Published on 5/24/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $805,000 contingent coupon autocallable yield notes on ETFs
By Wendy Van Sickle
Columbus, Ohio, May 24 – Credit Suisse AG, London Branch priced $805,000 of contingent coupon autocallable yield notes due Aug. 26, 2019 linked to the least performing of the iShares MSCI Emerging Markets exchange-traded fund, the SPDR S&P Regional Banking exchange-traded fund 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 quarterly contingent coupon at an annual rate of 10% if each fund 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 fund closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any fund finishes below its initial level and any fund ever closes below 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing fund.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying funds: | iShares MSCI Emerging Markets exchange-traded fund, SPDR S&P Regional Banking exchange-traded fund and SPDR S&P Biotech exchange-traded fund
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Amount: | $805,000
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Maturity: | Aug. 26, 2019
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Coupon: | 10% per year, payable quarterly if each fund closes at or above its coupon barrier on the quarterly observation date
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Price: | Par
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Payout at maturity: | Par unless any fund finishes below initial level and any fund ever closes below knock-in level, in which case full exposure to the losses of the least-performing fund
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Call: | Automatically if each fund closes at or above its initial level on any quarterly trigger observation date
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Initial prices: | $46.51 for Emerging Markets, $65.03 for Banking ETF, $92.21 for Biotech ETF
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Coupon barriers: | $32.557 for Emerging Markets, $45.521 for Banking ETF, $64.547 for Biotech ETF; 70% of initial levels
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Knock-in levels: | $27.906 for Emerging Markets, $39.018 for Banking ETF, $55.326 for Biotech ETF; 60% of initial levels
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Pricing date: | May 22
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Settlement date: | May 25
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.325%
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Cusip: | 22550WUM7
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