Published on 5/15/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $4.37 million trigger callable contingent yield notes linked to three indexes
By Angela McDaniels
Tacoma, Wash., May 15 – Credit Suisse AG, London Branch priced $4.37 million of trigger callable contingent yield notes with quarterly coupon observation due Nov. 17, 2021 linked to the least performing of the MSCI EAFE index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter. The contingent coupon rate is 8% per year.
The notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial 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. is acting as distributor.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Trigger callable contingent yield notes with quarterly coupon observation
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Underlying indexes: | MSCI EAFE, Russell 2000 and S&P 500
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Amount: | $4,365,000
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Maturity: | Nov. 17, 2021
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Coupon: | 8% per year, payable quarterly if each index closes at or above its coupon barrier on observation date for that quarter
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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Call option: | At par on each quarterly observation date other than final one
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Initial levels: | 2,399.63 for S&P 500, 1,399.589 for Russell 2000 and 1,862.79 for MSCI EAFE
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Coupon barriers: | 1,679.74 for S&P 500, 979.712 for Russell 2000 and 1,303.95 for MSCI EAFE; 70% of initial levels
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Downside thresholds: | 1,439.78 for S&P 500, 839.753 for Russell 2000 and 1,117.67 for MSCI EAFE; 60% of initial levels
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Pricing date: | May 10
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Settlement date: | May 15
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Distributor: | UBS Financial Services Inc.
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Fees: | 2%
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Cusip: | 22549C121
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