Published on 2/13/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $11.07 million floating-rate trigger callable contingent notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 13 – Credit Suisse AG, London Branch priced $11.07 million of floating-rate trigger callable contingent yield notes due Feb. 10, 2023 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 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 the observation date that quarter. The contingent coupon rate is three-month Libor plus 5% per year with a floor of zero.
The notes are callable at par of $10 on each 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: | Floating-rate trigger callable contingent yield notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000
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| Amount: | $11,073,000
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| Maturity: | Feb. 10, 2023
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| Coupon: | Payable quarterly at a rate of three-month Libor plus 5% a year if each index closes at or above its coupon barrier on observation date that quarter; minimum coupon of 0%
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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 each quarterly observation date other than final one
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| Initial levels: | 3,454.52 for Stoxx, 1,507.969 for Russell
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| Coupon barriers: | 2,418.164 for Stoxx, 1,055.5783 for Russell; 60% of initial levels
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| Downside thresholds: | 2,072.712 for Stoxx, 904.7814 for Russell; 70% of initial levels
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| Pricing date: | Feb. 7
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| Settlement date: | Feb. 12
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 2.37%
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| Cusip: | 22549E424
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