Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse $904,000 contingent coupon autocallable yield notes on ETFs, index
By Wendy Van Sickle
Columbus, Ohio, March 13 – Credit Suisse AG, London Branch priced $904,000 of contingent coupon autocallable yield notes due March 6, 2023 linked to the lowest performing of the iShares MSCI Emerging Markets ETF, iShares MSCI EAFE ETF and 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 6.75% if each asset closes at or above its barrier level, 70% of its initial level, on a related observation date.
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 starting Sept. 2.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case the payout will be par plus the return of the least performing asset with full exposure to losses.
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: | iShares MSCI Emerging Markets ETF, iShares MSCI EAFE ETF and Euro Stoxx 50 index
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| Amount: | $904,000
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| Maturity: | March 6, 2023
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| Coupon: | 6.75% per year, payable quarterly if each asset 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 unless any asset finishes below its knock-in level, in which case the payout will be par plus the return of the least performing asset with full exposure to losses
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| Call: | At par plus coupon if each asset closes at or above its initial level on any quarterly call date starting Sept. 2
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| Initial levels: | $41.40 for Emerging Markets, $63.04 for EAFE, 3,338.83 for index
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| Coupon barriers: | $28.98 for Emerging Markets, $44.128 for EAFE, 2,337.181 for index, 70% of initial levels
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| Knock-in levels: | $28.98 for Emerging Markets, $44.128 for EAFE, 2,337.181 for index, 70% of initial levels
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| Pricing date: | March 2
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| Settlement date: | March 9
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.95%
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| Cusip: | 22551NQU3
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