Published on 5/1/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.56 million floating-rate trigger callable contingent yield notes on two indexes
By Wendy Van Sickle
Columbus, Ohio, May 1 – Credit Suisse AG, London Branch priced $1.56 million of floating-rate trigger callable contingent yield notes due April 28, 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 500 basis points per year subject to a floor of zero.
After one year, 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
|
| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | S&P 500 and Euro Stoxx 50
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| Amount: | $1,562,500
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| Maturity: | April 28, 2023
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| Coupon: | Libor plus 500 basis points per year, payable quarterly if each index closes at or above its downside threshold on observation date that quarter; floor of zero
|
| Price: | Par of $10
|
| 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: | After one year at par on each quarterly observation date other than final one
|
| Initial levels: | 3,506.03 for Stoxx, 2,666.94 for S&P
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| Coupon barriers: | 2,454.221 for Stoxx, 1,866.85 for S&P; 70% of initial levels
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| Downside thresholds: | 2,454.221 for Stoxx, 1,866.85 for S&P; 70% of initial levels
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| Pricing date: | April 26
|
| Settlement date: | April 30
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 2.5%
|
| Cusip: | 22549M285
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