Published on 6/7/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $8.06 million contingent market-linked autocalls on three indexes
By Wendy Van Sickle
Columbus, Ohio, June 7 – Credit Suisse AG, London Branch priced $8.06 million of market-linked securities due May 27, 2022 – autocallable with contingent coupon and contingent downside linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 7.75% if each index closes at or above its 70% coupon threshold 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 observation date after six months.
The payout at maturity will be par unless any index finishes below its 70% downside threshold, in which case the payout will be par plus the return with full exposure to any losses of the worst performing index.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $8,055,000
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| Maturity: | May 27, 2022
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| Coupon: | 7.75% annualized, payable quarterly if each index closes at or above 70% threshold on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any index falls by more than 30%, in which case 1% loss per 1% decline of worst performing index
|
| Call: | At par if each index closes at or above its initial level on any interest payment date from November 2018 through February 2022
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| Initial levels: | 2,724.01 for S&P, 1,647.989 for Russell and 3,441.19 for Stoxx
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| Thresholds: | 1,906.807 for S&P, 1,153.5923 for Russell and 2,408.833 for Stoxx, 70% of initial levels
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| Pricing date: | May 30
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| Settlement date: | June 4
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 2.45%
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| Cusip: | 22550WSL2
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