Published on 4/9/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.61 million floating-rate trigger callable contingent yield notes on two indexes
By Wendy Van Sickle
Columbus, Ohio, April 9 – Credit Suisse AG, London Branch priced $2.61 million of floating-rate trigger callable contingent yield notes due March 29, 2023 linked to the least performing of the Euro Stoxx 50 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 is at or above its coupon barrier, 70% of its initial level, on the observation date that quarter. The contingent coupon rate is Libor plus 530 basis points per year subject to 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, 70% 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
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| Underlying indexes: | S&P 500 and Euro Stoxx 50
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| Amount: | $2.61 million
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| Maturity: | March 29, 2023
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| Coupon: | Libor plus 530 basis points per year, payable quarterly if each index closes at or above its downside threshold on observation date that quarter; floor of zero
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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
|
| Call option: | At par on each quarterly observation date other than final one
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| Initial levels: | 3,316.95 for Stoxx, 2,612.62 for S&P
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| Coupon barriers: | 2,321.87 for Stoxx, 1,828.83 for S&P; 70% of initial levels
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| Downside thresholds: | 2,321.87 for Stoxx, 1,828.83 for S&P; 70% of initial levels
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| Pricing date: | March 27
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| Settlement date: | March 29
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 2.5%
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| Cusip: | 22549E788
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