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Published on 8/13/2019 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse $3.33 million contingent coupon autocallable yield notes on three stocks

By Wendy Van Sickle

Columbus, Ohio, Aug. 13 – Credit Suisse AG, London Branch priced $3.33 million of contingent coupon autocallable yield notes due Aug. 16, 2021 linked to the lowest performing of the stocks of Anheuser-Busch InBev SA/NV, Amazon.com, Inc. and BP plc, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a monthly coupon at an annualized rate of 6.7% if each stock closes at or above its barrier level, 50% of its initial level, on a related observation date.

The notes will be called at par if each stock closes above its trigger level on any monthly observation date after six months. The trigger level will be 95% of the initial level through June 8, 2020, stepping down to 90% of the initial level through Nov. 9, 2020 and to 85% of the initial level through July 8, 2021.

The payout at maturity will be par unless any stock finishes below its 50% knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses.

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, London Branch
Issue:Contingent coupon autocallable yield notes
Underlying stocks:Anheuser-Busch InBev SA/NV, Amazon.com, Inc. and BP plc
Amount:$3.33 million
Maturity:Aug. 16, 2021
Coupon:6.7% per year, payable monthly if each stock closes at or above its coupon barrier level on observation date
Price:Par
Payout at maturity:Par unless any stock finishes below initial level any stock finishes below its knock-in level, in which case the payout will be par plus the return of the least performing stock with full exposure to losses
Call:At par if each stock closes above trigger level on any observation date after six months
Initial levels:€86.80 for Anheuser, $1,793.40 for Amazon, £5.056 for BP
Coupon barrier levels:€43.40 for Anheuser, $896.70 for Amazon, £2.528 for BP, 50% of initial levels
Knock-in levels:€43.40 for Anheuser, $896.70 for Amazon, £2.528 for BP, 50% of initial levels
Trigger levels:95% of the initial level through June 8, 2020, stepping down to 90% of the initial level through Nov. 9, 2020 and to 85% of the initial level through July 8, 2021
Pricing date:Aug. 8
Settlement date:Aug. 15
Agent:Credit Suisse Securities (USA) LLC
Fees:2.75%
Cusip:22552FSW3

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