Published on 4/7/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $436,000 autocallable securities on indexes
By Wendy Van Sickle
Columbus, Ohio, April 7 – Credit Suisse AG, London Branch priced $436,000 of 0% autocallable securities due March 31, 2023 linked to the Dow Jones industrial average, the Russell 2000 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 12% per year if the closing level of each asset is greater than or equal to its trigger level on any semiannual call date. The trigger level will be equal to the initial level.
Investors will receive par plus 36% if each asset finishes at or above the initial level. If any asset finishes below its initial level but none finishes below its knock-in level, 70% of its initial level, the payout will be par.
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
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| Issue: | Autocallable securities
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| Underlying assets: | Russell 2000 index, Dow Jones industrial average, Nasdaq-100 index
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| Amount: | $436,000
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| Maturity: | March 31, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 36% if each asset finishes at or above initial level; if least performing asset falls but finishes at or above knock-in level, par; otherwise, 1% loss for each 1% decline of the worst performing asset from its initial level
|
| Call: | Automatically at par plus annualized premium of 12% if each asset closes at or above trigger level on any semiannual call date; trigger level will be equal to 100% of initial level
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| Initial levels: | 22,552.17 for Dow, 1,180.319 for Russell and 7,897.128 for Nasdaq
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| Knock-in levels: | 15,786.519 Dow, 826.2233 for Russell and 5,527.9896 for Nasdaq; 70% of initial levels
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| Pricing date: | March 26
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| Settlement date: | March 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3%
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| Cusip: | 22551NTZ9
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