Published on 7/14/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3 million autocallable contingent income notes tied to indexes
New York, July 14 – Credit Suisse AG, London Branch priced $3 million of autocallable contingent income securities due Jan. 16, 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 10.35% if each index closes at or above the 80% coupon barrier on every trading day during that quarter.
The notes will be automatically called at par on any quarterly determination date except the final valuation date if each index closes at or above its initial value.
The payout at maturity will be par unless any index finishes below its 75% 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: | Autocallable contingent income securities
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Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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Amount: | $3 million
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Maturity: | Jan. 16, 2020
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Contingent payment: | 10.35% 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 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: | 1,413.054 for Russell, 2,425.53 for S&P and 3,464.48 for Stoxx
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Coupon barriers: | 1,130.42 for Russell, 1,940.42 for S&P and 2,771.58 for Stoxx: 80% of initial levels
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Downside thresholds: | 1,059.791 for Russell, 1,819.15 for S&P and 2,598.36 for Stoxx; 75% of initial levels
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Pricing date: | July 11
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Settlement date: | July 14
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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: | 2.5%
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Cusip: | 22550BCU5
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