Published on 7/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $670,000 9.1% contingent coupon autocalls on index, funds
By Susanna Moon
Chicago, July 9 – Credit Suisse AG, London branch priced $670,000 of contingent coupon autocallable yield notes due April 3, 2020 linked to the worse performing of the Russell 2000 index, SPDR S&P Regional Banking 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 9.1% if each underlying asset closes at or above its 70% 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 closes below its 60% knock-in level, 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 assets: | Russell 2000 index, SPDR S&P Regional Banking ETF, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1,339,000
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| Maturity: | April 3, 2020
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| Coupon: | 9.1% annualized, payable quarterly if each fund closes at or above 70% 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 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 Dec. 6, 2018
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| Initial levels: | 1,645.017 for Russell, $61.44 for bank fund, $42.91 for oil fund
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| Coupon barriers: | 1,151.5119 for Russell, $61.44 for bank fund, $30.037 for oil fund, 70% of initial levels
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| Knock-in levels: | 987.0102 for Russell, $43.008 for bank fund, $25.746 for oil fund, 60% of initial levels
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| Pricing date: | June 28
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| Settlement date: | July 3
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2.325%
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| Cusip: | 22550WZ67
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