Published on 6/28/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.01 million 7.75% contingent coupon callables on S&P, Russell
By Susanna Moon
Chicago, June 28 – Credit Suisse AG, London branch priced $5.01 million of contingent coupon callable yield notes due June 29, 2021 linked to the worst performing of 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 7.75% if each underlying index closes at or above its 70% coupon barrier on each trading day for that quarter.
The notes are callable at par on any determination date after six months.
The payout at maturity will be par unless either underlying index closes below its 70% knock-in level, in which case investors will be fully exposed to any losses of the worse performing index.
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 indexes: | Russell 2000, S&P 500
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Amount: | $5,009,000
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Maturity: | June 29, 2021
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Coupon: | 7.75% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter
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Price: | Par
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Payout at maturity: | If each index closes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of worse performing index
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Call option: | At par on any determination date beginning Dec. 19, 2018
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Initial levels: | 1,685.577 for Russell, 2,754.88 for S&P
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Knock-in levels: | 1,179.9039 for Russell, 1,928.416 for S&P, 70% of initial levels
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Pricing date: | June 22
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Settlement date: | June 29
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Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management as a distributor
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Fees: | 0.4%
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Cusip: | 22550WVZ7
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