Published on 2/20/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.45 million contingent coupon callables on indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Feb. 20 – Credit Suisse AG, London Branch priced $6.45 million of callable contingent coupon notes due Feb. 13, 2020 linked to the lesser 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 contingent quarterly coupon at an annual rate of 14.3% if each underlying component closes at or above its 75% coupon barrier on the review date for that quarter.
The notes are callable at par on any call observation date after six months.
The payout at maturity will be par unless any component finishes below its 75% knock-in level, in which case investors will be exposed to any losses of the worst performing index or fund.
J.P. Morgan is the placement 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, Euro Stoxx Banks and iShares MSCI Emerging Markets ETF
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| Amount: | $6.45 million
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| Maturity: | Feb. 13, 2020
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| Coupon: | 14.3% annualized, payable quarterly if each index closes at or above its 75% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component ends below 75% knock-in level, in which case 1% loss per 1% decline of worst performing index or fund
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| Call option: | At par on any interest payment date beginning Aug. 14, 2018
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| Initial levels: | 2,619.55 for S&P, 132.08 for Stoxx and $46.42 for fund
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| Trigger levels: | 1,964.66 for S&P, 99.06 for Stoxx and $34.82 for fund; 75% of initial levels
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| Pricing date: | Feb. 9
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| Settlement date: | Feb. 16
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| Agent: | J.P. Morgan
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| Fees: | 1.5%
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| Cusip: | 22550WDS3
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