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Published on 3/13/2020 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse $1.14 million contingent coupon autocallable yield notes on three stocks

By Wendy Van Sickle

Columbus, Ohio, March 13 –Credit Suisse AG, London Branchpriced $1.14 million of contingent coupon autocallable yield notes due March 11, 2024 linked to the lowest performing of the stocks ofSpirit Airlines, Inc.,SkyWest, Inc.andSonos, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly coupon at an annualized rate of 19.1% if each stock closes at or above its barrier level, 50% of its initial level, on a related observation date.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly observation date starting Sept. 2.
The payout at maturity will be par unless any stock finishes below its 50% knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses.
Credit Suisse Securities (USA) LLC is the agent.
Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable yield notes
Underlying stocks:Spirit Airlines, Inc., SkyWest, Inc. and Sonos, Inc.
Amount:$1,141,000
Maturity:March 11, 2024
Coupon:19.1% per year, payable quarterly if each stock closes at or above its coupon barrier level on observation date
Price:Par
Payout at maturity:Par unless any stock finishes below its knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses
Call:At par plus coupon if each stock closes at or above its initial level on any quarterly call date starting Sept. 2
Initial levels:$25.23 for Spirit Airlines, $24.56 for SkyWest, $11.20 for Sonos
Coupon barriers:$12.615 for Spirit Airlines, $21.51 for SkyWest, $5.60 for Sonos, 50% of initial levels
Knock-in levels:$12.615 for Spirit Airlines, $21.51 for SkyWest, $5.60 for Sonos, 50% of initial levels
Pricing date:March 2
Settlement date:March 9
Agent:Credit Suisse Securities (USA) LLC
Fees:0%
Cusip:22551NSQ0

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