Published on 7/8/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.6 million callable contingent income notes on three indexes
By Marisa Wong
Morgantown, W.Va., July 8 – Credit Suisse AG, London Branch priced $4.6 million callable contingent income securities due July 5, 2018 linked to 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 coupon at the rate of 8.2% per year if each index closes at or above the coupon barrier level, 60% of the initial index level, every trading day that quarter.
If the each index finishes at or above the knock-in level, 60% of its initial level, the payout at maturity will be par plus the final coupon. If the worst performing index finishes below the knock-in level, investors will be fully exposed to the decline of the worst performing from its initial level.
The notes will be callable at par plus any coupon owed on any quarterly redemption date.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | Credit Suisse AG
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50, Russell 2000
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| Amount: | $4.6 million
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| Maturity: | July 5, 2018
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| Coupon: | 8.2% per year, payable quarterly if each index closes at or above barrier level each trading day that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon if each index finishes at or above knock-in level; otherwise, full exposure to decline of worst performing index
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| Call option: | At par plus any contingent coupon owed on any quarterly redemption date
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| Initial levels: | 2,864.74 for Euro Stoxx 50, 1,151.923 for Russell 2000 and 2,098.86 for S&P 500
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| Knock-in/barrier levels: | 1,718.84 for Euro Stoxx 50, 691.154 for Russell 2000 and 1,259.32 for S&P 500; 60% of initial levels
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management handling distribution
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| Fees: | 2%
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| Cusip: | 22548QBF1
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