Published on 4/9/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $130,000 contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, April 9 – Credit Suisse AG, London Branch priced $130,000 of contingent coupon autocallable yield notes due Oct. 4, 2021 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 9.75% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if each index closes above its initial level on any observation date except the final one.
The payout at maturity will be par plus any coupon unless any index finishes below its initial level and any index ever closes below its 70% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Nasdaq-100 and Russell 2000
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| Amount: | $130,000
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| Maturity: | Oct. 4, 2021
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| Coupon: | 9.75% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| Payout at maturity: | Par plus any coupon unless any index finishes below its initial level and any index ever closes below its knock-in level, in which case exposure to decline of least-performing index
|
| Call: | Automatically at par plus coupon if each index closes above initial level on any quarterly observation date except final one
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| Initial levels: | 2,584.59 for S&P, 7,813.499 for Nasdaq, 1,153.103 for Russell
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| Coupon barrier levels: | 1,809.213 for S&P, 5,469.4493 for Nasdaq, 807.1721 for Russell, 70% of initial levels
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| Knock-in levels: | 1,809.213 for S&P, 5,469.4493 for Nasdaq, 807.1721 for Russell, 70% of initial levels
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| Pricing date: | March 31
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| Settlement date: | April 3
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22551NTD8
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