Published on 6/5/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.06 million contingent income autocallables on three indexes
New York, June 5 – Credit Suisse AG, London Branch priced $5.06 million of autocallable contingent income securities due Dec. 3, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9% if each index closes at or above its coupon barrier level, 80% of its initial index level, on the observation date that quarter.
The notes will be automatically called at par of $1,000 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date other than the final one.
If each index finishes at or above its downside threshold level, 80% of its initial level, the payout at maturity will be par plus the final contingent coupon.
If any index finishes below its downside threshold level, investors will have full exposure to the losses of the least performing index.
Credit Suisse Securities (USA) LLC is the agent, with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $5,061,000
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| Maturity: | Dec. 3, 2020
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| Coupon: | 9% per year, payable quarterly if each index closes at or above coupon barrier on observation date that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final coupon; otherwise full exposure to decline of least performing index
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| Call: | At par if each index closes at or above initial level on any determination date other than final date
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| Initial levels: | 2,705.27 for S&P, 1,633.609 for Russell, 3,406.65 for Stoxx
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| Coupon barriers: | 2,164.22 for S&P, 1,306.887 for Russell, 2,725.32 for Stoxx; 80% of initial levels
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| Downside thresholds: | 2,164.22 for S&P, 1,306.887 for Russell, 2,725.32 for Stoxx; 80% 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
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 22550WTW7
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