Published on 4/18/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.28 million trigger callable contingent yield notes on indexes
By Devika Patel
Knoxville, Tenn., April 18 – Credit Suisse AG, London Branch priced $4.28 million of trigger callable contingent yield notes with daily coupon observation due April 24, 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 9% 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 beginning on July 17, 2017.
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: | S&P 500 index, Russell 2000 index and Euro Stoxx 50
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| Amount: | $4,278,000
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| Maturity: | April 24, 2020
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| Coupon: | 9% 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 trigger 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 other than final date beginning July 17, 2017
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| Initial levels: | 2,328.95 for S&P, 1,345.244 for Russell, 3,448.26 for Euro Stoxx
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| Coupon barrier levels: | 1,513.82 for S&P, 874.409 for Russell, 2,241.37 for Euro Stoxx; 65% of initial levels
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| Trigger levels: | 1,397.37 for S&P, 807.146 for Russell, 2,068.96 for Euro Stoxx; 60% of initial levels
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| Pricing date: | April 13
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| Settlement date: | April 24
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 22549A703
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