Published on 7/7/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million step-up contingent coupon callable yield notes
By Wendy Van Sickle
Columbus, Ohio, July 7 – Credit Suisse AG, London Branch, priced $1 million of step-up contingent coupon callable yield notes due June 30, 2027 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon unless either index closes below its barrier level, 70% of its initial level, on the observation date for that month. The contingent coupon is 7% per annum initially, stepping up to 8% on June 30, 2022 and to 12% on June 30, 2025.
The payout at maturity will be par plus the final coupon, if any, unless either index finishes below its 50% knock-in level, in which case investors will lose 1% for each 1% decline of the lesser performing index.
The notes are callable in whole but not in part at par on any quarterly early redemption date beginning on June 29, 2018.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Step-up contingent coupon callable yield notes
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| Underlying index: | Russell 2000 and Euro Stoxx 50
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| Amount: | $1 million
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| Maturity: | June 30, 2027
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| Coupon: | Each month, notes pay contingent coupon unless either index closes below barrier level on observation date for that month; coupon is 7% per annum initially, stepping up to 8% on June 30, 2022 and to 12% on June 30, 2025
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below knock-in level, in which case 1% loss for each 1% decline of lesser-performing index
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| Call option: | In whole, at par on any quarterly early redemption date beginning on June 29, 2018
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| Initial levels: | 1,403.522 for Russell, 2,419.38 for S&P
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| Barrier levels: | 982.4654 for Russell, 1,693.566 for S&P, 70% of initial level
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| Knock-in levels: | 701.761 for Russell, 1,209.69 for S&P 50% of initial level
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 5%
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| Cusip: | 22550B6X6
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