Published on 1/9/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.91 million 13.25% contingent coupon callables on biotech, oil funds
By Susanna Moon
Chicago, Jan. 9 – Credit Suisse AG, London branch priced $2.91 million of contingent coupon callable yield notes due Dec. 15, 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 semiannual coupon at an annual rate of 13.25% if each underlying asset closes at or above its 60% coupon barrier on an observation date for that period.
The notes are callable at par on any interest payment 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 callable 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: | $2,913,000
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| Maturity: | Dec. 15, 2021
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| Coupon: | 13.25% annualized, payable semiannually if each fund closes at or above 60% coupon barrier on observation date for that period
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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 option: | At par on any interest payment date beginning June 12, 2019
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| Initial levels: | $65.74 for biotech fund, $25.35 for oil fund
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| Knock-in levels: | $39.444 for biotech fund, $15.21 for oil fund, 60% of initial levels
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 31
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | None
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| Cusip: | 22551LNQ9
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