Published on 3/30/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1.39 million contingent coupon callable yield notes on S&P, Russell
By Sarah Lizee
Olympia, Wash., March 30 – Credit Suisse AG, London Branch, priced $1.39 million of contingent coupon callable yield notes due March 27, 2023 tied to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent semiannual coupon at the rate of 15.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the related observation date.
The notes will be callable at par plus any coupon on any semiannual observation date.
The payout at maturity will be par unless either index finishes below its 70% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $1,388,000
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| Maturity: | March 27, 2023
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| Coupon: | 15.5% per year, payable semiannually if each underlying asset closes at or above its coupon barrier level on related observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level
|
| Call option: | At par plus any coupon on semiannual observation date
|
| Initial levels: | 1,013.889 for Russell, 2,304.92 for S&P
|
| Coupon barrier levels: | 709.7223 for Russell, 1,613.444 for S&P, 70% of initial levels
|
| Knock-in levels: | 709.7223 for Russell, 1,613.444 for S&P, 70% of initial levels
|
| Pricing date: | March 20
|
| Settlement date: | March 27
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 1.5%
|
| Cusip: | 22551NS56
|
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