Published on 3/11/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $4.82 million callable contingent income securities on indexes
By Sarah Lizee
Olympia, Wash., March 11 – Credit Suisse AG, London Branch priced $4.82 million of callable contingent income securities due March 3, 2023 linked to the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 7% per year if each index closes at or above its coupon barrier, 65% of its initial level, on each trading day during that quarter.
The notes are callable at par quarterly.
The payout at maturity will be par unless the least-performing index finishes below its knock-in level, 65% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000 and Nasdaq-100
|
| Amount: | $4,824,000
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| Maturity: | March 3, 2023
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| Coupon: | 7% per year, payable quarterly if each index closes at or above knock-in level on each trading day during that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above knock-in level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
|
| Call option: | Quarterly at par
|
| Initial levels: | 2,954.22 for S&P 500, 1,476.431 for Russell 2000 and 8,461.835 for Nasdaq
|
| Coupon barrier levels: | 1,920.24 for S&P 500, 959.68 for Russell 2000 and 5,500.19 for Nasdaq, or 65% of initial levels
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| Knock-in levels: | 1,920.24 for S&P 500, 959.68 for Russell 2000 and 5,500.19 for Nasdaq, or 65% of initial levels
|
| Pricing date: | Feb. 28
|
| Settlement date: | March 4
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Distributor: | Morgan Stanley Smith Barney LLC
|
| Fees: | 2%
|
| Cusip: | 22551NQW9
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