Published on 5/7/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $700,000 14.4% contingent income callables on three funds
By Susanna Moon
Chicago, May 7 – Credit Suisse AG, London branch priced $700,000 of contingent income callable securities due Oct. 29, 2020 linked to the worst performing of the SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 14.4% if each underlying fund closes at or above its 75% coupon barrier on each trading day for that quarter.
The notes are called at par if each fund closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless any underlying fund finishes below its 75% knock-in level, in which case investors will be fully exposed to any losses of the worst performing fund.
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: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $700,000
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| Maturity: | Oct. 29, 2020
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| Coupon: | 14.4% annualized, payable quarterly if each fund closes at or above 75% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund 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 other than final date
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| Initial levels: | $263.63 for S&P fund, $154.20 for Russell fund and $46.30 for EM fund
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| Knock-in levels: | $197.72 for S&P fund, $115.65 for Russell fund and $34.72 for EM fund, 75% of initial levels
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| Pricing date: | April 25
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| Settlement date: | April 30
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | None
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| Cusip: | 22550WRG4
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