Published on 10/25/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $15.17 million 5.5% contingent coupon autocalls tied to two indexes
By Susanna Moon
Chicago, Oct. 25 – Credit Suisse AG, London branch priced $15.17 million of contingent coupon autocallable yield notes due Oct. 17, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 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 5.5% if each underlying index closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes are called at par if each index closes at or above its initial level on any determination date after six months.
The payout at maturity will be par unless either underlying index ever closes below its 60% 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
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| Amount: | $15,166,000
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| Maturity: | Oct. 17, 2019
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| Coupon: | 5.5% annualized, payable quarterly if each index closes at or above 60% coupon barrier on observation date 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 worst performing index
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| Call: | At par if each index closes at or above its initial level on any determination date beginning April 12, 2019
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| Initial levels: | 1,546.679 for Russell, 2,767.13 for S&P
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| Trigger levels: | 928.0074 for Russell, 1,660.278 for S&P, 60% of initial levels
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| Pricing date: | Oct. 12
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| Settlement date: | Oct. 17
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 0.6%
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| Cusip: | 22551LEE6
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