Published on 7/30/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $8.97 million buffered return equity autocalls on index, fund
By Kiku Steinfeld
Chicago, July 30 – Credit Suisse AG, London Branch priced $8.97 million of 0% autocallable buffered return equity securities due Jan. 19, 2021 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized redemption premium of 10.5% if each component closes at or above its initial level on any of two biannual observation dates.
If the notes are not called, the payout at maturity will be par plus the contingent return if the lowest performing underlying finishes above its initial level. If the final level of each component is at least 80% of its initial level, investors will receive par. Otherwise, investors will lose 1.25% for each 1% decline of the least-performing component beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Autocallable buffered return equity securities
|
| Underlying components: | Russell 2000 index and iShares MSCI EAFE ETF
|
| Amount: | $8,974,000
|
| Maturity: | Jan. 19, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent return of 15.75% if both components close above initial levels; par if each component finishes at or above 80% of its initial level; otherwise, 1.25% loss for each 1% decline of least-performing component beyond buffer
|
| Call: | At par plus 10.5% per year if each component finishes at or above initial level on Jan. 15, 2020 or July 15, 2020
|
| Initial levels: | 1569.998 for Russell, $65.80 for iShares MSCI EAFE
|
| Buffer levels: | 1255.9984 for Russell, $52.64 for iShares MSCI EAFE, 80% of initial levels
|
| Pricing date: | July 15
|
| Settlement date: | July 18
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.2%
|
| Cusip: | 22552FPB2
|
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