Published on 3/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $605,000 8.5% contingent coupon callables tied to three indexes
By Susanna Moon
Chicago, March 9 – Credit Suisse AG, London Branch priced $605,000 of contingent coupon callable yield notes due Aug. 30, 2021 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.5% if each index closes at or above its 65% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date.
The payout at maturity will be par unless any index finishes below its 65% 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 underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $605,000
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| Maturity: | Aug. 30, 2021
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| Coupon: | 8.5% annualized, payable quarterly if each index closes at or above its 65% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index ends below 65% knock-in level, in which case 1% loss per 1% decline of worst performing index
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| Call option: | At par on any interest payment date beginning May 29, 2018
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| Initial levels: | 2,747.30 for S&P, 1,549.186 for Russell and 3,441.46 for Stoxx
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| Barrier levels: | 1,785.745 for S&P, 1,006.9709 for Russell and 2,236.949 for Stoxx; 65% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22550WCZ8
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