Published on 5/23/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $13.57 million callable contingent income securities linked to indexes
By Wendy Van Sickle
Columbus Ohio, May 23 – Credit Suisse AG, London Branch priced $13.57 million of callable contingent income securities due Nov. 22, 2019 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 9.8% per year if each index closes at or above its coupon barrier, 75% of its initial level, on each trading day during that quarter.
If the lowest-performing index finishes at or above its 70% knock-in level, the payout at maturity will be par plus the final coupon, if any. If the lowest-performing index finishes below its knock-in level, investors will be fully exposed to the decline of the lowest-performing index from its initial level.
The notes will be callable at par on any interest payment date.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable contingent income securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $13,569,000
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| Maturity: | Nov. 22, 2019
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| Coupon: | 9.8% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above knock-in level, par; if any index finishes below knock-in level, full exposure to decline of lowest-performing index from its initial level
|
| Call option: | At par on any interest payment date
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| Initial index levels: | 2,381.73 for S&P 500, 1,367.33 for Russell 2000 and 3,587.01 for Euro Stoxx 50
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| Coupon barriers: | 1,786.30 for S&P 500, 1,025.498 for Russell 2000 and 2,690.26 for Euro Stoxx 50; 75% of initial levels
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| Knock-in levels: | 1,667.21 for S&P 500, 957.131 for Russell 2000 and 2,510.91 for Euro Stoxx 50; 70% of initial levels
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| Pricing date: | May 19
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| Settlement date: | May 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.25%
|
| Cusip: | 22550B4T7
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