Published on 1/31/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.1 million 7.5% contingent coupon callables tied to index, funds
By Susanna Moon
Chicago, Jan. 31 – Credit Suisse AG, London branch priced $2.1 million of contingent coupon callable yield notes due Jan. 25, 2022 linked to the least performing of Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 7.5% if each underlying component closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date after one year.
The payout at maturity will be par unless any underlying component finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | Russell 2000 index, SPDR S&P Oil & Gas Exploration & Production ETF and iShares MSCI EAFE ETF
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| Amount: | $2,097,000
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| Maturity: | Jan. 25, 2022
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| Contingent coupon: | 7.5% annualized, payable quarterly if each underlying component closes at or above 60% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each underlying component finishes at or above knock-in, par; otherwise, 1% loss per 1% drop of worst performing index or fund
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| Call option: | At par on any interest payment date beginning Jan. 24, 2019
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| Initial levels: | 1,605.165 for Russell, $74.51 for EAFE fund and $39.69 for oil fund
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| Knock-in levels: | 963.099 for Russell, $44.706 for EAFE fund and $23.814 for oil fund; 60% of initial levels
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| Pricing date: | Jan. 22
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| Settlement date: | Jan. 25
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.5%
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| Cusip: | 22550W6L6
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