Published on 2/1/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4 million step-down contingent coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 31 – Credit Suisse AG, London Branch priced $4 million of step-down contingent coupon callable yield notes due Jan. 31, 2028 linked to the lowest 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 quarterly coupon at an annualized rate if each index closes at or above its barrier level, 75% of its initial level, on a quarterly observation date. The annualize rate will be 13% for the first year, 11% for the next year and 10% from Jan. 31, 2020 until maturity.
The notes are callable at par on any coupon payment date.
The payout at maturity will be par unless any index finishes below its 75% knock-in level, in which case investors will be exposed to any losses of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Step-down contingent coupon callable yield notes
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| Underlying indexes: | Russell 2000, Euro Stoxx 50, S&P 500
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| Amount: | $4 million
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| Maturity: | Jan. 31, 2028
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| Coupon: | Payable quarterly if each index closes at or above its barrier level on quarterly observation date; annualized rate is 13% for first year, 11% for second year and 10% from Jan. 31, 2020 until maturity
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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 investors will be exposed to any losses of least performing index
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| Call option: | At par on any coupon payment date
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| Initial levels: | 1,608.058 for Russell, 2,872.87 for S&P, 3,647.41 for Stoxx
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| Barrier/knock-in levels: | 1,206.0435 for Russell, 2,154.6525 for S&P, 2,735.5575 for Stoxx; 75% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.375%
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| Cusip: | 22550W6W2
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