Published on 1/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.36 million contingent coupon autocallable yield notes on S&P, Nasdaq, Russell
By Sarah Lizee
Olympia, Wash., Jan. 6 – Credit Suisse AG, London Branch priced $1.36 million of contingent coupon autocallable yield notes due June 30, 2021 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 7% 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 if each index closes at or above its initial level on any observation date after six months.
The payout at maturity will be par unless any index closes below its knock-in level, 70% of its initial level, on any day during the life of the notes, in which case investors will be exposed to the decline of the lesser-performing index from its initial level.
Credit Suisse Securities (USA) LLC and Incapital LLC are the agents.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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Amount: | $1,356,000
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Maturity: | June 30, 2021
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Coupon: | 7% per year, payable quarterly if each underlying 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 unless any index closes below its knock-in level, 70% of its initial level, on any day during the life of the notes, in which case investors will be exposed to the decline of the lesser-performing index from its initial level
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Call option: | Automatically at par plus coupon if each index closes at or above initial level on any observation date after six months
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Initial levels: | 3,239.91 for S&P, 1,677.670 for Russell, 8,778.313 for Nasdaq
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Coupon barrier levels: | 2,267.937 for S&P, 1,174.369 for Russell, 6,144.8191 for Nasdaq, 70% of initial levels
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Knock-in levels: | 2,267.937 for S&P, 1,174.369 for Russell, 6,144.8191 for Nasdaq, 70% of initial levels
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Pricing date: | Dec. 26
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Settlement date: | Dec. 31
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Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
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Fees: | 2.125%
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Cusip: | 22551NDD5
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