Published on 7/26/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.97 million trigger callable contingent yield notes tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, July 26 – Credit Suisse AG, London Branch priced $3.97 million of trigger callable contingent yield notes with daily coupon observation due July 28, 2020 linked to the least 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 pay a contingent coupon if each index’s closing level remains at or above its coupon barrier, 70% of its initial level, on each day during that quarter. The contingent coupon rate is 7.9% per year.
The notes are redeemable at par of $10 on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold, 55% 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 daily coupon observation
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $3.97 million
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| Maturity: | July 28, 2020
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| Coupon: | 7.9% per year, payable quarterly if each index closes at or above its coupon barrier on each day during 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 any quarterly observation date other than final one
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| Initial levels: | 2,472.54 for S&P, 1,435.839 for Russell and 3,451.71 for Stoxx
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| Coupon barriers: | 1,730.778 for S&P, 1,005.0873 for Russell and 2,416.197 for Stoxx; 70% of initial levels
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| Downside thresholds: | 1,359.90 for S&P, 789.711 for Russell and 1,898.44 for Stoxx; 55% of initial levels
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| Trade date: | July 21
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| Settlement date: | July 31
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 22549C568
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