Published on 4/30/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.02 million contingent coupon callable yield notes linked to ETFs
By Angela McDaniels
Tacoma, Wash., April 30 – Credit Suisse AG, London Branch priced $4.02 million of contingent coupon callable yield notes due April 29, 2021 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, the Health Care Select Sector SPDR fund and the iShares MSCI All Country Asia ex Japan exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each ETF closes at or above its knock-in level, 70% of its initial level, on a quarterly observation date, the notes will pay a contingent coupon that quarter at the rate of 12.4% per year and all prior unpaid contingent coupons, if any.
The notes are callable at par on any quarterly early redemption date.
The payout at maturity will be par unless any ETF finishes below its knock-in level, in which case investors will be fully exposed to the decline of the least-performing ETF.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying ETFs: | SPDR S&P Oil & Gas Exploration & Production ETF, Health Care Select Sector SPDR fund and iShares MSCI All Country Asia ex Japan ETF
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| Amount: | $4.02 million
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| Maturity: | April 29, 2021
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 12.4% per year plus all prior unpaid contingent coupons, if any, if each ETF closes at or above knock-in level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any ETF finishes below knock-in level, in which case full exposure to decline of least-performing ETF
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| Call option: | At par on any quarterly early redemption date
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| Initial levels: | $31.28 for oil & gas ETF, $89.01 for health care fund and $72.125 for ex Japan ETF
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| Knock-in levels: | $21.90 for oil & gas ETF, $62.31 for health care fund and $50.488 for ex Japan ETF, or 70% of initial level
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| Pricing date: | April 26
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| Settlement date: | April 30
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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: | 22552FBP6
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