Published on 6/26/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $710,000 contingent coupon autocallable yield notes on ETFs
By Wendy Van Sickle
Columbus, Ohio, June 26 – Credit Suisse AG, London Branch priced $710,000 of contingent coupon autocallable yield notes due Dec. 23, 2019 linked to the least performing of the Financial Select Sector SPDR fund, the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Midcap 400 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 7.5% if each fund closes at or above its coupon barrier, 65% of its initial level, on the observation date for that quarter.
The notes will be automatically called at par if each fund closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any fund finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the lesser performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | Financial Select Sector SPDR fund, SPDR S&P Biotech exchange-traded fund and SPDR S&P Midcap 400 exchange-traded fund
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| Amount: | $710,000
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| Maturity: | Dec. 23, 2019
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| Coupon: | 7.5% per year, payable quarterly if each fund closes at or above its coupon barrier on the quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless any fund finishes below knock-in level, in which case full exposure to the losses of the least performing fund
|
| Call: | Automatically at par if each fund closes at or above its initial level on any quarterly trigger observation date
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| Initial prices: | $362.66 for Midcap, $97.45 for Biotech, $27.42 for Financial
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| Coupon barriers: | $235.729 for Midcap, $63.3425 for Biotech, $17.823 for Financial; 65% of initial levels
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| Knock-in levels: | $217.596 for Midcap, $58.47 for Biotech, $16.452 for Financial; 60% of initial levels
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| Pricing date: | June 18
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| Settlement date: | June 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.675%
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| Cusip: | 22550WXU6
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