Published on 12/27/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.38 million callable contingent income securities linked to indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 27 – Credit Suisse AG, London Branch priced $6.38 million of callable contingent income securities due June 25, 2020 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 contingent coupon at the rate of 8.5% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on every trading day that quarter.
If the lowest-performing index finishes at or above its knock-in level, 65% of its initial 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.
Beginning March 27, 2018, 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
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $6.38 million
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| Maturity: | June 25, 2020
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above coupon barrier level on every trading day that quarter
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| 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
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| Call option: | Beginning March 27, 2018, at par on any interest payment date
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| Initial index levels: | 3,553.39 for Euro Stoxx 50, 1,542.925 for Russell 2000 and 2,683.34 for S&P 500
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| Coupon barriers: | 2,665.04 for Euro Stoxx 50, 1,157.194 for Russell 2000 and 2,012.51 for S&P 500; 75% of initial levels
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| Knock-in levels: | 2,309.70 for Euro Stoxx 50, 1,002.91 for Russell 2000 and 1,744.17 for S&P 500; 65% of initial levels
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 29
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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%
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| Cusip: | 22550W2B2
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