Published on 2/19/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $5.57 million contingent coupon buffered autocalls on indexes
By Sarah Lizee
Olympia, Wash., Feb. 19 – Credit Suisse AG, London Branch priced $5.57 million of contingent coupon buffered autocallable yield notes due Feb. 21, 2023 linked to the least performing of the Russell 2000 index, the Nasdaq-100 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 annualized rate of 7.95% if each index closes at or above its 80% coupon barrier on the related quarterly observation date.
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 falls by more than 20%, in which case investors will lose 1.25% for each 1% decline of the worst performing index beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon buffered autocallable yield notes
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index and Dow Jones industrial average
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| Amount: | $5.57 million
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| Maturity: | Feb. 21, 2023
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| Coupon: | 7.95% annualized, payable quarterly if each index closes at or above its coupon barrier on related quarterly observation date
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 20%, in which case 1.25% loss for each 1% decline of worst performing index beyond 20%
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| Call: | At par if each index closes at or above initial level on any quarterly observation date after six months
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| Initial index levels: | 1,693.736 for Russell, 29,423.31 for Dow, 9,595.702 for Nasdaq
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| Coupon barriers/buffers: | 1,354.9888 for Russell, 23,538.648 Dow, 7,676.5616 for Nasdaq; 80% of initial levels
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| Agent: | Credit Suisse Securities (USA) LLC
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| Pricing date: | Feb. 13
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| Settlement date: | Feb. 21
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| Fees: | 0.6%
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| Cusip: | 22551NNW2
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