Published on 10/3/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.31 million autocallable contingent income notes on indexes
By Sarah Lizee
Olympia, Wash., Oct. 3 – Credit Suisse AG, London Branch priced $3.31 million of autocallable contingent income securities due Oct. 3, 2019 linked to the least performing of the Nasdaq-100 index, 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 9.25% if each index closes at or above the 80% coupon barrier on every trading day during that quarter.
The notes will be automatically called at par on any quarterly determination date except the final valuation date if each index closes at or above its initial value.
The payout at maturity will be par unless any index finishes below its 80% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable contingent income securities
|
| Underlying indexes: | Nasdaq-100, S&P 500 and Russell 2000
|
| Amount: | $3,305,000
|
| Maturity: | Oct. 3, 2019
|
| Contingent payment: | 9.25% per year, payable quarterly if each index closes at or above coupon barrier on every day during that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless worst performing index finishes below downside threshold, in which case 1% loss for each 1% decline
|
| Call option: | At par on any quarterly determination date if each index closes at or above its initial value
|
| Initial levels: | 2,913.98 for S&P, 1,696.571 for Russell, 7,627.65 for Nasdaq
|
| Coupon barriers: | 2,331.18 for S&P, 1,357.257 for Russell, 6,102.12 or Nasdaq, 80% of initial levels
|
| Downside thresholds: | 2,331.18 for S&P, 1,357.257 for Russell, 6,102.12 or Nasdaq, 80% of initial levels
|
| Pricing date: | Sept. 28
|
| Settlement date: | Oct. 3
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 1.75%
|
| Cusip: | 22551LBF6
|
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