By Taylor Fox
New York, Nov. 18 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due Nov. 3, 2021 linked to the lowest performing of the Russell 2000 index and the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 17% if each asset closes at or above its coupon barrier level, 80% of its initial level, on the related observation date.
The notes will be called at par if each asset closes above its initial level on any quarterly observation date.
The payout at maturity will be par unless any asset finishes below its 80% knock-in level, in which case investors will be fully exposed to the losses of the least-performing asset.
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: | Russell 2000 index and the Financial Select Sector SPDR Fund
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Amount: | $1 million
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Maturity: | Nov. 3, 2021
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Coupon: | 17% 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 full exposure to the losses of the least-performing asset
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Call: | At par if each asset closes above initial level on any quarterly call date
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Initial levels: | 1,561.577 for Russell and $23.79 for Financial Select
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Coupon barrier levels: | 1,249.2616 for Russell and $19.032 for Financial Select; 80% of initial levels
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Knock-in levels: | 1,249.2616 for Russell and $19.032 for Financial Select; 80% of initial levels
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Pricing date: | Oct. 29
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Settlement date: | Nov. 3
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Agent: | Credit Suisse Securities (USA) LLC
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Fees: | 1.25%
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Cusip: | 22552WRS6
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