Published on 12/16/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $5 million trigger callable contingent yield notes on indexes
By Marisa Wong
Morgantown, W.Va., Dec. 16 – Credit Suisse AG, London Branch priced $5 million of trigger callable contingent yield notes with daily coupon observation due Dec. 16, 2019 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.
The notes will pay a contingent quarterly coupon at an annual rate of 10.55% if each index closes at or above its coupon barrier level, 65% of its initial level, on each trading day that quarter.
The notes will be callable at par on any quarterly observation date other than the final date.
The payout at maturity will be par of $10 unless any index finishes below its 60% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index.
UBS Financial Services Inc. is distributor.
| 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 index
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| Amount: | $5 million
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| Maturity: | Dec. 16, 2019
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| Coupon: | 10.55% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading 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 quarterly prior to final valuation date
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| Initial levels: | 2,246.19 for S&P, 1,386.368 for Russell and 3,185.79 for Stoxx
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| Coupon barrier levels: | 1,460.024 for S&P, 901.139 for Russell and 2,070.764 for Stoxx; 65% of initial levels
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| Downside thresholds: | 1,347.714 for S&P, 831.821 for Russell and 1,911.474 for Stoxx; 60% of initial levels
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| Strike date: | Dec. 8
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| Pricing date: | Dec. 9
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| Settlement date: | Dec. 16
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 22548T851
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