Published on 2/12/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.8 million callable contingent income notes on S&P, Stoxx
Chicago, Feb. 12 – Credit Suisse AG, London Branch priced $3.8 million of callable contingent income securities due Feb. 3, 2023 linked to the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at the rate of 6% per year if each index closes at or above the barrier level, 65% of the initial index level, on every trading day during the observation period for that quarter.
If each index finishes at or above the knock-in level, 65% of its initial level, the payout at maturity will be par plus the final coupon, if applicable. If the index finishes below the knock-in level, investors will be fully exposed to the decline of the worse performing from its initial level.
The notes will be callable at par plus any coupon owed on any quarterly redemption date starting May 6.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50
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| Amount: | $3,800,000
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| Maturity: | Feb. 3, 2023
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| Coupon: | 6% per year, payable each quarter that each index closes at or above barrier level on every trading day during the observation period for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus any final coupon due if each index finishes at or above downside threshold level; otherwise, full exposure to decline of worse performing index
|
| Call option: | At par plus any contingent coupon owned on any quarterly redemption date starting May 6
|
| Initial levels: | 3225.52 for S&P, 3640.91 for Stoxx
|
| Coupon barrier levels: | 2096.59 for S&P, 2366.59 for Stoxx, 65% of initial levels
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| Downside threshold levels: | 2096.59 for S&P, 2366.59 for Stoxx, 65% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC handling distribution
|
| Fees: | 1.5%
|
| Cusip: | 22551NL46
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