Published on 5/27/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $910,000 contingent coupon autocallable yield notes on indexes, fund
By Sarah Lizee
Olympia, Wash., May 27 – Credit Suisse AG, London Branch priced $910,000 of contingent coupon autocallable yield notes due May 30, 2023 linked to the lowest performing of the S&P 500 index, the Dow Jones industrial average and the Health Care Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 7.7% if each asset closes at or above its barrier level, 70% of its initial level, on a related observation date.
The notes will be called at par if each asset closes above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless any asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500 index, the Dow Jones industrial average and the Health Care Select Sector SPDR fund
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| Amount: | $910,000
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| Maturity: | May 30, 2023
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| Coupon: | 7.7% per year, payable quarterly if each asset closes at or above its coupon barrier level on observation date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below its 70% knock-in level, in which case investors will fully participate in the return of least-performing asset
|
| Call: | At par if each asset closes above initial level on any quarterly trigger observation date after six months
|
| Initial levels: | 2955.45 for S&P, 24465.16 for Dow and $99.62 for fund
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| Coupon barrier levels: | 2068.815 for S&P, 17125.612 for Dow and $69.734 for fund, 70% of initial levels
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| Knock-in levels: | 2068.815 for S&P, 17125.612 for Dow and $69.734 for fund, 70% of initial levels
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| Pricing date: | May 22
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| Settlement date: | May 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 3.2%
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| Cusip: | 22552W4U6
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