credit Suisse AG, London Branch priced $657,000 of contingent coupon autocallable yield notes due March 5, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 9.5% if each index closes at or above its 70% 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 ever closes below its 70% knock-in level, 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: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $657,000
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| Maturity: | March 5, 2019
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| Coupon: | 9.5% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index ever closes below 70% knock-in, in which case 1% loss for each 1% decline of worst performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than first and final dates
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| Initial levels: | 1,512.446 for Russell, 2,713.83 for S&P and 3,438.96 for Stoxx
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| Knock-in levels: | 1,058.7122 for Russell, 1,899.681 for S&P and 2,407.272 for Stoxx, 70% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.625%
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| Cusip: | 22550WBQ9
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