Published on 3/23/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse $1.5 million contingent coupon autocallable yield notes on three stocks
By Wendy Van Sickle
Columbus, Ohio, March 23 – Credit Suisse AG, London Branch priced $1.5 million of contingent coupon autocallable yield notes due March 13, 2026 linked to the lowest performing of the stocks of Delta Air Lines, Inc., Facebook, Inc. and Splunk Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 23% if each stock closes at or above its barrier level, 60% of its initial level, on a related observation date.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly observation date starting June 10.
The payout at maturity will be par unless any stock finishes below its 50% knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses.
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 stocks: | Delta Air Lines, Inc., Facebook, Inc. and Splunk Inc.
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| Amount: | $1.5 million
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| Maturity: | March 13, 2026
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| Coupon: | 23% per year, payable monthly if each stock closes at or above its coupon barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any stock finishes below its knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses
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| Call: | At par plus coupon if each stock closes at or above its initial level on any monthly call date starting June 10
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| Initial levels: | $45.47 for Delta, $178.19 for Facebook, $132.28 for Splunk
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| Coupon barriers: | $27.282 for Delta, $106.914 for Facebook, $79.368 for Splunk, 60% of initial levels
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| Knock-in levels: | $22.735 for Delta, $89.095 for Facebook, $66.14 for Splunk, 50% of initial levels
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.75%
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| Cusip: | 22551NU27
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