Published on 2/15/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $279,000 8% contingent coupon callables tied to S&P, biotech fund
By Susanna Moon
Chicago, Feb. 15 – Credit Suisse AG, London Branch priced $279,000 of callable contingent coupon notes due Feb. 5, 2021 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 8% if each underlying component closes at or above its 60% coupon barrier on the review date for that month.
The notes are callable at par on any call observation date after one year.
The payout at maturity will be par unless either component finishes below its 60% knock-in level, in which case investors will be exposed to any losses of the worse performing index or fund.
Credit Suisse Securities (USA) LLC and Incapital LLC are the agents.
| 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 and SPDR S&P Biotech ETF
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| Amount: | $279,000
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| Maturity: | Feb. 5, 2021
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| Coupon: | 8% annualized, payable monthly if each component closes at or above its 60% coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either component ends below 60% knock-in level, in which case 1% loss per 1% decline of worse performing index or fund
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| Call option: | At par on any interest payment date beginning Aug. 6, 2018
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| Initial levels: | 2,823.81 for S&P and $93.37 for fund
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| Trigger levels: | 1,694.286 for S&P and $56.022 for fund; 60% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | Credit Suisse Securities (USA) LLC and Incapital LLC
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| Fees: | 0.8%
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| Cusip: | 22550W4A2
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