Published on 5/10/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.16 million contingent coupon callable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, May 10 – Credit Suisse AG, London Branch priced $2.16 million of contingent coupon callable yield notes due May 6, 2020 linked to the S&P 500 index, the Euro Stoxx Banks index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon of 13% per year unless any asset closes below its 75% coupon barrier on the observation date that month.
The payout at maturity will be par unless any asset finishes below its 75% knock-in level, in which case investors will lose 1% for each 1% decline of the worst performing asset.
The notes will be callable at par on any quarterly call date.
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: | S&P 500 index, Euro Stoxx Banks index, iShares MSCI Emerging Markets ETF
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| Amount: | $2,155,000
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| Maturity: | May 6, 2020
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| Coupon: | 13% per year, payable monthly unless any asset closes below coupon barrier on observation date that month
|
| Price: | Par of $1,000
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| Payout at maturity: | Par unless any asset finishes below knock-in level, in which case 1% loss for each 1% decline of worst performing asset
|
| Call option: | At par on any quarterly call date
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| Initial levels: | 2,663.42 for S&P, $46.43 for Emerging Markets, 128.91 for Stoxx Banks
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| Coupon barriers: | 1,997.57 for S&P, $34.82 for Emerging Markets, 96.68 for Stoxx Banks; 75% of initial levels
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| Knock-in levels: | 1,997.57 for S&P, $34.82 for Emerging Markets, 96.68 for Stoxx Banks; 75% of initial levels
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| Pricing date: | May 4
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| Settlement date: | May 9
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22550WTC1
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