Published on 2/8/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.95 million contingent coupon autocallable yield notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, Feb. 8 – Credit Suisse AG, London Branch priced $3.95 million of contingent coupon autocallable yield notes due May 6, 2019 linked to the lowest performing of 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 quarterly coupon at an annualized rate of 8% if each index closes at or above its barrier level, 75% of its initial level, on a quarterly observation date.
The notes will be called at par if each index closes above its initial level on any quarterly call date beginning Aug. 1, 2018.
The payout at maturity will be par unless either index finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the lesser-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 and Russell 2000
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Amount: | $3,949,000
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Maturity: | May 6, 2019
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Coupon: | 8% 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 either index finishes below its knock-in level, in which case full exposure to any losses of the lesser-performing index
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Call: | At par if each index closes above initial level on any quarterly call date beginning Aug. 1, 2018
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Initial index levels: | 1,574.982 for Russell 2000 and 2,823.81 for S&P
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Barriers/knock-in levels: | 1,181.2365 for Russell 2000 and 2,117.8575 for S&P; 75% of initial levels
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Pricing date: | Jan. 31
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Settlement date: | Feb. 5
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1%
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Cusip: | 22550W3L9
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