Published on 12/7/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $642,000 9.5% contingent coupon autocalls on S&P, Russell
By Susanna Moon
Chicago, Dec. 7 – Credit Suisse AG, London branch priced $642,000 of contingent coupon autocallable yield notes due Feb. 20, 2020 linked to the worst 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 pay a contingent quarterly coupon at an annual rate of 9.5% 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 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 is the agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | S&P 500 index and Russell 2000 index
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| Amount: | $642,000
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| Maturity: | Feb. 20, 2020
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| Coupon: | 9.5% annualized, payable quarterly if each f index closes at or above 75% 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 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: | 2,730.20 for S&P and 1,524.122 for Russell
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| Knock-in levels: | 2,047.65 for S&P and 1,143.0915 for Russell, 75% of initial levels
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| Pricing date: | Nov. 15
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| Settlement date: | Nov. 23
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 1%
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| Cusip: | 22551LH94
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