Published on 8/10/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $869,000 contingent coupon callable yield notes on index, ETF
By Wendy Van Sickle
Columbus, Ohio, Aug. 10 – Credit Suisse AG, London Branch priced $869,000 of contingent coupon callable yield notes due Aug. 3, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 9% per year unless either underlying asset closes below its 60% coupon barrier on the observation date for that quarter.
The payout at maturity will be par unless either underlying finishes below its 60% knock-in level, in which case investors will lose 1% for each 1% decline of the lesser-performing underlying.
Beginning Feb. 5, 2018, the notes will be callable at par on any contingent coupon payment date prior to maturity.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500 index, SPDR S&P Biotech ETF
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| Amount: | $869,000
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| Maturity: | Aug. 3, 2020
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| Coupon: | 9% per year, payable quarterly unless either underlying asset closes below coupon barrier on observation date for quarter
|
| Price: | Par of $1,000
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| Payout at maturity: | Par unless either underlying finishes below knock-in level, in which case 1% loss for each 1% decline of lesser-performing underlying
|
| Call option: | At par on any contingent coupon payment date other than the maturity date, beginning Feb. 5, 2018
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| Initial levels: | 2,470.30 for S&P, $78.17 for Biotech ETF
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| Coupon/knock-in barriers: | 1,482.18 for S&P, $46.902 for Biotech ETF; 60% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.7%
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| Cusip: | 22550BBH5
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