Published on 5/2/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.71 million contingent market-linked autocalls on indexes
By Sarah Lizee
Olympia, Wash., May 2 – Credit Suisse AG, London Branch priced $3.71 million of market-linked securities due April 27, 2023 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, 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 7% if each index closes at or above its 70% downside threshold 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 quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
|
| Amount: | $3,713,000
|
| Maturity: | April 27, 2023
|
| Coupon: | 7% annualized, payable quarterly if each index closes at or above downside threshold on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any index falls by more than 30%, in which case 1% loss per 1% decline of worst performing index
|
| Call: | At par if each index closes at or above its initial level on any interest payment date beginning October 2019
|
| Initial levels: | 2,943.03 for S&P, 1,598.356 for Russell and 3,501.94 for Stoxx
|
| Downside thresholds: | 2,060.121 for S&P, 1,118.8492 for Russell and 2,451.358 for Stoxx; 70% of initial levels
|
| Pricing date: | April 29
|
| Settlement date: | May 2
|
| Agent: | Wells Fargo Securities, LLC
|
| Fees: | 2.175%
|
| Cusip: | 22552F6W7
|
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