Published on 2/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $593,000 contingent coupon autocalls on Russell, Nasdaq, S&P
Chicago, Feb. 6 – Credit Suisse AG, London Branch priced $593,000 of contingent coupon autocallable yield notes due July 30, 2021 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 6.25% 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 starting July 28, 2020.
The payout at maturity will be par unless any index finishes below its knock-in level, 70% of its initial level, 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 with a maximum payout of par.
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, Nasdaq-100 and Russell 2000
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Amount: | $593,000
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Maturity: | July 30, 2021
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Coupon: | 6.25% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on relevant observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below knock-in level any day during the life of the notes, in which case exposure to decline of least-performing index with a maximum payout of par
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Call option: | Automatically at par plus coupon if each index closes at or above initial level on any observation date starting July 28, 2020
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Initial levels: | 3,276.24 for S&P, 1,658.314 for Russell, 9,090.933 for Nasdaq
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Coupon barrier levels: | 2,293.368 for S&P, 1,160.8198 for Russell, 6,363.6531 for Nasdaq, 70% of initial levels
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Knock-in levels: | 2,293.368 for S&P, 1,160.8198 for Russell, 6,363.6531 for Nasdaq, 70% of initial levels
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.125%
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Cusip: | 22551NGF7
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