Published on 8/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.61 million 9.5% contingent coupon autocalls on Stoxx, Russell, S&P
By Susanna Moon
Chicago, Aug. 9 – Credit Suisse AG, London branch priced $1.61 million of contingent coupon autocallable yield securities due Aug. 5, 2019 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 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 9.5% if each index closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date.
The payout at maturity will be par unless any index ever 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 worst 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 securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50, Russell 2000
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| Amount: | $1,611,000
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| Maturity: | Aug. 5, 2019
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| Coupon: | 9.5% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index never closes below 70% knock-in, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly call review date
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| Initial levels: | 2,816.29 for S&P, 1,670.805 for Russell and 3,525.49 for Stoxx
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| Knock-in levels: | 1,971.403 for S&P, 1,169.5635 for Russell and 2,467.843 for Stoxx, 70% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.625%
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| Cusip: | 22550WYL5
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