Published on 12/24/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.98 million contingent coupon autocallable yield notes on indexes
By Sarah Lizee
Olympia, Wash., Dec. 24 – Credit Suisse AG, London Branch priced $1.98 million of contingent coupon autocallable yield notes due Sept. 13, 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 6.4% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
After six months, 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 knock-in level, 70% of its initial level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
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
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| Amount: | $1.98 million
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| Maturity: | Sept. 13, 2021
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| Coupon: | 6.4% 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 finishes below knock-in level, in which case exposure to decline of least-performing index
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| Call option: | After six months, 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: | 3,135.96 for S&P, 1,629.619 for Russell, 8,362.743 for Nasdaq
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| Coupon barrier levels: | 2,195.172 for S&P, 1,140.7333 for Russell, 5,853.9201 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 2,195.172 for S&P, 1,140.7333 for Russell, 5,853.9201 for Nasdaq, 70% of initial levels
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| Pricing date: | Dec. 9
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| Settlement date: | Dec. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22551NDQ6
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