Published on 3/29/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.05 million contingent coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 29 – Credit Suisse AG, London Branch priced $1.05 million of contingent coupon callable yield notes due March 29, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.86% if each index closes above its coupon barrier level, 70% of its initial level, on the observation date for that period.
The notes are callable in whole but not in part at par on any coupon payment date beginning June 29 and before maturity.
The payout at maturity will be par unless any index finishes below its knock-in level, 70% of its initial level, during the life of the notes, in which case investors will lose 1% for each 1% decline of the least-performing index from its initial level.
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: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $1,045,000
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| Maturity: | March 29, 2019
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| Coupon: | 8.86% per year, payable quarterly if each as index closes at or above its barrier level on observation date that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its knock-in level, in which case full exposure to loss of least-performing index
|
| Call option: | At par on any quarterly coupon date beginning June 29
|
| Initial levels: | 2,343.98 for S&P, 1,354.642 for Russell, 3,444.15 for Stoxx
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| Barrier/knock-in levels: | 1,640.786 for S&P, 948.2494 for Russell, 2,410.905 for Stoxx; 70% of initial levels
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| Pricing date: | March 24
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| Settlement date: | March 29
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| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.5%
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| Cusip: | 22548QY66
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