Published on 8/18/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $3.03 million contingent coupon callable yield notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Aug. 18 – Credit Suisse AG, London Branch, priced $3.03 million of contingent coupon callable yield notes due Feb. 14, 2022 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 monthly coupon at the rate of 11.45% 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 monthly observation date after three months.
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
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| Issue: | Contingent coupon callable yield notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $3.03 million
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| Maturity: | Feb. 14, 2022
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| Coupon: | 11.45% per year, payable monthly if each underlying asset closes at or above its coupon barrier level on related observation date
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| Price: | Par
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| 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
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| Call option: | At par plus any coupon on any monthly observation date after three months
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| Initial levels: | 1,569.185 for Russell, 3,351.28 for S&P
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| Coupon barrier levels: | 1,098.4925 for Russell, 2,345.896 for S&P, 70% of initial levels
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| Knock-in levels: | 1,098.4925 for Russell, 2,345.896 for S&P, 70% of initial levels
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| Pricing date: | Aug. 7
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| Settlement date: | Aug. 12
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.35%
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| Cusip: | 22552WDS1
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