Published on 11/29/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2 million 11.85% contingent coupon autocalls tied to three indexes
By Susanna Moon
Chicago, Nov. 29 – Credit Suisse AG, London Branch priced $2 million of contingent coupon autocallable yield notes due Nov. 22, 2019 linked to the least performing of the Euro Stoxx 50, 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 annualized rate of 11.85% if each index closes at or above its 75% coupon barrier on an observation date for that quarter.
The notes will be called at par if each index closes above its initial level on any quarterly call date.
The payout at maturity will be par unless any index finishes below its 75% 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 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, Russell 2000, Euro Stoxx 50
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| Amount: | $2 million
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| Maturity: | Nov. 22, 2019
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| Coupon: | 11.85% annualized, payable quarterly if each index closes at or above its 75% barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes above initial level on any quarterly call date
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| Initial index levels: | 2,578.85 for S&P, 1,492.822 for Russell and 3,547.46 for Stoxx
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| Knock-in levels: | 1,934.1375 for S&P, 1,119.6165 for Russell and 2,660.595 for Stoxx; 75% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 22
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| Fees: | 1.25%
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| Cusip: | 22550BQ97
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