Published on 3/18/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $750,000 contingent coupon autocallable yield notes on S&P, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, March 18 – Credit Suisse AG, London Branch, priced $750,000 of contingent coupon autocallable yield notes due March 11, 2022 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.
The notes pay a contingent quarterly 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, in which case a coupon will also be paid for any previously unpaid quarter.
The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its 70% knock-in level 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 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: | $750,000
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Maturity: | March 11, 2022
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Coupon: | 7% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on related observation date in which case a coupon will also be paid for any previously unpaid quarter
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Price: | Par
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Payout at maturity: | Par unless either index finishes below its initial level and either index ever closes below its knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level
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Call: | Par plus the coupon if each index closes above its initial level on any quarterly trigger observation date after six months
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Initial levels: | 2,972.37 for S&P and 8,530.337 for Nasdaq
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Coupon barrier levels: | 2,080.659 for S&P and 5,971.2359 for Nasdaq, 70% of initial levels
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Knock-in levels: | 2,080.659 for S&P and 5,971.2359 for Nasdaq, 70% of initial levels
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Pricing date: | March 6
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Settlement date: | March 11
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 2.65%
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Cusip: | 22551NU61
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