Published on 5/11/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million knock-out notes on PowerShares QQQ, EM ETF
By Wendy Van Sickle
Columbus, Ohio, May 11 – Credit Suisse AG, London Branch priced $2 million of 0% knock-out notes due May 15, 2019 linked to the PowerShares QQQ Trust, series 1, and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange.
If each ETF closes at or above 70% of its initial level each day during the life of the notes, the payout at maturity will be par plus 9.8%.
If either ETF has closed below knock-out level during the life of the notes, but the final level of the lowest performing ETF is above the knock-out level, investors will receive par plus the positive or negative return of the laggard ETF plus 9.8%, subject to a maximum gain of 9.8%.
Otherwise, investors will have 1-to-1 exposure to the final loss of the lesser-performing ETF.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Knock-out notes
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| Underlying ETFs: PowerShares QQQ Trust, series 1, the iShares MSCI Emerging Markets ETF
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| Amount: | $2 million
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| Maturity: | May 15, 2019
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 9.8% if each ETF closes above knock-out buffer each day during life of notes; if either ETF closes below knock-out level during life of notes, but final level of lowest performing ETF is above knock-out level, par plus positive or negative return of laggard ETF plus 9.8%, subject to maximum gain of 9.8%; otherwise, 1-to-1 exposure to final loss of the lesser-performing ETF
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| Initial share prices: | $160.94 for QQQ, $46.92 for Emerging
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| Knock-out buffers: | $112.66 for QQQ, $32.84 for Emerging, 70% of initial levels
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| Pricing date: | April 30
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| Settlement date: | May 3
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1%
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| Cusip: | 22550WRZ2
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