Published on 2/21/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $550,000 contingent coupon autocallables on indexes
By Marisa Wong
Los Angeles, Feb. 21 – Credit Suisse AG, London Branch priced $550,000 of contingent coupon autocallable yield notes due Aug. 16, 2021 linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will 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 quarterly observation date.
After six months, the notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date.
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 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: | Russell 2000 index, Dow Jones industrial average and Nasdaq-100 index
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| Amount: | $550,000
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| Maturity: | Aug. 16, 2021
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| Coupon: | 7% per year, payable each quarter that each index closes at or above its coupon barrier level on related 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 full exposure to the decline of the least-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 quarterly observation date after six months
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| Initial levels: | 1,677.515 for Russell, 29,276.34 for Dow, 9,517.861 for Nasdaq
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| Coupon barrier levels: | 1,174.2605 for Russell, 20,493.438 for Dow, 6,662.5027 for Nasdaq; 70% of initial levels
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| Knock-in levels: | 1,174.2605 for Russell, 20,493.438 for Dow, 6,662.5027 for Nasdaq; 70% of initial levels
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| Pricing date: | Feb. 11
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| Settlement date: | Feb. 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.35%
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| Cusip: | 22551NPE0
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