Published on 8/20/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $508,000 contingent coupon autocallable yield notes on indexes
By Sarah Lizee
Olympia, Wash., Aug. 20 – Credit Suisse AG, London Branch priced $508,000 of contingent coupon autocallable yield notes due Nov. 19, 2021 linked to the lowest performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 10.1% if each index closes at or above its barrier level, 60% of its initial level, on a related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par plus the coupon unless any index closes below its 60% knock-in level on any day during the life of the notes, in which case investors will fully participate in the return of least-performing index, subject to 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 index, Nasdaq-100 index and Russell 2000 index
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| Amount: | $508,000
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| Maturity: | Nov. 19, 2021
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| Coupon: | 10.1% per year, payable quarterly if each index 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 plus the coupon unless any index closes below its knock-in level on any day during the life of the notes, in which case investors will fully participate in the return of least-performing index, subject to a maximum payout of par
|
| Call: | At par if each index closes above initial level on any quarterly trigger observation date
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| Initial levels: | 3,372.85 for S&P, 1,577.88 for Russell, 11,164.45 for Nasdaq
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| Coupon barrier levels: | 2,023.71 for S&P, 946.728 for Russell, 6,698.67 for Nasdaq, 60% of initial levels
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| Knock-in levels: | 2,023.71 for S&P, 946.728 for Russell, 6,698.67 for Nasdaq, 60% of initial levels
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| Pricing date: | Aug. 14
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| Settlement date: | Aug. 19
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.725%
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| Cusip: | 22552WFG5
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