Published on 3/18/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $7.8 million contingent market-linked autocalls on indexes
By Sarah Lizee
Olympia, Wash., March 18 – Credit Suisse AG, London Branch priced $7.8 million of market-linked securities due March 14, 2024 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 13% if each index closes at or above its 75% coupon threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after six months.
The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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Underlying indexes: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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Amount: | $7.8 million
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Maturity: | March 14, 2024
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Coupon: | 13% annualized, payable quarterly if each index closes at or above coupon threshold on observation date for that quarter
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Price: | Par
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Payout at maturity: | Par unless any index falls by more than downside threshold, in which case 1% loss per 1% decline of worst performing index
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Call: | At par if each index closes at or above its initial level on any interest payment date after six months
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Initial levels: | 2,741.38 for S&P, 1,264.296 for Russell, 23,553.22 for Dow
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Coupon thresholds: | 2,056.035 for S&P, 948.222 for Russell, 17,664.915 for Dow; 75% of initial levels
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Downside thresholds: | 2,056.035 for S&P, 948.222 for Russell, 17,664.915 for Dow; 75% of initial levels
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Pricing date: | March 11
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Settlement date: | March 16
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Agent: | Wells Fargo Securities, LLC
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Fees: | 2%
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Cusip: | 22551NUY0
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