Published on 7/3/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $365,000 contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, July 3 – Credit Suisse AG, London Branch priced $365,000 million of contingent coupon autocallable yield notes due Feb. 28, 2022 linked to the lowest 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.
The notes will pay a quarterly coupon at an annualized rate of 6% if each index closes at or above its coupon barrier level, 75% of its initial level, on a quarterly observation date starting Aug. 27.
The notes will be called at par if each index closes above its initial level on any quarterly trigger observation date starting Nov. 25.
The payout at maturity will be par unless any index closes below its 65% knock-in level, in which case investors will fully participate in the return of least-performing index.
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, Nasdaq-100
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| Amount: | $365,000
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| Maturity: | Feb. 28, 2022
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| Coupon: | 6% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date, starting Aug. 27.
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| Price: | Par
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| Payout at maturity: | Par unless any index closes below its knock-in level, in which case investors will fully participate in the return of least-performing index
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| Call: | At par if each index closes above initial level on any quarterly trigger observation date starting Nov. 25
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| Initial levels: | 2,802.39 for S&P, 1,504.019 for Russell and 7,278.376 for Nasdaq
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| Coupon barrier levels: | 2,101.7925 for S&P, 1,128.01425 for Russell and 5,458.782 for Nasdaq, 75% of initial levels
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| Knock-in levels: | 1,821.5535 for S&P, 977.61235 for Russell and 4,730.9444 for Nasdaq, 65% of initial levels
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| Pricing date: | May 28
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| Settlement date: | May 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.525%
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