Published on 6/14/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.2 million high/low coupon callable notes tied to funds
By Susanna Moon
Chicago, June 14 – Credit Suisse AG, London Branch priced $3.2 million of high/low coupon callable yield notes due May 31, 2019 linked to the worst performing of the Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Consumer Staples Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annual rate of 9.25% if each fund closes at or above its knock-in level, 65% of its initial level, on each day of that quarter. Otherwise, the notes will pay a coupon at an annual rate of 1%.
The payout at maturity will be par unless any fund finishes below its initial level and closes below its 65% knock-in level any day during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing fund.
The notes will be callable at par on any interest payment date beginning with the second date.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | High/low coupon callable yield notes
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| Underlyings: | Financial Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Consumer Staples Select Sector SPDR fund
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| Amount: | $3,203,000
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| Maturity: | May 31, 2019
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| Coupon: | 9.25% annualized if each underling component closes at or above knock-in level on observation date for that quarter; otherwise, 1% for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any fund finishes below initial level and closes below knock-in level any day during life of notes, in which case 1% loss per 1% decline of worse performing fund
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| Call option: | At par on any interest payment date beginning in November 2017
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| Initial levels: | $23.45 for financials fund, $52.92 for materials fund, $56.48 for consumer staples fund
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| Knock-in levels: | $15.24 for financials fund, $34.40 for materials fund, $36.71 for consumer staples fund; 65% of initial levels
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| Pricing date: | May 30
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| Settlement date: | June 2
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.25%
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| Cusip: | 06741VWP3
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