Published on 11/7/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $948,000 contingent coupon callable yield notes on indexes, ETF
By Kiku Steinfeld
Chicago, Nov. 7 – Credit Suisse AG, London Branch priced $948,000 of contingent coupon callable yield notes due Oct. 24, 2024 linked to the least performing of the S&P MidCap 400 index, the iShares MSCI Emerging Markets exchange-traded fund and the FTSE 100 index according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.3% if each underlying asset closes at or above its coupon barrier level, 70% of its initial level, on every day of that quarter.
After six months, Credit Suisse may call the notes in whole but not in part at par plus any coupon otherwise due on any quarterly early redemption date.
If the notes are not called and each asset finishes at or above its 60% knock-in level, the payout at maturity will be par plus the coupon, if any. Otherwise, investors will be fully exposed to any losses of the least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | iShares MSCI Emerging Markets ETF, FTSE 100 index, S&P MidCap 400 index
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| Amount: | $948,000
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| Maturity: | Oct. 24, 2024
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| Coupon: | 10.3% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on every day of that quarter
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| Price: | Par
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| Payout at maturity: | Par plus coupon, if any, unless any asset finishes below its knock-in level, in which case full exposure to any losses of the least-performing asset
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| Call option: | Callable at par plus any coupon otherwise due on any quarterly early redemption date after six months
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| Initial levels: | 7163.64 for FTSE, $42.36 for EM, 1947.66 for MidCap
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| Coupon barrier: | 5014.548 for FTSE, $29.652 for EM, 1363.362 for MidCap; 70% of initial levels
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| Knock-in levels: | 4298.184 for FTSE, $25.416 for EM; 1168.596 for MidCap; 60% of initial levels
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| Pricing date: | Oct. 21
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| Settlement date: | Oct. 24
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | None
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| Cusip: | 22551N3Z7
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