Published on 5/31/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.29 million contingent coupon callable yield notes on indexes, ETF
By Tali Rackner
Minneapolis, May 31 – Credit Suisse AG, London Branch priced $1.29 million of contingent coupon callable yield notes due May 21, 2020 linked to the least performing of the S&P 500 index, the iShares MSCI Emerging Markets exchange-traded fund and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 13.5% if each underlying asset closes at or above its coupon barrier level, 75% of its initial level, on a related observation date.
The notes may be called in whole, but not in part, at par on any quarterly contingent coupon payment date beginning Aug. 23.
The payout at maturity will be par unless any asset finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement 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, iShares MSCI Emerging Markets ETF and Euro Stoxx Banks index
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| Amount: | $1.29 million
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| Maturity: | May 21, 2020
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| Coupon: | 13.5% per year, payable quarterly if each underlying asset closes at or above its barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in level, in which case full exposure to any losses of the least-performing asset
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| Call: | Notes may be called at par on any quarterly contingent coupon payment date beginning Aug. 23
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| Initial levels: | 2,712.92 for S&P, $46.07 for EM ETF, 124.41 for Stoxx
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| Coupon barrier/knock-in levels: | 2,034.73 for S&P, $34.55 for EM ETF, 93.31 for Stoxx; 75% of initial levels
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| Pricing date: | May 18
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| Settlement date: | May 23
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| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22550WUF2
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