Published on 5/15/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $658,000 contingent coupon autocallable yield notes on S&P, Dow
By Wendy Van Sickle
Columbus, Ohio, May 15 – Credit Suisse AG, London Branch, priced $658,000 of contingent coupon autocallable yield notes due Feb. 18, 2022 linked to the least performing of the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a quarterly coupon at the rate of 9% per year if each index closes above its 65% coupon barrier on the observation date for that quarter.
The notes will be called at par plus the coupon if each index closes above its initial level on any quarterly trigger observation date.
The payout at maturity will be par unless either index finishes below its 65% knock-in level, in which case investors will be exposed to the decline of the least-performing index from its initial level with a maximum payout of par.
Credit Suisse Securities (USA) LLC is the underwriter.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Dow Jones industrial average and S&P 500 index
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| Amount: | $658,000
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| Maturity: | Feb. 18, 2022
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| Coupon: | 9% annual rate, payable quarterly if each index closes above coupon barrier on observation date
|
| 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 with a maximum payout of par
|
| Call: | Par plus the coupon if each index closes above its initial level on any quarterly trigger observation date
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| Initial levels: | 2,820.0 for S&P and 23,247.97 for Dow
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| Coupon barrier/knock-in levels: | 1,833.0 for S&P and 15,111.1805 for Dow, 65% of initial levels
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| Pricing date: | May 13
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| Settlement date: | May 18
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| Underwriter: | Credit Suisse Securities (USA) LLC
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| Fees: | 0.35%
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| Cusip: | 22552W4F9
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