Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $837,000 contingent coupon autocallable yield notes on indexes
By Sarah Lizee
Olympia, Wash., March 13 – Credit Suisse AG, London Branch priced $837,000 of contingent coupon autocallable yield notes due Sept. 9, 2021 linked to the lowest performing of the S&P 500 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 quarterly coupon at an annualized rate of 8.2% if each index closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly trigger observation date other than the final one.
The payout at maturity will be par plus the coupon unless any index closes below its 70% knock-in level on any day during the life of the notes, in which case investors will fully participate in the return of least-performing index.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index and Dow Jones industrial average
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| Amount: | $837,000
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| Maturity: | Sept. 9, 2021
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| Coupon: | 8.2% 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 plus the coupon unless any index closes below its knock-in level on any day during the life of the notes, in which case investors will fully participate in the return of least-performing index
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| Call: | At par if each index closes above initial level on any quarterly trigger observation date other than final one
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| Initial levels: | 1,531.197 for Russell, 27,090.86 for Dow, 8,949.280 for Nasdaq
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| Coupon barrier levels: | 1,071.8379 for Russell, 18,963.602 for Dow, 6,264.496 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 1,071.8379 for Russell, 18,963.602 for Dow, 6,264.496 for Nasdaq, 70% of initial levels
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| Pricing date: | March 4
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| Settlement date: | March 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.275%
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| Cusip: | 22551NT89
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