Published on 11/5/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.9 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 5 – Credit Suisse AG, London Branch priced $1.9 million of contingent coupon autocallable yield notes due July 30, 2021 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 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 if each index closes at or above its initial level on any observation date.
The payout at maturity will be par unless any index finishes below its initial level and any index ever closes below its knock-in level, 70% 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 and Incapital LLC are the agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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| Amount: | $1,903,000
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| Maturity: | July 30, 2021
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| Coupon: | 6.75% 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 index finishes below initial level and any index ever closes below knock-in level, in which case exposure to decline of least-performing index
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| Call option: | Automatically at par plus coupon if each index closes at or above initial level on any observation date
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| Initial levels: | 1,571.933 for Russell, 3,039.42 for S&P, 8,110.669 for Nasdaq
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| Coupon barrier levels: | 1,100.3531 for Russell, 2,127.594 for S&P, 5,677.4683 for Nasdaq, 70% of initial levels
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| Knock-in levels: | 1,100.3531 for Russell, 2,127.594 for S&P, 5,677.4683 for Nasdaq, 70% of initial levels
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| Pricing date: | Oct. 28
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| Settlement date: | Oct. 31
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| Agents: | Credit Suisse Securities (USA) LLC and Incapital LLC
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| Fees: | 1.5%
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| Cusip: | 22552FZQ8
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