Published on 8/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.28 million 7.1% contingent income autocallables on indexes
By Susanna Moon
Chicago, Aug. 9 – Credit Suisse AG, London branch priced $1.28 million of contingent income autocallable securities due Feb. 3, 2021 linked to 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.
The notes will pay a contingent quarterly coupon at an annual rate of 7.1% if each index closes at or above its 70% coupon barrier 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 review date.
The payout at maturity will be par unless any underlying index finishes below its 65% knock-in 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.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Autocallable contingent income securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $1,275,000
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| Maturity: | Feb. 3, 2021
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| Coupon: | 7.1% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above 65% knock-in, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly call date beginning Nov. 5, 2018
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| Initial levels: | 2,816.29 for S&P, 1,670.805 for Russell and 3,525.49 for Stoxx
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| Coupon barriers: | 1,971.403 for S&P, 1,169.5635 for Russell and 2,467.843 for Stoxx, 70% of initial levels
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| Knock-in levels: | 1,830.589 for S&P, 1,086.023 for Russell and 2,291.569 for Stoxx, 65% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22550BWP4
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