Published on 1/25/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.2 million contingent yield trigger autocallables tied to indexes
By Susanna Moon
Chicago, Jan. 25 – Credit Suisse AG, London Branch priced $3.2 million of trigger autocallable contingent yield notes due Jan. 27, 2027 linked to the worst performing of the Euro Stoxx 50 index, 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 9.7% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after one year.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 50% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
UBS Financial Services Inc. is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 index and S&P 500
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| Amount: | $3.2 million
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| Maturity: | Jan. 27, 2027
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| Coupon: | 9.7%, payable quarterly if each index closes at or above coupon barrier on observation date
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| Price: | Par of $10
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date beginning
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| Payout at maturity: | Par unless any index closes below 50% downside threshold, in which case 1% loss for each 1% decline of worst performing index
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| Initial levels: | 3,299.44 for Stoxx, 1,351.848 for Russell, 2,271.31 for S&P
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| Coupon barriers: | 2,309.61 for Stoxx, 946.294 for Russell, 1,589.92 for S&P; 70% of initial levels
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| Downside thresholds: | 1,649.72 for Stoxx, 675.924 for Russell, 1,135.66 for S&P; 50% of initial levels
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| Pricing date: | Jan. 20
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| Settlement date: | Jan. 27
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| Agent: | UBS Financial Services Inc.
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| Fees: | 3.5%
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| Cusip: | 22549A281
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