Published on 9/1/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million contingent coupon autocallable yield notes on indexes, ETF
By Sarah Lizee
Olympia, Wash., Sept. 1 – Credit Suisse AG, London Branch priced $2 million of contingent coupon autocallable yield notes due Aug. 29, 2025 linked to the lowest performing of the Russell 2000 index, the Dow Jones industrial average and the iShares China Large-Cap ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 7.75% if each asset closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each asset closes above its initial level on any quarterly trigger observation date after one year.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset.
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 iShares China Large-Cap ETF
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| Amount: | $2 million
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| Maturity: | Aug. 29, 2025
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| Coupon: | 7.75% per year, payable quarterly if each 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 70% knock-in level, in which case investors will fully participate in the return of least-performing asset
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| Call: | At par if each asset closes above initial level on any quarterly trigger observation date after one year
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| Initial levels: | 1,560.193 for Russell, $44.72 for ETF, 28,331.92 for Dow
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| Coupon barrier levels: | 1,092.1351 for Russell, $31.304 for ETF, 19,832.344 for Dow, 70% of initial levels
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| Knock-in levels: | 1,092.1351 for Russell, $31.304 for ETF, 19,832.344 for Dow, 70% of initial levels
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.35%
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| Cusip: | 22552WGC3
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