By Sarah Lizee
Olympia, Wash., Feb. 20 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due March 8, 2021 linked to the least performing of three stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The underliers are Itau Unibanco Holding SA, Petroleo Brasileiro SA and Vale SA.
Contingent coupons are payable quarterly at an annual rate of 11.75% if each stock closes above its coupon barrier, 60% of its initial level, on the related observation date.
The notes will be called at par plus the coupon if the shares of the least performing stock close at or above their initial price on any quarterly trigger observation date.
The payout at maturity will be par plus the coupon unless any of the stocks finishes below its 60% knock-in level, in which case investors will be fully exposed to the losses of the worst performing underlying.
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 stocks: | Itau Unibanco Holding SA, Petroleo Brasileiro SA and Vale SA
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| Amount: | $1 million
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| Maturity: | March 8, 2021
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| Coupon: | 11.75% per year, payable quarterly if each stock closes above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par plus coupon unless any stock finishes below knock-in price, in which case full exposure to losses of worst performing underlying
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| Call: | At par if all shares close at or above initial share price on any quarterly trigger observation date
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| Initial prices: | $7.89 for Itau, $14.63 for Petrobras and $11.93 for Vale
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| Coupon barriers: | $4.73 for Itau, $8.78 for Petrobras and $7.16 for Vale; 60% of initial levels
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| Knock-in levels: | $4.73 for Itau, $8.78 for Petrobras and $7.16 for Vale; 60% of initial levels
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 20
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| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 1%
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| Cusip: | 22551NPZ3
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