Published on 4/25/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.07 million contingent coupon buffered autocalls on index, ETF
By Wendy Van Sickle
Columbus, Ohio, April 25 – Credit Suisse AG, London Branch priced $6.07 million of contingent coupon buffered autocallable yield notes due Aug. 26, 2019 linked to the least performing of the Russell 2000 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annualized rate of 5.5% if each asset closes at or above its 85% coupon barrier on an observation date for that month.
The notes will be called at par if each asset closes above its initial level on any quarterly call date.
The payout at maturity will be par unless either asset falls by more than 20%, in which case investors will lose 1.25% for each 1% decline of the worse performing asset beyond 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying assets: | iShares MSCI EAFE ETF, Russell 2000 index
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| Amount: | $6,065,000
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| Maturity: | Aug. 26, 2019
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| Coupon: | 5.5% annualized, payable monthly if each index closes at or above its 80% barrier on observation date for that month
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| Price: | Par
|
| Payout at maturity: | Par unless either asset falls by more than buffer, in which case 1.25% loss for each 1% decline of worse performing asset beyond 15%
|
| Call: | At par if each index closes above initial level on any quarterly call date
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| Initial levels: | $71.05 for ETF and 1,564.124 for index
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| Barrier levels: | $56.84 for ETF and 1,251.2992 for index; 80% of initial levels
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| Agent: | J.P. Morgan Securities LLC
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| Pricing date: | April 23
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| Settlement date: | April 26
|
| Fees: | 0%
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| Cusip: | 22550WR33
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