Published on 1/19/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $22.58 million contingent coupon callable notes on indexes
By Marisa Wong
Morgantown, W.Va., Jan. 19 – Credit Suisse AG, London Branch priced $22.58 million of contingent coupon callable yield notes due Jan. 21, 2020 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.65% unless any index closes below its coupon barrier level, 65% of its initial level, on the observation date for that quarter.
The notes will be callable at par on any contingent coupon payment date prior to maturity.
The payout at maturity will be par unless any index finishes below its 65% knock-in level, in which case investors will receive par plus the return of the least-performing index, with full exposure to losses.
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, Russell 2000, Euro Stoxx 50
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| Amount: | $22.58 million
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| Maturity: | Jan. 21, 2020
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| Coupon: | 9.65% per year, payable each quarter that each index closes at or above its barrier level on observation date that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its knock-in level, in which case par plus return of least-performing index with full exposure to losses
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| Call option: | At par on any contingent coupon payment date
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| Initial levels: | 2,267.89 for S&P, 1,352.324 for Russell, 3,285.04 for Euro Stoxx
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| Barrier/knock-in levels: | 1,474.1285 for S&P, 879.0106 for Russell, 2,135.276 for Euro Stoxx; 65% of initial levels
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| Pricing date: | Jan. 17
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| Settlement date: | Jan. 20
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22548QSU0
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