Published on 2/14/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million 10.55% contingent coupon callables on indexes, fund
By Susanna Moon
Chicago, Feb. 14 – Credit Suisse AG, London Branch priced $1 million of callable contingent coupon notes due Jan. 31, 2020 linked to the lesser performing of the Russell 2000 index, the Euro Stoxx 50 index and the SPDR S&P Regional Banking exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 10.55% if each underlying component closes at or above its 70% coupon barrier on the review date for that month.
The notes are callable at par on any call observation date after one year.
The payout at maturity will be par unless any component finishes below its 70% knock-in level, in which case investors will be exposed to any losses of the worst performing index or fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | Russell 2000, Euro Stoxx 50 and SPDR S&P Regional Banking ETF
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| Amount: | $1 million
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| Maturity: | Jan. 31, 2020
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| Coupon: | 10.55% annualized, payable monthly if each index closes at or above its 70% coupon barrier on observation date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any component ends below 70% knock-in level, in which case 1% loss per 1% decline of worst performing index or fund
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| Call option: | At par on any interest payment date beginning March 5, 2018
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| Initial levels: | 1,582.817 for Russell, 3,606.75 for Stoxx and $62.31 for fund
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| Trigger levels: | 1,107.972 for Russell, 2,524.73 for Stoxx and $43.62 for fund; 70% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22550WCU9
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