Published on 3/29/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.35 million contingent market-linked autocalls on S&P, Russell, Stoxx
Chicago, March 30 – Credit Suisse AG priced $2.35 million of market-linked securities due March 21, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 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 26% if each index closes at or above its 80% coupon threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 80% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $2,350,000
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| Maturity: | March 21, 2024
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| Coupon: | 26% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than downside threshold, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date after six months
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| Initial levels: | 2,398.10 for S&P, 991.160 for Russell, 2,385.82 for Stoxx
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| Coupon thresholds: | 1918.48 for S&P, 792.928 for Russell, 1908.656 for Stoxx; 80% of initial levels
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| Downside thresholds: | 1918.48 for S&P, 792.928 for Russell, 1908.656 for Stoxx; 80% of initial levels
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| Pricing date: | March 18
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| Settlement date: | March 23
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| Agents: | Wells Fargo Securities, LLC
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| Fees: | 2.5%
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| Cusip: | 22551NRX6
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