Published on 1/30/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.54 million 8.84% contingent coupon callables tied to index, funds
By Susanna Moon
Chicago, Jan. 30 – Credit Suisse AG, London branch priced $1.54 million of contingent coupon callable yield notes due July 26, 2021 linked to the least performing of S&P 500 index, the SPDR S&P Biotech exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annualized rate of 8.84% if each underlying component closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date after one year.
The payout at maturity will be par unless any underlying component finishes below its 50% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | S&P 500 index, SPDR S&P Biotech ETF and United States Oil Fund, LP
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| Amount: | $1,539,000
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| Maturity: | July 26, 2021
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| Contingent coupon: | 8.84% annualized, payable quarterly if each underlying component closes at or above 60% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each underlying component finishes at or above knock-in, par; otherwise, 1% loss per 1% drop of worst performing index or fund
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| Call option: | At par on any interest payment date beginning Jan. 24, 2019
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| Initial levels: | 2,810.30 for S&P, $88.92 for biotech fund and $12.72 for oil fund
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| Coupon barriers: | 1,686.18 for S&P, $53.352 for biotech fund and $7.632 for oil fund; 60% of initial levels
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| Knock-in levels: | 1,405.15 for S&P, $44.46 for biotech fund and $6.36 for oil fund; 50% of initial levels
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22550W6T9
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