Published on 2/23/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.5 million 9% contingent interest callables tied to three indexes
By Susanna Moon
Chicago, Feb. 23 – Credit Suisse AG, London branch priced $2.5 million of callable contingent interest notes due Feb. 5, 2021 linked to the least performing of the Russell 2000 index, the Euro Stoxx 50 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 annul rate of 9% if each index closes at or above its 65% coupon barrier on the observation date for that quarter.
The notes are callable at par on any interest payment date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 65% knock-in 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: | Russell 2000, Euro Stoxx 50 and S&P 500
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| Amount: | $2.5 million
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| Maturity: | Feb. 5, 2021
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| Coupon: | 9% annualized, payable quarterly if each index closes at or above 65% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above 65% knock-in level, par; otherwise, 1% loss per 1% decline of worst performing index
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| Call option: | At par on any interest payment date beginning May 8, 2018
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| Initial levels: | 1,547.273 for Russell, 3,523.28 for Stoxx and 2,762.13 for S&P
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| Knock-in levels: | 1,005.727 for Russell, 2,290.13 for Stoxx and 1,795.38 for S&P; 65% of initial levels
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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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: | 0.75%
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| Cusip: | 22550WCY1
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