Published on 6/12/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $316,000 0% five-year autocalls tied to S&P, Russell
By Susanna Moon
Chicago, June 12 – Credit Suisse AG, London Branch priced $316,000 of 0% autocallable notes due June 5, 2023 linked to the lesser performing of 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 called at par plus an annual call premium of 10% if each index closes at or above its initial level on any call observation date after one year.
If each index finishes at or above its initial level, the payout at maturity will be par plus the gain of the worse performing index.
If either index falls by up to its 60% downside threshold, the payout at maturity will be par.
Otherwise, 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: | Autocallable notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $316,000
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| Maturity: | June 5, 2023
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| Coupon: | 5.25% annualized, payable quarterly if each index closes at or above 60% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus return of worse performing index; if either index falls by up 40%, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par plus 10% per year if each index closes at or above its initial level on any annual review date beginning May 31, 2019
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| Initial levels: | 2,705.27 for S&P, 1,633.609 for Russell
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| Trigger levels: | 1,623.162 for S&P, 980.1654 for Russell, 60% 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
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| Fees: | 1.125%
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| Cusip: | 22550WRN9
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