Published on 5/4/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $622,000 11% contingent coupon autocalls tied to index, fund
By Susanna Moon
Chicago, May 4 – Credit Suisse AG, London Branch priced $622,000 of contingent coupon autocallable yield notes due Oct. 30, 2019 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production ETF and the Russell 2000 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 11% if each asset closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes will be called at par if each underlying component closes at or above its initial level on any quarterly review date.
The payout at maturity will be par unless either asset ever closes below its 70% knock-in level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index or fund.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | SPDR S&P Oil & Gas Exploration & Production ETF and Russell 2000 index
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| Amount: | $622,000
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| Maturity: | Oct. 30, 2019
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| Coupon: | 11% annualized, payable quarterly if each asset closes at or above 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset ever closes below 70% knock-in level, in which case 1% loss per 1% decline of worse performing index or fund
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| Call: | At par if each underlying component closes at or above its initial level on any quarterly review date
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| Initial levels: | 1,550.467 for Russell, $39.12 for fund
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| Trigger levels: | 1,085.3269 for Russell, $27.384 for fund; 70% of initial levels
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| Pricing date: | April 25
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| Settlement date: | April 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22550WKQ9
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