Published on 10/30/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $277,000 contingent coupon autocalls on S&P, Russell
By Sarah Lizee
Olympia, Wash., Oct. 30 – Credit Suisse AG, London Branch priced $277,000 of contingent coupon autocallable yield notes due April 30, 2020 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 7% if each underlying 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 quarterly determination date beginning April 25, 2019.
The payout at maturity will be par unless either underlying 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 worse performing index.
Credit Suisse Securities (USA) LLC and Incapital LLC are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | Russell 2000, S&P 500
|
| Amount: | $277,000
|
| Maturity: | April 30, 2020
|
| Coupon: | 7% annualized, payable quarterly if each index closes at or above 70% coupon barrier on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index never closes below knock-in level, par; otherwise, 1% loss for each 1% decline of worst performing index
|
| Call: | At par if each index closes at or above its initial level on any determination date beginning April 25, 2019
|
| Initial levels: | 1,483.821 for Russell, 2,658.69 for S&P
|
| Trigger levels: | 1,038.6747 for Russell, 1,861.083 for S&P, 70% of initial levels
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 30
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.125%
|
| Cusip: | 22551LCD0
|
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