Published on 1/19/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.32 million contingent coupon autocallables on S&P, Russell
By Devika Patel
Knoxville, Tenn., Jan. 19 – Credit Suisse AG, London Branch, priced $2.32 million of contingent coupon autocallable yield notes due July 19, 2019 linked to the worst 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 contingent quarterly coupon at an annual rate of 6.25% if each index closes at or above its coupon barrier level, 75% of its initial level, on the observation date for that quarter.
The notes will be called at par if both indexes close at or above their respective initial levels on July 16, 2018, Oct. 16, 2018, Jan. 16, 2019 or April 16, 2019.
The payout at maturity will be par unless either index closes below its 75% knock-in level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $2,322,000
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| Maturity: | July 19, 2019
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| Coupon: | 6.25% per year per quarter if both indexes close at or above coupon barrier levels during that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless either index closes below its 75% knock-in level during the life of the notes, in which case 1% loss for each 1% decline of the worst performing index
|
| Call option: | At par if both indexes close at or above their initial levels on July 16, 2018, Oct. 16, 2018, Jan. 16, 2019 or April 16, 2019
|
| Initial index levels: | 2,776.42 for S&P 500, 1,572.97 for Russell 2000
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| Coupon barrier levels: | 2,082.315 for S&P 500, 1,179.7275 for Russell 2000, 75% of initial levels
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| Knock-in levels: | 2,082.315 for S&P 500, 1,179.7275 for Russell 2000, 75% of initial levels
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| Pricing date: | Jan. 16
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| Settlement date: | Jan. 19
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.65%
|
| Cusip: | 22550W2X4
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