Published on 12/7/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Dec. 7 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due Dec. 5, 2019 linked to the least performing of the S&P 500 index, the Euro Stoxx Banks index and the iShares MSCI Emerging Markets 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 9.7% if each asset closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
J.P. Morgan is the placement agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | S&P 500 index, Euro Stoxx Banks index and iShares MSCI Emerging Markets exchange-traded fund
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| Amount: | $1 million
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| Maturity: | Dec. 5, 2019
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| Coupon: | 9.7% per year, payable quarterly if each asset closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any either asset finishes below its knock-in level, in which case full exposure to any losses of the least-performing asset
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| Call: | Automatically at par if each asset closes at or above its initial level on any quarterly observation date
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| Initial levels: | 2,642.22 for S&P, 130.45 for Stoxx Banks, $45.84 for ETF
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| Barrier/knock-in levels: | 1,849.55 for S&P, 91.31 for Stoxx Banks, $32.09 for ETF; 70% of initial levels
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| Pricing date: | Dec. 1
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| Settlement date: | Dec. 6
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| Placement agent: | J.P. Morgan
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| Fees: | 1.5%
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| Cusip: | 22550BSF1
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