Published on 8/14/2019 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.03 million autocallable reverse convertible securities on two ETFs
By Wendy Van Sickle
Columbus, Ohio, Aug. 14 – Credit Suisse AG, London Branch priced $2.03 million of 5.8% autocallable reverse convertible securities due Nov. 16, 2020 linked to the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes will be called at par if each ETF closes at or above its initial price on any quarterly observation date after six months.
The payout at maturity will be par unless either ETF finishes below its initial level and either index has ever closed below the knock-in price, 80% of the initial price, during the life of the notes, in which case investors will receive a number of shares equal to $1,000 divided by the initial price of the lesser performing ETF or, at the issuer’s option, an amount in cash equal to the value of those shares.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, Lonqdon Branch
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| Issue: | Contingent coupon autocallable reverse convertible notes
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| Underlying ETFs: | iShares Russell 2000 ETF and SPDR S&P 500 ETF Trust
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| Amount: | $2,033,000
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| Maturity: | Nov. 16, 2020
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| Contingent coupon: | 5.8%, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless either ETF finishes below its initial level and either ETF ever closes below knock-in level on any day during the life of the notes, in which case a number of shares of the worst performing ETF equal to $1,000 divided by the initial share price of that ETF or, at the issuer’s option, the cash equivalent
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| Call: | At par plus the coupon if each ETF closes at or above initial share price on any quarterly observation date after six months
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| Initial prices: | $150.62 for Russell, $291.62 for S&P
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| Knock-in levels: | $120.496 for Russell, $233.296 for S&P; 80% of initial prices
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 14
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 2.25%
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| Cusip: | 22549JV80
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