Published on 2/19/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.3 million capped contingent knock-out notes on Vale
By Sarah Lizee
Olympia, Wash., Feb. 19 – Credit Suisse AG, London Branch priced $1.3 million of 0% capped contingent knock-out notes due May 14, 2020 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of underlying is equal to or greater than the upper strike level, 105.01% of the initial level, the payout will be $1,050.10 per $1,000 of notes.
If the final level is equal to or greater than the lower strike level, 103.01% of the initial level, but less than the upper strike level, the payout will be par plus the return of the underlying.
If the final level is less than the lower strike level but greater than the knock-out level, 85% of the initial level, the payout will be par plus 3.01%.
If the final level is less than the knock-out level, investors will receive a number of shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Capped contingent knock-out notes
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| Underlying ADS: | Vale SA
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| Amount: | $1.3 million
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| Maturity: | May 14, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of underlying is equal to or greater than the upper strike level, $1,050.10 per $1,000 of notes; if the final level is equal to or greater than the lower strike level but less than the upper strike level, par plus the return of the underlying; if the final level is less than the lower strike level but greater than the knock-out level, par plus 3.01%; if the final level is less than the knock-out level, number of shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent
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| Initial price: | $11.92
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| Upper strike level: | $12.52, 105.01% of initial level
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| Lower strike level: | $12.28, 103.01% of initial level
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| Knock-out level: | $10.13, 85% of initial level
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| Pricing date: | Feb. 13
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| Settlement date: | Feb. 19
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 0.24%
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| Cusip: | 22550MAR0
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