Chicago, March 29 – Credit Suisse AG, London Branch priced $2 million of contingent coupon autocallable yield notes due Feb. 28, 2022 linked to the least performing of Russell 2000 index, 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 quarterly contingent coupon at an annual rate of 12.25% if each index closes at or above its threshold level, 70% of its initial level, on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless any index closes below its 70% threshold level, in which case investors will be fully exposed to the losses of the least-performing index.
The agent is Credit Suisse Securities (USA) LLC.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Contingent coupon autocallable yield notes
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Underlying indexes: | Russell 2000, Dow Jones industrial average and S&P 500
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Amount: | $2 million
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Maturity: | Feb. 28, 2022
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Coupon: | 12.25% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its knock-in level, in which case full exposure to the losses of the least-performing index
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Call: | Automatically at par if each index closes at or above initial level on any quarterly trigger observation date
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Initial levels: | 3881.37 for S&P, 2231.314 for Russell and 31537.35 for Dow
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Coupon barrier levels: | 2716.959 for S&P, 1561.9198 for Russell and 22076.145 for Dow; 70% of initial levels
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Knock-in levels: | 2716.959 for S&P, 1561.9198 for Russell and 22076.145 for Dow; 70% of initial levels
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Pricing date: | Feb. 24
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Settlement date: | Feb. 26
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | None
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Cusip: | 22552XDP5
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