Published on 6/5/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.6 million contingent step-down coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 5 – Credit Suisse AG, London Branch priced $3.6 million of contingent step-down coupon callable yield notes due May 28, 2027 linked to the least 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.
For the first quarter, the notes will pay coupon of 12% annualized; thereafter the notes pay a contingent quarterly coupon unless any index closes below its 75% coupon barrier level on the observation date for that quarter. The annualized rate is 12% from Aug. 31, 2017 to May 31, 2018, then 11% until May 31, 2019, then 10% through maturity.
The notes are callable at par on any interest payment date after one year.
The payout at maturity will be par unless any index finishes below its 72.5% knock-in level, in which case investors will be fully exposed to the decline of the least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent step-down coupon callable yield notes
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Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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Amount: | $3.6 million
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Maturity: | May 28, 2027
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Coupon: | For the first quarter, notes pay coupon of 12% annualized; thereafter notes pay contingent quarterly coupon unless any index closes below coupon barrier on observation date for that quarter; annualized rate is 12% from Aug. 31, 2017 to May 31, 2018, then 11% until May 31, 2019, then 10% through maturity
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Price: | Par
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Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to decline of least-performing index
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Call option: | At par on any interest payment date after one year
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Initial index levels: | 2,415.07 for S&P 500, 1,383.388 for Russell 2000 and 3,584.55 for Euro Stoxx 50
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Coupon barrier: | 1,803.29 for S&P 500, 1,037.541 for Russell 2000 and 2,688.4125 for Euro Stoxx 50; 75% of initial levels
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Knock-in levels: | 1,811.3025 for S&P 500, 1,002.9563 for Russell 2000 and 2,688.79875 for Euro Stoxx 50; 72.5% of initial levels
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Pricing date: | May 25
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Settlement date: | May 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 4.22%
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Cusip: | 22550B4M2
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