Published on 3/8/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.2 million contingent income autocalls on Dow, S&P
By Kiku Steinfeld
Chicago, March 9 – Credit Suisse AG, London Branch priced $3.2 million of autocallable contingent income securities due Aug. 31, 2020 linked to the worst performing of the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6% if each underlying index closes at or above its 80% coupon barrier on every day during that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on May 26.
The payout at maturity will be par plus the final coupon unless any index ever finishes below its 80% threshold level on any day during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing index.
Credit Suisse Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent income autocallable securities
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| Underlying assets: | Dow Jones industrial average, S&P 500 index
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| Amount: | $3,200,000
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| Maturity: | Aug. 31, 2020
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| Coupon: | 6% annualized, payable quarterly if each index closes at or above coupon barrier on every day during that quarter
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| Price: | Par
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| Payout at maturity: | Par plus coupon unless any index finishes below threshold level on any day during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing index
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| Call: | At par plus coupon if each index closes at or above its initial level on May 26
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| Initial levels: | 3128.21 for S&P, 27081.36 for Dow
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| Coupon barriers: | 2502.57 for S&P, 21665.09 for Dow, 80% of initial levels
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| Threshold levels: | 2502.57 for S&P, 21665.09 for Dow, 80% of initial levels
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| Strike date: | Feb. 25
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| Pricing date: | Feb. 26
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| Settlement date: | March 2
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| Agent: | Credit Suisse Securities (USA) Inc.
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 1.25%
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| Cusip: | 22551NSE7
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