Published on 8/28/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.99 million contingent coupon callable yield notes on index, ETFs
By Wendy Van Sickle
Columbus, Ohio, Aug. 28 – Credit Suisse AG, London Branch priced $2.99 million of contingent coupon callable yield notes due Aug. 26, 2021 linked to the least performing of the Health Care Select Sector SPDR fund, the Nikkei 225 index 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 annualized rate of 11.75% if each underlying asset closes at or above its coupon barrier level, 60% of its initial level, on the related observation date, in which case any previously unpaid coupon will also be paid.
Credit Suisse may call the notes in whole but not in part at par on any quarterly call observation date.
The payout at maturity will be par unless any asset finishes below its 60% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
JPMorgan 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: | Health Care Select Sector SPDR fund, SPDR S&P Oil & Gas Exploration & Production ETF, Nikkei 225 index
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| Amount: | $2,989,000
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| Maturity: | Aug. 26, 2021
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| Coupon: | 11.75% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on observation date, in which case any previously unpaid coupon will also be paid
|
| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its knock-in, in which case full exposure to any losses of the least-performing asset
|
| Call option: | Callable at par on any quarterly call observation date
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| Initial levels: | $88.76 for health fund, $20.93 for oil ETF, 20,710.91 for index
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| Coupon barrier: | $53.26 for health fund, $12.56 for oil ETF, 12,426.55 for index; 60% of initial levels
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| Knock-in levels: | $53.26 for health fund, $12.56 for oil ETF, 12,426.55 for index; 60% of initial levels
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| Pricing date: | Aug. 23
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| Settlement date: | Aug. 28
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| Placement agent: | JPMorgan
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| Fees: | 1.5%
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| Cusip: | 22552FU26
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