Published on 6/9/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.8 million callable contingent income notes tied to indexes
By Susanna Moon
Chicago, June 9 – Credit Suisse AG, London Branch priced $5.8 million of callable contingent income securities due May 29, 2020 linked to the lesser performing of 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.
The notes will pay a contingent quarterly coupon at an annual rate of 12% if each index closes at or above the 75% coupon barrier on an observation date for that quarter.
The notes are callable at par on any quarterly determination date.
The payout at maturity will be par unless any index finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Callable contingent income securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $5,797,000
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| Maturity: | May 29, 2020
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| Contingent payment: | 12% per year, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless share price finishes below knock-in level, in which case 1% loss for each 1% decline
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| Call option: | At par on any quarterly determination date beginning Aug. 31, 2017
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| Initial levels: | 1,382.244 for Russell, 2,415.82 for S&P and 3,579.02 for Stoxx
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| Knock-in levels: | 1,036.683 for Russell, 1,811.87 for S&P and 2,684.27 for Stoxx; 75% of initial levels
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| Pricing date: | May 26
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| Settlement date: | June 1
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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: | 1.5%
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| Cusip: | 22550B4Z3
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