Published on 5/31/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.97 million 9% contingent coupon autocalls on three funds
By Susanna Moon
Chicago, May 31 – Credit Suisse AG, London branch priced $1.97 million of contingent coupon autocallable yield notes due Feb. 28, 2020 linked to the worst performing of the SPDR S&P Biotech Trust, the Financial Select Sector SPDR Fund and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9% if each underlying fund closes at or above its 60% coupon barrier on each trading day for that quarter.
The notes are called at par if each fund closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless any underlying fund finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worst performing fund.
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 assets: | SPDR S&P Biotech Trust, the Financial Select Sector SPDR Fund and iShares MSCI Emerging Markets ETF
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| Amount: | $1,965,000
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| Maturity: | Feb. 28, 2020
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| Coupon: | 9% annualized, payable quarterly if each fund closes at or above 60% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of worst performing fund
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| Call: | At par if each fund closes at or above its initial level on any determination date other than final date
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| Initial levels: | $46.49 for biotech fund, $92.44 for financial fund and $28.16 for EM fund
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| Knock-in levels: | $27.894 for biotech fund, $55.464 for financial fund and $16.896 for EM fund, 60% of initial levels
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| Pricing date: | May 23
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| Settlement date: | May 29
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 0.725%
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| Cusip: | 22550WUN5
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