Published on 2/21/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $715,000 9.5% contingent coupon autocalls on index, funds
By Susanna Moon
Chicago, Feb. 21 – Credit Suisse AG, London Branch priced $715,000 of autocallable contingent coupon notes due Feb. 7, 2019 linked to the least performing of the Euro Stoxx 50 index, the iShares MSCI Emerging Markets exchange-traded fund and the SPDR S&P Biotech ETF, 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 underlying component closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any component ever closes below its 60% knock-in level during the life of the notes, in which case investors will be exposed to any losses of the worst performing index or fund.
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: | Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF and the SPDR S&P Biotech ETF
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| Amount: | $715,000
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| Maturity: | Feb. 7, 2019
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| Coupon: | 9.5% annualized, payable quarterly if each component closes at or above its 70% coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any component ever dips below 60% knock-in level, in which case 1% loss per 1% decline of worst performing index or fund
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| Call option: | At par if each index closes at or above its initial level on any interest payment date beginning Feb. 5, 2019
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| Initial levels: | 3,523.28 for Stoxx, $49.05 for EM fund, $91.89 for biotech fund
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| Coupon barriers: | 2,466.296 for Stoxx, $34.335 for EM fund, $64.323 for biotech fund; 70% of initial levels
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| Knock-in levels: | 2,113.968 for Stoxx, $29.43 for EM fund, $55.134 for biotech fund; 60% of initial levels
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.325%
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| Cusip: | 22550WD53
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