Published on 1/31/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $14.43 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 31 – Credit Suisse AG, London Branch priced $14.43 million of trigger callable contingent yield notes with daily coupon observation due Aug. 5, 2019 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.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.7% 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 in whole but not in part on any quarterly observation 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% trigger 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 the agent.
| 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: | Euro Stoxx 50, Russell 2000 index and S&P 500
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| Amount: | $14,433,000
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| Maturity: | Aug. 5, 2019
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| Coupon: | 9.7% per year, payable quarterly if each index closes at or above its coupon barrier level each day for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index finishes below trigger level, in which case 1% loss for each 1% decline of worst-performing index
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| Call option: | At par on any quarterly observation other than final date
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| Initial levels: | 3,303.33 for Euro Stoxx 50, 1,370.704 for Russell 2000, 2,294.69 for S&P 500
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| Coupon barrier levels: | 2,147.16 for Euro Stoxx 50, 890.958 for Russell 2000, 1,491.55 for S&P 500; 65% of initial levels
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| Trigger levels: | 1,982.00 for Euro Stoxx 50, 822.422 for Russell 2000, 1,376.81 for S&P 500; 60% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Jan. 31
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 22549A349
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