Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2.53 million contingent coupon autocallable yield notes on indexes
By Kiku Steinfeld
Chicago, March 13 – Credit Suisse AG, London Branch priced $2.53 million of contingent coupon autocallable yield notes due March 3, 2022 linked to the lowest performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.65% if each index closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly trigger observation date other than the final one.
The payout at maturity will be par plus the coupon unless any index finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing index.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $2,525,000
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| Maturity: | March 3, 2022
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| Coupon: | 8.65% per year, payable quarterly if each index 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 plus coupon unless any index finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing index
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| Call: | At par if each index closes above initial level on any quarterly trigger observation date other than final one
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| Initial levels: | 2954.22 for S&P, 1476.431 for Russell and 1476.431 for Stoxx
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| Coupon barrier levels: | 2067.95 for S&P, 1033.502 for Russell and 2330.64 for Stoxx, 70% of initial levels
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| Knock-in levels: | 2067.95 for S&P, 1033.502 for Russell and 2330.64 for Stoxx, 70% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 4
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| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1.5%
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| Cusip: | 22551NT48
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