Published on 2/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $500,000 contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 24 – Credit Suisse AG, London Branch priced $500,000 of contingent coupon autocallable yield notes due Feb. 26, 2024 linked to the least performing of the Russell 2000 index, the Dow Jones industrial average 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 6.75% 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 observation date after six months.
The payout at maturity will be par plus the final coupon, if any, 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: | Russell 2000 index, Dow Jones industrial average and Nasdaq-100 index
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| Amount: | $500,000
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| Maturity: | Feb. 26, 2024
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| Coupon: | 6.75% per year, payable quarterly 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, if any, 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: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly observation date after six months
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| Initial levels: | 1,692.573 for Russell, 29,348.03 for Dow, 9,718.727 for Nasdaq
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| Coupon barrier levels: | 1,184.8011 for Russell, 20,543.621 for Dow, 6,803.1089 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 1,015.5438 for Russell, 17,608.818 for Dow, 5,831.2362 for Nasdaq, 60% of initial levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.45%
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| Cusip: | 22551NQ58
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