Published on 1/9/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $507,000 contingent coupon autocallable yield notes on S&P, Nasdaq
By Sarah Lizee
Olympia, Wash., Jan. 9 – Credit Suisse AG, London Branch priced $507,000 of contingent coupon autocallable yield notes due Jan. 4, 2021 linked to the least performing of 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 8.75% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
Starting June 30, 2020, the notes will be called at par if each index closes at or above its initial level on any observation date.
The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its knock-in level, 75% of its initial level, in which case investors will be exposed to the decline of the lesser-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: | Nasdaq-100 and S&P 500
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Amount: | $507,000
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Maturity: | Jan. 4, 2021
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Coupon: | 8.75% 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 either index finishes below initial level and either index ever closes below knock-in level, in which case exposure to decline of least-performing index
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Call option: | Starting June 30, 2020, automatically at par plus coupon if each index closes at or above initial level on any observation date
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Initial levels: | 3,221.29 for S&P, 8,709.728 for Nasdaq
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Coupon barrier levels: | 2,415.9675 for S&P, 6,532.296 for Nasdaq, 75% of initial levels
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Knock-in levels: | 2,415.9675 for S&P, 6,532.296 for Nasdaq, 75% of initial levels
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Pricing date: | Dec. 30
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Settlement date: | Jan. 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 0.85%
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Cusip: | 22551NBY1
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