Published on 3/26/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $815,000 autocallable securities on indexes
By Wendy Van Sickle
Columbus, Ohio, March 26 – Credit Suisse AG, London Branch priced $815,000 of 0% autocallable securities due Dec. 26, 2023 linked to the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Credit Suisse will call the notes at par plus a call premium of 23.5% per year if the closing level of each asset is greater than or equal to its initial level on any quarterly call date after six months.
If the notes are not called, investors will receive at maturity par plus any gain of the least performing index. Investors will receive par if the least performing index falls by up to 40%.
Otherwise, investors will lose 1% for each 1% decline of the worst performing asset 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 assets: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $815,000
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| Maturity: | Dec. 26, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any gain of least performing index; par if least performing index falls but finishes above the knock-in level; otherwise, 1% loss for each 1% decline of the worst performing asset from its initial level
|
| Call: | Automatically at par plus annualized premium of 23.5% if each asset closes at or above initial level on any quarterly call date after six months
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| Initial levels: | 2,529.19 for S&P, 1,106.506 for Russell and 7,473.95 for Nasdaq
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| Knock-in levels: | 1,517.514 for S&P, 663.9036 for Russell and 4,484.37 for Nasdaq; 60% of initial levels
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| Pricing date: | March 20
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| Settlement date: | March 23
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 2.95%
|
| Cusip: | 22551NVE3
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