Published on 6/11/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $640,000 10.5% contingent coupon autocalls on S&P, Russell, Stoxx
By Susanna Moon
Chicago, June 11 – Credit Suisse AG, London branch priced $640,000 of contingent coupon autocallable yield notes due Dec. 5, 2019 linked to the worst performing of the Russell 2000 index, the S&P 500 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 10.5% if each underlying index closes at or above its 70% coupon barrier on each trading day for that quarter.
The notes are called at par if each index 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 index eve closes below its 70% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.
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 indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $640,000
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| Maturity: | Dec. 5, 2019
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| Coupon: | 10.5% annualized, payable quarterly if each f index closes at or above 70% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each index never closes below knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above its initial level on any determination date other than final date
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| Initial levels: | 1,633.61 for Russell, 2,705.27 for S&P and 3,406.65 for Stoxx
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| Knock-in levels: | 1,143.527 for Russell, 1,893.689 for S&P and 2,384.655 for Stoxx, 70% of initial levels
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| Pricing date: | May 31
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| Settlement date: | June 5
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 0.625%
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| Cusip: | 22550WRA7
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