Published on 3/6/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $2 million contingent coupon callable yield notes on indexes
By Sarah Lizee
Olympia, Wash., March 6 – Credit Suisse AG, London Branch, priced $2 million of contingent coupon callable yield notes due Feb. 24, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent monthly coupon at the rate of 10.55% per year if each index closes at or above its coupon barrier level, 75% of its initial level, on the related observation date.
The notes are callable, in whole but not in part, at par plus any coupon on any monthly observation date after three months.
The payout at maturity will be par unless any 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: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $2 million
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| Maturity: | Feb. 24, 2023
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| Coupon: | 10.55% 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 any index finishes below knock-in level, in which case exposure to decline of least-performing index
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| Call option: | Callable in whole at par plus any coupon on any monthly observation date after three months
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| Initial levels: | 3,128.21 for S&P, 1,571.897 for Russell, 3,572.51 for Stoxx
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| Coupon barriers: | 2,346.1575 for S&P, 1,178.92275 for Russell, 2,679.3825 for Stoxx; 75% of initial levels
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| Knock-in levels: | 2,189.747 for S&P, 1,100.3279 for Russell, 2,500.757 for Stoxx; 70% of initial levels
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| Pricing date: | Feb. 25
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| Settlement date: | Feb. 28
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 6%
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| Cusip: | 22551NR73
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