Published on 11/10/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.42 million 9.5% contingent coupon callables tied to three indexes
By Susanna Moon
Chicago, Nov. 10 – Credit Suisse AG, London branch priced $1.42 million of contingent coupon callable yield notes due Nov. 21, 2018 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 contingent quarterly coupon at an annual rate of 9.5% if each index closes at or above its 80% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless any index finishes below its 80% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.
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: | $1,415,000
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| Maturity: | Nov. 21, 2018
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| Coupon: | 9.5% per year, payable quarterly if each index closes at or above 80% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below knock-in level, in which case 1% loss for each 1% decline of worst performing index
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| Call option: | At par on any interest payment date beginning Feb. 21, 2018
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| Initial index levels: | 2,587.84 for S&P, 1,494.91 for Russell and 3,689.96 for Stoxx
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| Knock-in levels: | 2,070.272 for S&P, 1,195.928 for Russell and 2,951.968 for Stoxx; 80% of initial levels
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| Pricing date: | Nov. 3
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| Settlement date: | Nov. 8
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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: | 22550BP64
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