Published on 3/27/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $20 million step-down trigger autocallable notes on Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, March 27 – Credit Suisse AG, London Branch priced $20 million of 0% step-down trigger autocallable notes due March 26, 2025 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
After one year, the notes will be called at par of $10 plus an annual call premium of 17.5% if each index closes at or above its initial level on any semiannual observation date except the final date when the call level will be equal to 70% of each index’s initial level.
If the notes are not called, the payout at maturity will be par unless either index finishes below its 60% downside threshold, in which case investors will lose 1% for each 1% decline of the worse performing index.
UBS Financial Services Inc. is the distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Step down trigger autocallable notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $20 million
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| Maturity: | March 26, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If notes are not called, par unless either index finishes below downside threshold; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | After one year at par plus 17.5% if each index closes at or above its initial level on any semiannual observation date except the final observation date when the call level will be 70% of initial level
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| Initial index levels: | 2,237.4 for S&P, 1,002.417 for Russell
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| Final call levels: | 1,566.18 for S&P, 701.692 for Russell; 70% of initial levels
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| Downside thresholds: | 1,342.44 for S&P, 601.45 for Russell; 60% of initial levels
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| Strike date: | March 23
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| Pricing date: | March 24
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| Settlement date: | March 27
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1.25%
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| Cusip: | 22550V513
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