Published on 2/6/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $13.15 million 9.75% contingent yield trigger callables on indexes
By Susanna Moon
Chicago, Feb. 6 – Credit Suisse AG, London branch priced $13.15 million of trigger callable contingent yield notes with daily coupon observation due July 30, 2020 linked to the lesser performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.75% if each index closes at or above its 70% coupon barrier on each trading day during that quarter.
The notes are callable at par on any quarterly observation date other than the final date.
The payout at maturity will be par unless either index finishes below its 70% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.
UBS Financial Services Inc. is the 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: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $13,148,800
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| Maturity: | July 30, 2020
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| Coupon: | 9.75% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on each trading day during quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above 70% downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call option: | At par on each quarterly observation date other than final date
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| Initial levels: | 1,608.058 for Russell, 2,872.87 for S&P, 3,647.41 for Stoxx
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| Downside thresholds: | 1,125.641 for Russell, 2,011.01 for S&P, 2,553.19 for Stoxx, 70% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Distributor: | UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 22549E259
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