Published on 10/31/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $760,000 9.5% contingent coupon autocalls on biotech, oil funds
By Susanna Moon
Chicago, Oct. 31 – Credit Suisse AG, London branch priced $760,000 of contingent coupon autocallable yield notes due Oct. 25, 2021 linked to the worse performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.5% if each underlying asset closes at or above its 60% coupon barrier on the observation date for that quarter.
The notes are called at par if each fund closes at or above its initial level on any determination date after six months.
The payout at maturity will be par unless either underlying fund closes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the worse 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: | SPDR S&P Biotech ETF, SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $760,000
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| Maturity: | Oct. 25, 2021
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| Coupon: | 9.5% annualized, payable quarterly if each fund closes at or above 60% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund closes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing fund
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| Call: | At par if each fund closes at or above its initial level on any determination date beginning April 17, 2019
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| Initial levels: | $87.54 for biotech fund, $40.49 for oil fund
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| Knock-in levels: | $52.524 for biotech fund, $24.294 for oil fund, 60% of initial levels
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| Pricing date: | Oct. 18
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| Settlement date: | Oct. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22551LG95
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