Published on 2/13/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.93 million contingent market-linked autocalls tied to indexes, ETF
Chicago, Feb. 13 – Credit Suisse AG, London Branch priced $6.93 million of market-linked securities due Jan. 28, 2021 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10.3% if each asset closes at or above its 75% coupon threshold value on the observation date for that period.
The notes will be called at par plus the coupon if each asset closes at or above its initial level on any quarterly observation date starring in July through October 2020.
The payout at maturity will be par unless any asset finishes below its 75% downside threshold, in which case the payout will be equal to the percentage return of the worst performing asset with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying assets: | S&P 500, Russell 2000 and the iShares MSCI Emerging Markets ETF
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| Amount: | $6,933,000
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| Maturity: | Jan. 28, 2021
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| Coupon: | 10.3% annualized, payable quarterly if each asset closes at or above coupon threshold on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | Par unless any asset falls by more than 25%, in which case 1% loss per 1% decline of worst performing asset
|
| Call: | At par plus coupon if each asset closes at or above its initial level on any interest payment date starting in July through October 2020
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| Initial levels: | 2681.05 for S&P, 1486.942 for Russell, $42.74 for MSCI EM
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| Coupon/downside thresholds: | 2010.7875 for S&P, 1115.2065 for Russell, $32.055 for MSCI EM, 75% of initial levels
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| Pricing date: | Jan. 30
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| Settlement date: | Feb. 4
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 1.88%
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| Cusip: | 22551LTH3
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