Published on 5/31/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $150,000 autocallable securities on S&P 500, Russell 2000
By Wendy Van Sickle
Columbus, Ohio, May 31 – Credit Suisse AG, London Branch priced $150,000 of 0% autocallable securities due May 30, 2023 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an annualized redemption premium of 8% if each underlying index closes at or above its trigger level on any annual review date. The trigger level will be 101.5% of each index’s initial level on the first review date and will step up by 150 basis points each subsequent year.
If the notes are not called, the payout at maturity will be par plus lesser-performing index return if each index gains. If the lesser-performing index falls but does not finish below 60% of its initial level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $150,000
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| Maturity: | May 30, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any gain of lesser-performing index; par if laggard index falls by up to 40%; otherwise, full exposure to any decline of the lesser performing index
|
| Call: | Automatically at par plus annualized redemption premium of 8% if each underlying closes at or above its trigger level on any annual review date
|
| Trigger levels: | 101.5% of initial levels on first review date, steps up by 150 bps each subsequent year
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| Initial index levels: | 2,727.76 for S&P, 1,628.222 for Russell
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| Knock-in levels: | 1,636.656 for S&P and 976.9332 for Russell, 60% of initial levels
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| Pricing date: | May 24
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| Settlement date: | May 30
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 4.125%
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| Cusip: | 22550WRK5
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