Published on 8/14/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.33 million contingent market-linked autocalls tied to indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Aug. 14 – Credit Suisse AG, London Branch priced $1.33 million of market-linked securities due July 28, 2022 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Financial Select Sector SPDR fund 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 7.5% if each asset closes at or above its 70% coupon threshold on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any asset finishes below its 70% downside threshold, in which case the payout will be par plus the return of the worst performing asset with full exposure to any losses.
Wells Fargo Securities LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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Underlying assets: | S&P 500 index, Financial Select Sector SPDR fund and Euro Stoxx 50 index
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Amount: | $1,325,000
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Maturity: | July 28, 2022
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Coupon: | 7.5% annualized, payable quarterly if each asset closes at or above 70% coupon threshold on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless any asset falls by more than 30%, in which case 1% loss per 1% decline of worst performing asset
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Call: | At par if each asset closes at or above its initial level on any interest payment date from January 2019 to April 2022
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Initial levels: | 2,818.82 for S&P, $28.13 for fund and 3,527.18 for Stoxx
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Downside thresholds: | 1,973.174 for S&P, $19.691 for fund and 2,469.026 for Stoxx; 70% of initial levels
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Pricing date: | July 27
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Settlement date: | Aug. 1
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Agent: | Wells Fargo Securities LLC
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Fees: | 1.95%
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Cusip: | 22550WZK6
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