Published on 4/23/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $394,000 7.5% contingent coupon autocalls tied to two indexes
By Susanna Moon
Chicago, April 23 – Credit Suisse AG, London Branch priced $394,000 of contingent coupon autocallable yield notes due Oct. 21, 2019 linked to the lesser 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 7.5% if each index closes at or above its 75% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date after six months.
The payout at maturity will be par unless either index ever closes below its 75% knock-in level during the life of the notes, 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: | S&P 500 index, Russell 2000 index
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| Amount: | $394,000
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| Maturity: | Oct. 21, 2019
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| Coupon: | 7.5% annualized, payable quarterly if each index closes at or above 75% 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 ever closes below 75% knock-in level, in which case 1% loss per 1% decline of worse performing index
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| Call: | At par if each asset closes at or above its initial level on any review date beginning Oct. 16, 2018
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| Initial levels: | 2,677.84 for S&P, 1,563.033 for Russell
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| Trigger levels: | 2,008.38 for S&P, 1,172.27475 for Russell, 75% of initial levels
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| Pricing date: | April 16
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| Settlement date: | April 19
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.65%
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| Cusip: | 22550WKF3
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