Published on 6/7/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $242,000 callable contingent coupon notes tied to index, fund
By Susanna Moon
Chicago, June 7 – Credit Suisse AG, London Branch priced $242,000 of contingent coupon callable yield notes due May 29, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8.5% if each component closes at or above its 65% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date beginning Nov. 30, 2017.
If each component finishes at or above its 65% knock-in level, the payout at maturity will be par plus the final coupon.
Otherwise, investors will be fully exposed to the decline of the worse performing component.
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: | S&P 500 index, SPDR S&P Biotech ETF
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| Amount: | $242,000
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| Maturity: | May 29, 2020
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| Contingent coupon: | 8.5% per year, payable quarterly if each component closes at or above 65% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each component finishes at or above 65% knock-in, par plus final coupon; otherwise, full exposure to losses of worse performing component
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| Call option: | At par on any interest payment date beginning Nov. 30, 2017
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| Initial levels: | 2,415.07 for S&P, $69.76 for fund
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| Knock-in levels: | 1,569.7955 for S&P, $45.344 for fund; 65% of initial levels
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| Pricing date: | May 25
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| Settlement date: | May 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.45%
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| Cusip: | 22550B3A9
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