Published on 1/2/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.71 million contingent coupon autocallable yield notes on Russell, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Jan. 2 – Credit Suisse AG, London Branch priced $2.71 million of contingent coupon autocallable yield notes due Sept. 30, 2020 linked to the lesser performing of the Nasdaq-100 index and the Russell 2000 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, 75% 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 either index finishes below its initial level and either index ever closes below its knock-in level, 75% of its initial level, during the life of the notes, in which case investors will be exposed to the decline of the lesser-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: | Nasdaq-100 and Russell 2000
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| Amount: | $2.71 million
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| Maturity: | Sept. 30, 2020
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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 either index finishes below initial level and either index ever closes below knock-in level, in which case exposure to decline of lesser-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: | 1,677.67 for Russell, 8,778.313 for Nasdaq
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| Coupon barrier levels: | 1,258.2525 for Russell, 6,583. 73475 for Nasdaq, 75% of initial levels
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| Knock-in levels: | 1,258.2525 for Russell, 6,583. 73475 for Nasdaq, 75% of initial levels
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| Pricing date: | Dec. 26
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| Settlement date: | Dec. 31
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.5%
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| Cusip: | 22551NCR5
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