Published on 4/10/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.98 million contingent income autocallables on three indexes
By Wendy Van Sickle
Columbus, Ohio, April 10 – Credit Suisse AG, London Branch priced $2.98 million of autocallable contingent income securities due April 2, 2020 linked to the worst performing of the S&P 500 index, the Nikkei 225 index and the FTSE 100 index, according to a 424B2 filed with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.8% per year if each index closes at or above its coupon barrier level, 75% of its initial index level, on the observation date that quarter.
The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date other than the final one.
If each index finishes at or above its downside threshold level, 75% of its initial level, the payout at maturity will be par plus the final contingent coupon, if applicable. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent, with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | Credit Suisse AG
|
| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 index, Nikkei 225 index and FTSE 100 index
|
| Amount: | $2,979,000
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| Maturity: | April 2, 2020
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| Coupon: | 9.8% per year, payable quarterly if each index closes at or above coupon barrier on observation date that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of least performing index
|
| Call: | At par if each index closes at or above initial level on any determination date other than final date
|
| Initial levels | 2,640.87 for S&P, 7,056.61 for FTSE, 21,159.08 for Nikkei
|
| Coupon barriers: | 1,980.65 for S&P, 5,292.46 for FTSE, 15,869.31 for Nikkei; 75% of initial levels
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| Downside thresholds: | 1,980.65 for S&P, 5,292.46 for FTSE, 15,869.31 for Nikkei; 75% of initial levels
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| Pricing date: | March 29
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| Settlement date: | April 5
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Distribution: | Morgan Stanley Wealth Management
|
| Fees: | 2%
|
| Cusip: | 22550WK55
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