Published on 3/16/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.18 million 8.6% contingent coupon autocalls on Russell, Stoxx
New York, March 16 – Credit Suisse AG, London Branch priced $1.18 million of contingent coupon autocallable yield notes due March 16, 2020 linked to the lesser performing of 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 8.6% if each index closes at or above its 70% coupon barrier on the observation date for that quarter.
Starting Sept. 11, 2018, the notes will be called at par if each index closes at or above its initial level on quarterly observation date.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worse 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 and Euro Stoxx 50
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| Amount: | $1,175,000
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| Maturity: | March 16, 2020
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| Coupon: | 8.6% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index ends below its 70% knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call: | Starting Sept. 11, 2018, at par if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 1,597.142 for Russell, 3,420.54 for Stoxx
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| Coupon barrier levels: | 1,117.9994 for Russell, 2,394.378 for Stoxx; 70% of initial levels
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| Knock-in levels: | 1,117.9994 for Russell, 2,394.378 for Stoxx; 70% of initial levels
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| Pricing date: | March 9
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| Settlement date: | March 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.6%
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| Cusip: | 22550WJE8
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