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Published on 12/30/2019 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse sells $3.48 million contingent coupon buffered autocalls on three stocks

By Wendy Van Sickle

Columbus, Ohio, Dec. 30 – Credit Suisse AG, London Branch priced $3.48 million of contingent coupon buffered autocallable yield notes due Dec. 26, 2025 linked to the least performing of the common stocks of Bank of America Corp., ConocoPhillips and Lowe’s Cos., Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annualized rate of 14% if each stock closes at or above its 60% coupon barrier on the related observation date.

The notes will be called at par if each stock closes at or above its initial level on any observation date after one year.

The payout at maturity will be par unless any stock falls by more than 35%, in which case investors will lose 1.538462% for each 1% decline of the worst performing stock beyond the 35% buffer.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon buffered autocallable yield notes
Underlying stocks:Bank of America Corp., ConocoPhillips and Lowe’s Cos., Inc.
Amount:$3,479,000
Maturity:Dec. 26, 2025
Coupon:14% annualized, payable monthly if each index closes at or above its coupon barrier on related observation date
Price:Par
Payout at maturity:Par unless either index falls by more than 35%, in which case 1.538462% loss for each 1% decline of worse performing index beyond 35%
Call:At par if each index closes at or above initial level on any observation date after one year
Initial levels:$34.96 for BofA, $63.72 for ConocoPhillips, $119.73 for Lowe’s
Coupon barrier levels:$22.724 for BofA, $41.418 for ConocoPhillips, $77.8245 for Lowe’s, 65% of initial levels
Buffer levels:$22.724 for BofA, $41.418 for ConocoPhillips, $77.8245 for Lowe’s, 65% of initial levels
Agent:Credit Suisse Securities (USA) LLC
Pricing date:Dec. 20
Settlement date:Dec. 26
Fees:0.75%
Cusip:22551NEH5

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