Published on 5/28/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse $1.21 million contingent coupon autocallable yield notes on S&P, Russell
By Sarah Lizee
Olympia, Wash., May 28 – Credit Suisse AG, London Branch priced $1.21 million of contingent coupon autocallable yield notes due Aug. 24, 2020 linked to the lowest performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.75% if each index closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each index closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless either index ever closes below its 70% knock-in level during the life of the notes, in which case investors will have full exposure to the decline of the lesser performing index, subject to a maximum payout of par.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $1,213,000
|
| Maturity: | Aug. 24, 2020
|
| Coupon: | 8.75% per year, payable quarterly if each index closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either index ever closes below its knock-in level during the life of the notes, in which case investors will have full exposure to the decline of the lesser performing index, subject to a maximum payout of par
|
| Call: | At par if each index closes above initial level on any quarterly trigger observation date
|
| Initial levels: | 2,859.53 for S&P, 1,535.763 for Russell
|
| Coupon barrier levels: | 2,001.671 for S&P, 1,075.0341 for Russell, 70% of initial levels
|
| Knock-in levels: | 2,001.671 for S&P, 1,075.0341 for Russell, 70% of initial levels
|
| Pricing date: | May 17
|
| Settlement date: | May 22
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.625%
|
| Cusip: | 22552FDE9
|
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