Published on 5/9/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $11.75 million callable contingent yield notes on indexes
New York, May 9 – Credit Suisse AG, London Branch priced $11.75 million of trigger callable contingent yield notes with daily coupon observation due May 11, 2020 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8.5% if each index’s closing level is at least 65% of its initial level on each day during the quarter.
The notes will be callable on any quarterly observation end date other than the final one at par of $10 plus any coupon.
If the notes are not called and each index finishes at or above its 60% downside threshold level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and Credit Suisse are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50
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| Amount: | $11.752 million
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| Maturity: | May 11, 2020
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above its coupon barrier level each day that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for each 1% decline of worst performing index
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| Call option: | At par plus any coupon on any quarterly observation end other than final date
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| Initial levels: | 2,399.29 for S&P, 1,396.995 for Russell, 3,658.79 for Euro Stoxx
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| Coupon barriers: | 1,559.54 for S&P, 908.047 for Russell, 2,378.21 for Euro Stoxx; 65% of initial levels
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| Downside thresholds: | 1,439.57 for S&P, 838.197 for Russell, 2,195.27 for Euro Stoxx; 60% of initial levels
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| Pricing date: | May 5
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| Settlement date: | May 10
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| Agents: | UBS Financial Services Inc. and Credit Suisse
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| Fees: | 1%
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| Cusip: | 22549C105
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