Published on 8/11/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $17.9 million callable contingent income notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 11 – Credit Suisse AG, London Branch priced $17.9 million of callable contingent income securities due Feb. 5, 2020 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.
The notes will pay a contingent quarterly coupon at an annual rate of 9% if each index closes at or above the 75% coupon barrier on every trading day during that quarter.
The notes will be callable at par on any quarterly determination date.
The payout at maturity will be par plus the coupon, if any, unless any index finishes below its 70% downside threshold 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. Morgan Stanley Smith Barney LLC is distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Callable contingent income securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $17,897,000
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| Maturity: | Feb. 5, 2020
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| Contingent payment: | 9% per year, payable quarterly if each index closes at or above coupon barrier on every day during that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final contingent coupon, if any, unless worst performing index finishes below downside threshold, in which case 1% loss for each 1% decline
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| Call option: | At par on any quarterly determination date
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| Initial levels: | 1,425.144 for Russell, 2,470.30 for S&P and 3,449.36 for Stoxx
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| Coupon barriers: | 1,068.858 for Russell, 1,852.73 for S&P and 2,587.02 for Stoxx: 75% of initial levels
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| Downside thresholds: | 997.601 for Russell, 1,729.21 for S&P and 2,414.55 for Stoxx; 70% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.25%
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| Cusip: | 22550BED1
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