Published on 3/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.56 million digital plus barrier notes linked to Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, March 6 – Credit Suisse AG, London Branch priced $2.56 million of 0% digital plus barrier notes due March 5, 2025 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.
If neither index falls from its initial level, the payout at maturity will be par plus the greater of any gain of the laggard index and 46.75%.
If either index falls but not by more than 30%, the payout will be par.
Otherwise, the payout will be par plus the return of the least performing index with full exposure to the decline.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Digital plus barrier notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,561,000
|
| Maturity: | March 5, 2025
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index gains or finishes flat, par plus greater of return of laggard index and 46.75%; if laggard index falls by up to 30%, par; | otherwise, par plus the return of the least performing index with full exposure to the decline
|
| Initial levels: | 2,954.22 for S&P 500 and 1,476.431 for Russell 2000
|
| Knock-in levels: | 2,067.954 for S&P 500 and 1,033.5017 for Russell 2000, or 70% of initial levels
|
| Pricing date: | Feb. 28
|
| Settlement date: | March 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.125%
|
| Cusip: | 22551NLL8
|
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