Published on 2/27/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.16 million autocallable securities on S&P, Stoxx
By Sarah Lizee
Olympia, Wash., Feb. 27 – Credit Suisse AG, London Branch priced $1.16 million of 0% autocallable securities due Feb. 28, 2024 linked to 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 be automatically called at par plus an annualized redemption premium of 11.5% if each underlying index closes at or above its initial level on any annual review date.
If the notes are not called and each index closes at or above its initial levels, the payout at maturity will be par plus the contingent return of 46%.
If either index falls by up to 30%, the payout will be par plus 10%.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50
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| Amount: | $1,155,000
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| Maturity: | Feb. 28, 2024
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 46% if each index finishes at or above its initial level; if either index falls by up to 30%, par plus 10%; otherwise, investors will lose 1% for each 1% decline of least-performing index from initial level
|
| Call: | Automatically at par plus annualized redemption premium of 11.5% if each underlying closes at or above initial level on any annual review date
|
| Initial levels: | 3,337.75 for S&P, 3,800.38 for Stoxx
|
| Threshold levels: | 2,336.425 for S&P, 2,660.266 for Stoxx; 70% of initial levels
|
| Pricing date: | Feb. 21
|
| Settlement date: | Feb. 28
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | None
|
| Cusip: | 22551NMW3
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