Published on 2/7/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.83 million contingent coupon callable yield notes on ETF, indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 7 – Credit Suisse AG, London Branch priced $4.83 million of contingent coupon callable yield notes due July 30, 2020 linked to the lowest performing of the Euro Stoxx Banks index, the S&P 500 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 coupon at an annualized rate of 9.8% if each asset closes at or above its barrier level, 65% of its initial level, on a quarterly observation date.
The notes are callable at par on any coupon payment date on or after Oct. 31, 2018.
The payout at maturity will be par unless either asset finishes below its 65% knock-in level, in which case investors will be exposed to any losses of the lesser-performing asset.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | Euro Stoxx Banks index, S&P 500 index and iShares MSCI Emerging Markets exchange-traded fund
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| Amount: | $4,827,000
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| Maturity: | July 30, 2020
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| Coupon: | 9.8% per year, payable quarterly if each asset closes at or above its barrier level on quarterly observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in level, in which case investors will be exposed to any losses of lesser-performing asset
|
| Call option: | At par on any coupon payment date on or after Oct. 31, 2018
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| Initial levels: | 2,872.81 for S&P, 143.04 for Stoxx Banks, $52.08 for ETF
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| Barrier/knock-in levels: | 1,867.37 for S&P, 92.98 for Stoxx Banks, $33.85 for ETF; 65% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.75%
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| Cusip: | 22550WAF4
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