Published on 2/14/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.55 million contingent coupon autocallable yield notes on indexes, fund
By Sarah Lizee
Olympia, Wash., Feb. 14 – Credit Suisse AG, London Branch priced $1.55 million of contingent coupon autocallable yield notes due Aug. 6, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI Emerging Markets ETF and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
Every quarter, the notes pay a contingent coupon at the rate of 8.3% per year if each asset closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be called at par if each asset closes at or above 95% of its initial level on any observation date.
The payout at maturity will be par unless any asset closes below its knock-in level, 70% of its initial level, on any day during the life of the notes, in which case investors will be exposed to the decline of the least-performing asset 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 assets: | Russell 2000 index, iShares MSCI Emerging Markets ETF and Euro Stoxx Banks index
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| Amount: | $1,546,000
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| Maturity: | Aug. 6, 2021
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| Coupon: | 8.3% per year, payable quarterly if each underlying asset closes at or above its coupon barrier level on observation date
|
| Price: | Par
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| Payout at maturity: | Par unless any asset closes below its knock-in level on any day during the life of the notes, in which case investors will be exposed to the decline of the least-performing asset from its initial level
|
| Call option: | Automatically at par plus coupon if each asset closes at or above 95% of initial level on any observation date after one year
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| Initial levels: | 1,632.205 for Russell, $42.58 for ETF, 91.88 for Stoxx Banks
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| Call levels: | 1,550.59475 for Russell, $40.451 for ETF, 87.286 for Stoxx Banks, 95% of initial levels
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| Coupon barrier levels: | 1,142.5435 for Russell, $29.806 for ETF, 64.316 for Stoxx Banks, 70% of initial levels
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| Knock-in levels: | 1,142.5435 for Russell, $29.806 for ETF, 64.316 for Stoxx Banks, 70% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 6
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.175%
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| Cusip: | 22551NM86
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