Published on 9/18/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1.5 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 18 – Credit Suisse AG, London Branch priced $1.5 million of contingent coupon autocallable yield notes due March 18, 2024 linked to the least performing of the Dow Jones industrial average, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every month, the notes pay a contingent coupon at the rate of 7.9% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly call date after one year.
The payout at maturity will be par plus the final coupon unless any index finishes below its knock-in level, 60% of its initial level, in which case investors will be exposed to the decline of the least-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: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index and Nasdaq-100 index
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| Amount: | $1.5 million
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| Maturity: | March 18, 2024
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| Coupon: | 7.9% per year, payable monthly if each underlying 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 final coupon unless any index finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level
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| Call option: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly call date after a year
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| Initial levels: | 27,993.33 for Dow, 11,277.76 for Nasdaq, 1,536.974 for Russell
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| Coupon barrier levels: | 19,595.331 for Dow, 7,894.432 for Nasdaq, 1,075.8818 for Russell; 70% of initial levels
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| Knock-in levels: | 16,795.998 for Dow, 6,766.656 for Nasdaq, 922.1844 for Russell; 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: | 0.95%
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| Cusip: | 22552WKS3
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