Published on 7/3/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.42 million 6.1% contingent coupon autocalls on S&P, Russell
By Susanna Moon
Chicago, July 3 – Credit Suisse AG, London branch priced $5.42 million of contingent coupon autocallable yield notes due Dec. 30, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 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 6.1% if each underlying index closes at or above its 70% coupon barrier on each trading day for that quarter.
The notes are called at par if each index closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless either underlying index ever closes below its 70% 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 agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000, S&P 500
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| Amount: | $5,421,000
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| Maturity: | Dec. 30, 2019
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| Coupon: | 6.1% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each index never closes below knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any determination date other than final date
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| Initial levels: | 1,668.527 for Russell and 2,723.06 for S&P
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| Trigger levels: | 1,167.9689 for Russell and 1,906.142 for S&P, 70% of initial levels
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| Pricing date: | June 26
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| Settlement date: | June 29
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2.125%
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| Cusip: | 22550WUX3
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