By Marisa Wong
Morgantown, W.Va., Jan. 30 – Credit Suisse AG, London Branch priced $5 million of 0% review notes due Jan. 24, 2020 linked to the lowest performing of the common stock of Target Corp. and the Euro Stoxx Banks index as adjusted by the performance of the euro relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 17.7% if each underlying asset closes at or above its call level, 75% of its initial level, on either of two annual review dates.
If the notes are not called, investors will be fully exposed to the decline of the worst performing asset.
Although the Euro Stoxx Banks index is composed of components valued in euros, the index does not adjust its level based on a daily exchange rate of dollars per euro. However, the adjusted closing level of the index used for the notes reflects a daily exchange rate of dollars per euro. If the value of the dollar appreciates against the euro, investors could lose some or all of their investment in the notes, even if the unadjusted closing level of the index has increased during the term of the notes, the filing noted.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Review notes
|
| Underlying assets: | Common stock of Target Corp. (Symbol: TGT) and Euro Stoxx Banks index adjusted by performance of euro relative to dollar
|
| Amount: | $5 million
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| Maturity: | Jan. 24, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | At par plus 17.7% per year if each asset closes at or above call level on either of two annual review dates
|
| Payout at maturity: | Full exposure to decline of worse performing asset
|
| Initial levels: | $78.58 for stock, 174.32659 for index (unadjusted closing level of 142.29 times initial spot rate of 1.22515)
|
| Call levels: | $58.935 for stock and 130.74495 for index; 75% of initial levels
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| Final levels: | For stock, average of closing share prices on each of five trading days ending Jan. 21, 2020; for index, average of adjusted closing levels on each of those five valuation dates
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| Adjusted closing level: | On any trading day, closing index level multiplied by spot rate on that day
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| Pricing date: | Jan. 24
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| Settlement date: | Jan. 29
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 1.5%
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| Cusip: | 22550WAB3
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