Published on 6/5/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.43 million contingent step-up coupon callable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 5 – Credit Suisse AG, London Branch priced $2.43 million of contingent step-up coupon callable yield notes due May 28, 2027 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon unless either index closes below its 70% coupon barrier level on the observation date for that quarter. The annualized rate is 8% until May 31, 2022, then 12% 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 50% 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
|
| Issue: | Contingent step-up coupon callable yield notes
|
| Underlying indexes: | Euro Stoxx 50, Russell 2000
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| Amount: | $2,433,000
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| Maturity: | May 28, 2027
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| Coupon: | Notes pay contingent quarterly coupon unless either index closes below coupon barrier on observation date for that quarter; annualized rate is 8% until May 31, 2022, then 12% through maturity 8% until May 31, 2022, then 12% through maturity
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below knock-in level, in which case full exposure to decline of least-performing index
|
| Call option: | At par on any interest payment date after one year
|
| Initial index levels: | 1,383.388 for Russell 2000 and 3,584.55 for Euro Stoxx 50
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| Coupon barrier: | 968.3716 for Russell 2000 and 2,509.185 for Euro Stoxx 50; 70% of initial levels
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| Knock-in levels: | 691.694 for Russell 2000 and 1,792.275 for Euro Stoxx 50; 50% of initial levels
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| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 5.15%
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| Cusip: | 22550B3W1
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