Published on 2/1/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.86 million 10.1% contingent coupon autocalls on S&P, Russell
By Susanna Moon
Chicago, Feb. 1 – Credit Suisse AG, London branch priced $1.86 million of contingent coupon autocallable yield notes due July 24, 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 10.1% 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.
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 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: | $1,863,000
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| Maturity: | July 24, 2020
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| Coupon: | 10.1% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each trading day 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
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| Initial levels: | 2,670.71 for S&P, 1,482.501 for Russell
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| Barrier levels: | 1,869.50 for S&P, 1,037.751 for Russell, 70% of initial levels
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| Pricing date: | Jan. 18
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| Settlement date: | Jan. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22551LRP7
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