Published on 2/7/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $145,000 autocallable buffered securities on S&P, Russell
By Sarah Lizee
Olympia, Wash., Feb. 7 – Credit Suisse AG, London Branch priced $145,000 of 0% autocallable buffered securities due Jan. 31, 2025 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus a 5% annualized premium if both underlying assets close at or above their initial levels on any annual observation dates.
If the notes are not called and each asset finishes at or above 92% of its initial level, the payout will be par plus 25%.
If either asset finishes below 92% of its initial level but at or above its buffer level, 85% of its initial level, the payout will be par.
If either asset finishes below its buffer level, investors will lose 1% for every 1% decline of the lesser performing asset beyond the buffer.
Incapital LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Autocallable buffered securities
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| Underlying assets : | Russell 2000 index and S&P 500 index
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| Amount: | $145,000
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| Maturity: | Jan. 31, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the notes are not called and each asset finishes at or above 92% of its initial level, par plus 25%; if either asset finishes below 92% of its initial level but at or above its buffer level, par; if either asset finishes below its buffer level, 1% loss for every 1% decline of the lesser performing asset beyond the buffer
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| Call: | Automatically at par plus 5% annualized premium if each underlying closes at or above its initial level on any annual call date
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| Initial levels: | 3,276.24 for S&P, 1,658.314 for Russell
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| Downside thresholds: | 3,014.1408 for S&P, 1,525.64888 for Russell; 92% of initial levels
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| Buffer levels: | 2,784.804 for S&P, 1,409.5669 for Russell; 85% of initial levels
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| Pricing date: | Jan. 28
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| Settlement date: | Jan. 31
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| Underwriter: | Incapital LLC
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| Fees: | 3.75%
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| Cusip: | 22551NG67
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