Published on 4/27/2017 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, April 27 – Credit Suisse AG, London Branch, priced $1 million of step-up contingent coupon callable yield notes due April 28, 2027 linked to the S&P 500 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 10% on April 28, 2022 and to 12% on April 28, 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 April 30, 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 S&P 500
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| Amount: | $1 million
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| Maturity: | April 28, 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 10% on April 28, 2022 and to 12% on April 28, 2025
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| 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 April 30, 2018
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| Initial levels: | 1,397.942 for Russell, 2,374.15
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| Barrier levels: | 978.5594 for Russell, 1,424.49 for S&P, 70% of initial level
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| Knock-in levels: | 698.971 for Russell, 1,187.075 for S&P, 50% of initial level
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| Pricing date: | April 24
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| Settlement date: | April 27
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 5%
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| Cusip: | 22548QZ81
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