Published on 2/23/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.58 million contingent coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 23 – Credit Suisse AG, London Branch priced $1.58 million of contingent coupon callable yield notes due Feb. 24, 2020 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 10.95% if each index closes at or above its barrier level, 75% of its initial level, on the observation date that quarter.
The notes are callable at par on any coupon payment date.
The payout at maturity will be par unless any index finishes below its 75% knock-in level, in which case investors will be exposed to any losses of the least-performing index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Russell 2000, Euro Stoxx 50, S&P 500
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| Amount: | $1,575,000
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| Maturity: | Feb. 24, 2020
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| Coupon: | 10.95% per year, payable quarterly if each 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 investors will be exposed to any losses of least performing index
|
| Call option: | At par on any coupon payment date
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| Initial levels: | 2,732.22 for S&P, 3,426.80 for Euro Stoxx and 1,543.551 for Russell 2000
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| Barrier/knock-in levels: | 2,049.417 for S&P, 2,570.80 for Euro Stoxx and 1,157.663 for Russell 2000; 75% of initial levels
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| Pricing date: | Feb 15
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| Settlement date: | Feb. 21
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22550WEW3
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