Published on 3/10/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $864,000 contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 10 – Credit Suisse AG, London Branch priced $864,000 of contingent coupon autocallable yield notes due Dec. 6, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 7% 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 70% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level with a maximum payout of par.
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, Russell 2000 and Nasdaq-100 index
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| Amount: | $864,000
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| Maturity: | Dec. 6, 2021
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| Coupon: | 7% 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 inishes below its knock-in level, in which case exposure to decline of least-performing index with maximum payout of par
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| 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: | 2,954.22 for S&P, 8,461.835 for Nasdaq, 1,476.431 for Russell
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| Coupon barrier levels: | 2,076.954 for S&P, 5,923.2845 for Nasdaq, 1,033.5017 for Russell, 70% of initial levels
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| Knock-in levels: | 2,076.954 for S&P, 5,923.2845 for Nasdaq, 1,033.5017 for Russell, 70% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 4
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.8%
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| Cusip: | 22551NNG7
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