Published on 7/29/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.67 million contingent coupon callable yield notes on indexes, ETF
By Kiku Steinfeld
Chicago, July 29 – Credit Suisse AG, London Branch priced $4.67 million of contingent coupon callable yield notes due July 28, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the SPDR S&P Regional Banking ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 15% if each underlying asset closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
Credit Suisse may call the notes in whole but not in part at par on any quarterly call observation date.
The payout at maturity will be par unless any asset finishes below its 55% knock-in level, in which case investors will be fully exposed to any losses of the least-performing asset.
J.P. Morgan Securities LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon callable yield notes
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| Underlying assets: | S&P 500 index, Russell 2000 index and SPDR S&P Regional Banking ETF
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| Amount: | $4,658,000
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| Maturity: | July 28, 2022
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| Coupon: | 15% per year, payable quarterly if each underlying 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, in which case full exposure to any losses of the least-performing asset
|
| Call option: | Callable at par on any quarterly call observation date
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| Initial levels: | 3235.66 for S&P, 1490.203 for Russell, $38.70 for ETF
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| Coupon barrier: | 2264.962 for S&P, 1043.1421 for Russell, $27.09 for ETF; 70% of initial levels
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| Knock-in levels: | 1682.5432 for S&P, 774.90556 for Russell, $20.124 for ETF; 55% of initial levels
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| Pricing date: | July 25
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| Settlement date: | July 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 22552WCN3
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