Published on 1/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.2 million contingent coupon autocallable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Jan. 24 – Credit Suisse AG, London Branch, priced $2.2 million of contingent coupon autocallable yield notes due July 23, 2021 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at the rate of 5.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless either index closes below its 70% knock-in level on any day during the life of the notes, 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: | Russell 2000 and S&P 500
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| Amount: | $2,202,000
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| Maturity: | July 23, 2021
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| Coupon: | 5.5% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date
|
| Price: | Par
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| Payout at maturity: | Par unless either index closes below its knock-in level on any day during the life of the notes, in which case investors will be exposed to the decline of the least-performing index from its initial level
|
| Call: | Par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 1,699.635 for Russell, 3,329.62 for S&P
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| Coupon barrier levels: | 1,189.7445 for Russell, 2,330.734 for S&P, 70% of initial levels
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| Knock-in levels: | 1,189.7445 for Russell, 2,330.734 for S&P, 70% of initial levels
|
| Pricing date: | Jan. 17
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| Settlement date: | Jan. 23
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.125%
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| Cusip: | 22551NGB6
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