Published on 6/12/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.72 million 11.25% contingent coupon autocalls on biotech, oil funds
By Susanna Moon
Chicago, June 12 – Credit Suisse AG, London branch priced $1.72 million of contingent coupon autocallable yield notes due June 5, 2020 linked to the worse performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 11.25% if each underlying asset closes at or above its 55% coupon barrier on each trading day for that quarter.
The notes are called at par if each fund closes at or above its initial level on any determination date after six months.
The payout at maturity will be par unless either underlying fund ever closes below its 55% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing fund.
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 funds: | SPDR S&P Biotech ETF, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1,721,000
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| Maturity: | June 5, 2020
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| Coupon: | 11.25% annualized, payable quarterly if each fund closes at or above 55% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund never closes below knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing fund
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| Call: | At par if each fund closes at or above its initial level on any determination date beginning Nov. 30, 2018
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| Initial levels: | $94.67 for biotech fund, $42.25 for oil fund
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| Knock-in levels: | $52.0685 for biotech fund, $23.2375 for oil fund, 55% of initial levels
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| Pricing date: | May 31
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| Settlement date: | June 5
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 0.75%
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| Cusip: | 22550WRC3
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