Published on 4/20/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.39 million 10.5% contingent income callables on indexes
By Susanna Moon
Chicago, April 20 – Credit Suisse AG, London branch priced $6.39 million of contingent income callable securities due Oct. 16, 2020 linked to the worst performing of 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.
The notes will pay a contingent quarterly coupon at an annual rate of 10.5% if each underlying index closes at or above its 70% coupon barrier on each trading day for that quarter.
The notes are called at par if each index closes at or above its initial level on any determination date.
The payout at maturity will be par unless any index finishes below its 70% 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 with distribution through Morgan Stanley Wealth Management.
| Issuer: | Credit Suisse AG, London branch
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| Issue: | Contingent income callable securities
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| Underlying assets: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $6,394,000
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| Maturity: | Oct. 16, 2020
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| Coupon: | 10.5% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for 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; otherwise, 1% loss for each 1% decline of worst performing index
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| Call option: | At par on any determination date beginning July 18, 2018
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| Initial levels: | 2,656.30 for S&P, 1,549.509 for Russell and 3,448.00 for Stoxx
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| Knock-in levels: | 1,859.41 for S&P, 1,084.656 for Russell and 2,413.60 for Stoxx, 70% of initial levels
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| Pricing date: | April 13
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| Settlement date: | April 18
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 1.75%
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| Cusip: | 22550WPB7
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