Published on 2/14/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.82 million contingent coupon autocallable yield notes on indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Feb. 14 – Credit Suisse AG, London Branch priced $6.82 million of contingent coupon autocallable yield notes due Feb. 13, 2024 linked to the least performing of the Russell 2000 index, the SPDR S&P Biotech ETF and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 10.4% per year if each asset closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes will be called at par if each asset closes at or above its initial level on any observation date starting Nov. 10, 2020.
The payout at maturity will be par unless any asset 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 asset 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 assets: | Russell 2000 index, SPDR S&P Biotech ETF and Nasdaq-100 index
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| Amount: | $6,822,000
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| Maturity: | Feb. 13, 2024
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| Coupon: | 10.4% per year, payable quarterly if each underlying asset 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 asset finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing asset from its initial level
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| Call option: | Automatically at par plus coupon if each asset closes at or above initial level on any observation date starting Nov. 10, 2020
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| Initial levels: | 1,667.669 for Russell, $96.88 for ETF, 9,516.841 for Nasdaq
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| Coupon barrier levels: | 1,250.75175 for Russell, $72.66 for ETF, 7,137.63075 for Nasdaq, 75% of initial levels
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| Knock-in levels: | 1,000.6014 for Russell, $58.128 for ETF, 5,710.1046 for Nasdaq, 60% of initial levels
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| Pricing date: | Feb. 10
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| Settlement date: | Feb. 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1%
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| Cusip: | 22551NNZ5
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