Published on 9/18/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million autocallable securities on Dow, Russell, S&P
By Sarah Lizee
Olympia, Wash., Sept. 18 – Credit Suisse AG London Branch priced $1 million of 0% autocallable securities due Sept. 17, 2025 linked to 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.
If each index closes at or above its initial level on any annual valuation date, the notes will be called at par plus a premium of 7% a year.
If each index finishes at or above its initial level the payout will be par plus 35%. If the least performing index falls but not below the trigger level, 60% of the initial level, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst 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: | Autocallable securities
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| Underlying indexes: | Dow Jones industrial average, S&P 500 index and Russell 2000 index
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| Amount: | $1 million
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| Maturity: | Sept. 17, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its initial level, par plus 35%; if any index falls but not below trigger level, par; otherwise, 1% loss for each 1% decline of the worst performing index from its initial level
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| Call: | Automatically at par plus an annualized premium of 7% if each index closes at or above its initial level on any annual valuation date
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| Initial levels: | 3,383.54 for S&P, 1,536.974 for Russell, 27,993.33 for Dow
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| Trigger levels: | 2,030.124 for S&P, 922.1844 for Russell, 16,795.998 for Dow; 60% of initial levels
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| Pricing date: | Sept. 14
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| Settlement date: | Sept. 17
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 4.125%
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| Cusip: | 22552WKR5
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