Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.42 million contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, March 13 – Credit Suisse AG, London Branch priced $1.42 million of contingent coupon autocallable yield notes due Sept. 7, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 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% 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 after six months other than the final one.
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 least-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 index, S&P 500 index and Nasdaq-100 index
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| Amount: | $1,415,000
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| Maturity: | Sept. 7, 2021
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| Coupon: | 8% 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 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
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any observation date starting after six months other than final one
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| Initial levels: | 1476.431 for Russell, 2954.22 for S&P, 8461.835 for Nasdaq
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| Coupon barrier levels: | 1033.5017 for Russell, 2067.954 for S&P, 5923.2845 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 1033.5017 for Russell, 2067.954 for S&P, 5923.2845 for Nasdaq, 70% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 4
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| Agents: | Credit Suisse Securities (USA) LLC and InCapital LLC
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| Fees: | 0.75%
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| Cusip: | 22551NNA0
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