Published on 10/17/2017 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $23.63 million trigger callable notes linked to three indexes
By Marisa Wong
Morgantown, W.Va., Oct. 17 – Credit Suisse AG, London Branch priced $23.63 million of trigger callable contingent yield notes with daily coupon observation due April 19, 2021 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 9.3% 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, 60% 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: | $23,626,000
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| Maturity: | April 19, 2021
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| Coupon: | 9.3% per year, payable for a quarter 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 its 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: | 2,553.17 for S&P, 1,502.658 for Russell and 3,604.55 for Stoxx
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| Coupon barriers: | 1,787.22 for S&P, 1,051.861 for Russell and 2,523.19 for Stoxx; 70% of initial levels
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| Downside thresholds: | 1,531.90 for S&P, 901.595 for Russell, 2,162.73 for Euro Stoxx; 60% of initial levels
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| Trade date: | Oct. 13
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| Settlement date: | Oct. 19
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 22549D426
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